English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110658/141571 (78%)
Visitors : 47335323      Online Users : 698
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/35817


    Title: 兩國動態隨機一般均衡模型的不對稱資本市場分析
    Asymmetric Asset Market Analysis in a Two-Country Dynamic Stochastic General Equilibrium Model
    Authors: 林伯宏
    Lin, Po Hung
    Contributors: 黃俞寧
    林伯宏
    Lin, Po Hung
    Keywords: 動態隨機一般均衡
    不對稱資本市場
    DSGE
    incomplete asset market
    Date: 2008
    Issue Date: 2009-09-18 16:07:01 (UTC+8)
    Abstract: 本文嘗試利用兩國動態一般模型 (dynamic stochastic general equilibrium, DSGE)架構,分析資本市場存在的不對稱摩擦現象,藉由設定不同兩國債券調整成本的三種形式,模擬兩國總體變數在本國生產力衝擊下的影響分析。本文模型架構主要遵循Bergin et al. (2007),文中廠商的商品訂價方式採生產者貨幣訂價 (producer currency pricing, PCP),即廠商的訂價行為依照本國貨幣作為計價單位,透過名目匯率轉換為外國消費者面對的商品價格,單一價格法則 (the law of one price, LOP)在此訂價方式下成立;本文模型的商品訂價方式改採當地貨幣訂價 (local currency pricing, LCP),本國廠商以當地貨幣作為計價單位訂定其商品價格,該訂價方式廣為近來文獻所採用,並符合已開發國家之訂價行為,故採用此訂價方式。
    電腦模擬本文資本市場的三種不同設定,在本國生產力具有 的外生衝擊下,資本邊際生產力的提高致使本國廠商增加投資,代表性個人資金借貸的管道可透過本國債券與外國債券進行融通,而本國代表性個人在買賣本國債券時無需負擔債券調整成本,在購買外國債券時則需負擔債券調整成本,此一設定即在反映資金借貸的摩擦情形;變數的動態模擬結果顯示,資本市場的不對稱摩擦,將透過兩國間的經常帳變化條件,影響資金借貸的流通,對於兩國總體經濟變數具有顯著影響。
    Reference: Bergin, P. R. and I. Tchakarov (2003), “Does Exchange Rate Risk Matter for Welfare?” NBER Working paper.
    Bergin, P. R., H. C. Shin and I. Tchakarov (2007), “Does Exchange Rate Variability Matter for Welfare? A Quantitative Investigation of Stabilization Policies,” European Economic Review, 51, 1041-58.
    Betts, C. and M. B. Devereux (1996), “The Exchange Rate in a Model of Pricing-to-market,” European Economic Review, 40, 1007–1021.
    Blanchard, O. and C. Kahn (1980), “The Solution of Linear Difference Models under Rational Expectations,” Econometrica, 48, 1305-1311.
    Chari, V. V., Kehoe, P. J. and McGrattan, E. (2002), “Can Sticky-price Models Generate Volatility and Persistent Real Exchange Rate?” Reviews of Economics Studies, 69, 533-563.
    Devereux, M. and C. Engel (2003), “Monetary Policy in the Open Economy, Revisited: Price Setting and Exchange Rate Flexibility,” Review of Economic Studies, 70, 765–783.
    Juillard, M. (1996), “DYNARE: A Program for the Resolution and Simulation of Dynamic Models with Forward Variables Through the Use of a Relaxation Algorithm,” CEPREMAP.
    Kollmann, R. (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics, 49, 989–1015.
    Krugman, P. R. (1986), “Pricing to Market When the Exchange Rate Changes,” NBER Working paper.
    Lane, P. R. (2001), “The New Open Macroeconomics: a Survey,” Journal of International Economics, 54, 235-266.
    McCallum, B. T. (1994), “A Reconsideration of the Uncovered Interest Parity Relationship,” Journal of Monetary Economics, 33, 105-32.
    Obstfeld, M. and K. Rogoff (2000), “New Directions for Stochastic Open Economy Models,” Journal of International Economics, 50, 117-53.
    Obstfeld, M. and K. Rogoff (1995), “Exchange Rate Dynamics Redux,” Journal of Political Economy, 103, 624-60.
    Obstfeld, M. and K. Rogoff (1996), Foundations of International Macroeconomics, the MIT Press.
    Romer, D. (2001), Advanced Macroeconomics, McGraw-Hill.
    Sims, C. (2000), “Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models,” Working paper, Princeton University.
    Sutherland, A., (1996), “Financial Market Integration and Macroeconomic Volatility,” Scandinavian Journal of Economics, 98, 521-539.
    Tille, C., (1997), “The International Welfare Effect of Monetary Policy under Pricing to Market,” mimeo, Princeton University.
    Description: 碩士
    國立政治大學
    經濟研究所
    95258026
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0952580261
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    026101.pdf338KbAdobe PDF2953View/Open
    026102.pdf351KbAdobe PDF2984View/Open
    026103.pdf351KbAdobe PDF21001View/Open
    026104.pdf353KbAdobe PDF2893View/Open
    026105.pdf357KbAdobe PDF21215View/Open
    026106.pdf282KbAdobe PDF21427View/Open
    026107.pdf402KbAdobe PDF21331View/Open
    026108.pdf392KbAdobe PDF23093View/Open
    026109.pdf379KbAdobe PDF21275View/Open
    026110.pdf376KbAdobe PDF21007View/Open
    026111.pdf352KbAdobe PDF2972View/Open
    026112.pdf358KbAdobe PDF2974View/Open
    026113.pdf716KbAdobe PDF2903View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback