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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/56540


    Title: 在金融摩擦下外部融資溢酬之分析─以台灣DSGE實證為例
    External finance premium under financial frictions─a DSGE analysis for Taiwan
    Authors: 張蓁昀
    Contributors: 毛維凌
    許志義

    張蓁昀
    Keywords: 金融摩擦
    外部融資溢酬
    動態隨機一般均衡模型
    Date: 2012
    Issue Date: 2013-01-02 13:27:49 (UTC+8)
    Abstract: 本文以Paolo Gelain(2010)所建構的SWBGG模型,結合Smets & Wouters(2003,2005,2007)及Bernanke,Gertler and Gilchrist(1999),建構具有金融摩擦(financial frictions)的動態隨機一般均衡模型,用台灣的總體時間序列1980Q3-2011Q4的季資料,拱用七種觀察值:分別為實質GDP成長率、實質投資成長率、實質消費成長率、實質工資成長率、GDP平減指數成長率、工時和金融業隔夜拆款利率利用貝氏估計做參數估計,主要分析分析不同衝擊下對於台灣景氣循環波動影響,及外部融資溢酬與景氣波動的相關性。
    Reference: 1. Bernanke, B. S.; Gertler, M. & Gilchrist, S. (1999).The
    financial accerlerator in a quantitative business cycle
    framework. Taylor, J. B. & Woodford, M. (Eds.) Handbook
    of Macroeconomics,Amsterdam: North-Holland.
    2. Christiano, L. J.; Eichenbaum, M. & Evans, C. L. (2005).
    Nominal Rigidities and the Dynamic Effects of a Shock to
    Monetary Policy.Journal of Political Economy,113(1),1-45.
    3. De Graeve, F. (2008).The external finance premium and the
    macroeconomy: US post-WWII evidence.Journal of Economic
    Dynamics and Control,32,3415-3440.
    4. Gelain Paolo, Rodriguez-Palenzuela, D. & Vilagi, B.
    (2009).An Estimated Euro-area DSGE Model with Financial
    Frictions: Empirical Investigation of the Financial
    Accelerator Mechanism.European Central Bank,mimeo.
    5. Gelain Paolo (2010).The External Finance Premium in the
    Euro Area: a Useful Indicator for Monetary
    Policy?.European Central Bank Working paper No 1171.
    6. Michal Brzoza-Brzezina, M. K. (2012).Bayesian evaluation
    of DSGE models with financial frictions. Natinal Bank of
    Poland Working Paper No 109.
    7. Smets, F. & Wouters, R. (2003).An estimated stochastic
    dynamic general equilibrium model of the Euro Area.
    Journal of the European Economic Association,1(5),1123-
    1175.
    8. Smets, F. & Wouters, R. (2007).Comparing shocks and
    frictions in US and euro area business cycles: a Bayesian
    DSGE Approach.Journal of Applied Econometrics,20,161-183.
    9. Smets, F. & Wouters, R. (2007).Shocks and frictions in US
    business cycles: a Bayesian DSGE approach.American
    Economic Review,97,586-606.
    10.Wing Leong Teo (2009).Estimated dynamic stochastic
    general equilibrium model of the Taiwanese economy.
    Pacific Economic Review,14:2,194-231.
    11.劉斌(2010),動態隨機一般均衡模型及其應用,北京:中國金融出版社。
    12.林依伶(2008),跨期替代彈性-台灣實證研究,國立台灣大學經濟學研究所碩
    士論文。
    13.蔡依恬(2009),台灣動態隨機一般均衡模型之實證研究,國立中央大學經濟
    學研究所碩士論文。
    14.陳宏鈞(2009),在動態隨機一般均衡模型下台灣消費習慣形成之估計,國立
    政治大學經濟學研究所碩士論文。
    Description: 碩士
    國立政治大學
    經濟學系
    99258033
    101
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099258033
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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