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標題: | 貨幣與利率之研究 Three Essays on Money and Interest Rates |
作者: | Yi-Cheng Kao 高一誠 |
指導教授: | 陳思寬 |
關鍵字: | 銀行擠兌,以物易物,資料探查,惡性通膨,逐步卓越預測能力檢定,利率期限結構, bank runs,barter,data snooping,hyperinflation,Step‐,SPA test,the term structure of interest rates, |
出版年 : | 2009 |
學位: | 博士 |
摘要: | 本博士論文由三篇關於貨幣與利率的文章所組成。第一篇應用逐步卓越預測能力檢定,探討利率期限結構模型在預測實質經濟成長上是否有資料探查偏誤的問題。簡單來說,當研究者採用眾多模型去預測單一經濟成長率的歷史資料時,某模型表現出顯著的預測能力有可能來自於幸運或機率,而非具有真實的預測能力。不過,我們的實證結果顯示出,在900個利率期限結構模型中,確實有些模型具有真實的預測能力,而這些模型都是由短期利率以及長短期利差所構成。其中,最佳模型是由3個月期的國庫券利率,以及5年期公債與3個月期國庫券之利差所組成。
第二篇文章將消費依存度引入貨幣搜尋模型,解釋為何以物易物現象可能發生在低度物價膨脹的經濟體中。分析結果顯示出,當消費依存度高時,惡性通膨會使經濟體處於以物易物的均衡中;反之,當消費依存度非常低時,縱使是物價高度上漲,經濟體仍是處於貨幣交易的均衡中。經濟直覺是,當消費依存度低時,人們只需要少許他人製造的物品就能存活,因此當貨幣購買力很低時還是會使用貨幣來交易。另外,當消費依存度上升時,就算物價低度上漲,經濟體亦有可能從貨幣交易均衡轉換成以物易物均衡。這結果解釋了90年代中期發生在俄羅斯的以物易物現象。 第三篇文章探討利率期限結構在銀行金融危機中所扮演的角色。我們建構簡單的利率期限結構於銀行擠兌模型中,並應用對稱混合策略的Nash均衡來求算存款者提早領取存款之機率。模擬分析顯示出,當短期利率較低時,存款者提早領取存款的機率會升高;反之,當長期利率較低時,提早領取存款的機率會下降。這結果與實證研究相一致。因此,當貨幣政策執行者採取寬鬆的低率政策時,需加以考慮此可能的負面效果。最後,分析結果同時顯示出,當存款者人數增加時,提早領取存款的機率會下降。所以,政策執行者可以督促銀行提高其存款來源多元性以降低此負面效果。 The Ph.D. dissertation is a collection of three essays on money and the term structure of interest rates. Chapter 1 examines the predictive power of the term structure on real output growth. We first incorporate 900 models into the alternative set, and then test the predictive power and identify superior models by a new large-scale multiple test, the stepwise superior predictive ability test. The result shows that the term structure has its inherently predictive power in predicting the U.S. real GDP growth rates. In addition, all identified superior models consist of a short-term rate and a term spread. This suggests that both short-term rates and term spreads contain useful information about future economic activities. In particular, for predicting annual growth rates, the best model depends on the short-term rate of 3-month Treasury bill and the term spread between this short rate and the yield of 5-year Treasury note. In Chapter 2, we develop a search model to explain the popular bartering activities of transitional economies in the 1990s. By introducing a simple concept of consumption interdependence into the model, we show that an economy with higher consumption interdependence would be in a barter equilibrium during hyperinflation. In contrast, an economy with an extremely low degree of consumption interdependence is always in a monetary equilibrium. The intuition is that when individuals strongly need others’ goods, they are better-off with direct bartering during hyperinflation. On the other hand, when individuals only need few others’ goods, they always accept money in order to trade some basic goods for living, even though the purchasing power of money is extremely low. Moreover, the model also contains a possibility that agents may switch from using money to bartering as the inflation rate is low, and this is the case of Russia during 1995 and 1997. In addition, the gains from using money can also be documented in the model by reducing the bargaining power of individuals. In Chapter 3, we construct a term structure in a bank run model to investigate the strategic behaviors of depositors under different real interest rates. As a bank consists of some dominant depositors, one depositor’s consideration for others’ action could be properly modeled by the symmetric mixed-strategy Nash equilibrium. By allowing depositors to use the symmetric mixed strategy, the probability of early withdrawing could be constructed in the equilibrium. Our simulation shows that a low short-term real interest rate, a high long-term real interest rate, or a small number of depositors would raise the probability, and hence the banking system would be more unstable. This result is consistent with recent empirical evidences. Therefore, when the monetary authority cuts short-term interest rates to stimulate the economy, it should also consider the adverse effect on raising the probability. On the other hand, policy makers could reduce the probability by inducing banks to diversify their liabilities. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45387 |
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顯示於系所單位: | 國際企業學系 |
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