以動態隨機一般均衡模型分析臺灣最適總體審慎政策

Abstract

本文主要根據 Iacoviello and Neri (2010) 的模型架構，以及 Kollmann (2002) 外國市場的設定，建構一小型開放經濟的動態隨機一般均衡 (Dynamic Stochastic General Equilibrium, DSGE) 模型。為了找出臺灣的最適總體審慎政策，本文考慮許多不同種類的利率法 則與貸款成數 (loan-to-value ratio; LTV ratio) 法則。本文發現，當考慮利率法則時，針對房價採取逆風頂立政策，帶來的穩定性與社會福利增進的效果最佳；而當考慮貸款成數法則時，國內信用的表現最佳。

We develop a small open economy dynamic stochastic general equilibrium (DSGE) model featuring collateral constraint following Iacoviello and Neri (2010) and open economy framework à la Kollmann (2002). To investigate the optimal macro-prudential policy of the Taiwanese economy, several versions of interest rate rules and loan-to-value (LTV) ratio rules are discussed. This paper finds that the interest rate rule leaning against the wind of housing price has the best effect on mitigating the volatility of major macroeconomic variables and improving social welfare function, while the LTV rule responding to domestic credit has the best performance.