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標題: | 有關貨幣政策、總體審慎政策與不確定性衝擊的三篇論文 Three Essays on Monetary Policy, Macro-prudential Policy, and Uncertainty Shocks |
作者: | Po-Yuan Wang 王柏元 |
指導教授: | 林建甫(Chien-Fu Jeff Lin) |
關鍵字: | 動態隨機一般均衡,,貨幣政策,總體審慎政策,福利分析,不確定性衝擊,金融摩擦,擔保品限制, Dynamic stochastic general equilibrium,Monetary policy,Macro-prudential policy,Welfare analysis,Uncertainty shocks,Financial frictions,Collateral constraints, |
出版年 : | 2020 |
學位: | 博士 |
摘要: | 本文包含3篇獨立的論文。第1章討論台灣貨幣政策與總體審慎政策的效果,第2章探討英國執政黨的改變對貨幣政策的影響,第3章則研究金融摩擦在不確定性衝擊下的重要性。
台灣的貨幣政策與總體審慎政策: 本章建構了1個包含擔保品借貸限制的小型開放經濟體動態隨機一般均衡 (dynamic stochastic general equilibrium; DSGE) 模型,透過貝式估計法 (Bayesian estimation),將其應用在台灣的經濟環境,並運用動態隨機一般均衡暨向量自我迴歸 (DSGE-VAR) 架構來評估模型的配適度。我們依此模型來分析貨幣政策與總體審慎政策的福利意涵。研究結果顯示,考慮房價或國內貸款的利率政策,可以增進社會整體與個別成員的福利,而針對房價或國內貸款採取反景氣循環的貸款成數 (loan-to-value) 限制,亦可以達到柏拉圖改善的效果。除此之外,同時考慮利率政策與貸款成數限制政策,則可以獲致較大的社會福利,並有效地維持金融穩定、降低通膨變化。然而,由於各別族群的異質性,需設計不同的政策組合,方能極大化不同族群的福利。 政黨輪替與英國貨幣政策: 本章檢視是否不同的執政黨會造成英國的貨幣政策偏離最佳的狀態。透過 DSGE 模型所建構出極大化社會福利的利率法則,來計算實際利率與最適泰勒法則的偏移,我們發現,造成偏移的解釋原因裏,政黨的確扮演重要的角色。除了政黨之外,失業率也是造成泰勒法則偏離的原因之一。 金融摩擦與不確定性衝擊: 我們研究了不確定衝擊的影響。我們認為,金融摩擦機制可能是將不確定性衝擊傳導與放大至美國經濟的核心理由。本模型涵括了金融摩擦機制至標準的景氣循環模型,並提出此機制是可以創造出景氣循環。除此之外,我們提出支持來說明不確定性衝擊對於驅動2008--2009美國的經濟波動是重要的。我們更進一步指出,反景氣循環的貸款成數政策可以平穩化不確定性衝擊對總體變數造成的影響。 This dissertation consists of three self-contained essays. In the first chapter, we study the effects of the monetary policy and the macro-prudential policy in Taiwan. The second part investigates the impacts of party alternations and monetary policies in the UK. In chapter 3, we reveal the importance of financial friction under an uncertainty shock. Monetary Policy and Macro-prudential Policy in Taiwan: This chapter develops a small open economy dynamic stochastic general equilibrium (DSGE) model with collateral constraints. We estimate the model with Taiwan's data using the Bayesian technique and assess the fit of the model by the DSGE-vector autoregression (DSGE-VAR) methodology. We demonstrate the welfare implications of the monetary policy and the macro-prudential policy. Our results suggest that an interest rate rule optimally responding to the growth of house prices or domestic loans can enhance social welfare and make all agents better off. Introducing an optimal loan-to-value (LTV) ratio rule reacting to domestic credit or house price dynamics is also Pareto improving. Besides, the optimal deployment of both monetary and macro-prudential policy can yield more social welfare. This coordination of policies effectively stabilize the financial system and limit the volatility of inflation. However, because of the heterogeneity of agents, different policy mixes need to be designed for individual welfare optimizing. Politics and the UK's Monetary Policy: This chapter examines whether politics causes regime shifts in deviations from the optimal monetary policy in the UK. After using a dynamic stochastic general equilibrium model to construct the welfare-maximizing policy rule and deviations from the optimal Taylor rule, we show that politics does indeed play an important role in explaining these deviations. In addition to politics, unemployment rates account for regime shifts in the Taylor rule deviations. Financial Frictions and Uncertainty Shocks: We study the effects of uncertainty shocks. We argue that the financial friction mechanism can be the core to propagate and amplify the impact of uncertainty shocks throughout the US economy. The model incorporates a financial friction mechanism into an otherwise standard business cycle model and provides that this mechanism is capable to generate boom-bust business cycles. Besides, we provide support for the importance of uncertainty shocks in driving U.S. economic fluctuations in 2008--2009. Furthermore, we demonstrate that the LTV ratio regulation leaning against the credit cycle can stabilize the macro variations caused by uncertainty shocks. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15366 |
DOI: | 10.6342/NTU202001137 |
全文授權: | 未授權 |
顯示於系所單位: | 經濟學系 |
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