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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 陳南光(Nan-Kuang Chen) | |
| dc.contributor.author | Tsung-Hsien Li | en |
| dc.contributor.author | 李宗憲 | zh_TW |
| dc.date.accessioned | 2021-06-16T02:54:10Z | - |
| dc.date.available | 2020-07-20 | |
| dc.date.copyright | 2015-07-20 | |
| dc.date.issued | 2014 | |
| dc.date.submitted | 2015-07-09 | |
| dc.identifier.citation | Adolfson, Malin, Stefan Laséen, Jesper Lindé, and Mattias Villani (2007), “Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Trough,” Journal of International Economics, 72, 481–511.
Angelini, Paolo, Stefano Neri, and Fabio Panetta (2012), “Monetary and Macroprudential Policies,” ECB Working Paper Series No. 1449. Bernanke, Ben and Mark Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79, 14–31. Bernanke, Ben, Mark Gertler, and Simon Gilchrist (1999), “The Financial Accelerator in a Quantitative Business Cycle Framework,” in John B. Taylor and Michael Woodford (eds.), Handbook of Macroeconomics, 1341–1393, Amsterdam; Oxford: Elsevier. Calvo, Guillermo Antonio (1983), “Staggered Prices in a Utility Maximizing Framework,” Journal of Monetary Economics, 12, 383–398. Cheng, Han-Liang, Nan-Kuang Chen, and Ching-Sheng Mao (2008), “Oil Price Shock and Monetary Policy in the Business Cycle — A Welfare Analysis,” Working Paper. Choi,Woon Gyu and David Cook (2012), “Fire Sales and the Financial Accelerator,” Journal of Monetary Economics, 59, 336–351. Clarida, Richard, Jordi Gali, and Mark Gertler (2000), “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,” Quarterly Journal of Economics, 115, 147–180. Dib, Ali (2011), “Monetary Policy in Estimated Models of Small Open and Closed Economies,” Open Economies Review, 22, 769–796. Gali, Jordi and Tommaso Monacelli (2005), “Monetary Policy and Exchange Rate Volatility in a Small Open Economy,” Review of Economic Studies, 72, 707–734. Hwang, Yu-Ning and Pei-Ying Ho (2012), “Optimal Monetary Policy for Taiwan: A Dynamic Stochastic General Equilibrium Framework,” Academia Economic Papers, 40, 447–482. Iacoviello, Matteo and Stefano Neri (2010), “Housing Market Spillovers: Evidence from an Estimated DSGE Model,” American Economic Journal: Macroeconomics, 2, 125–164. Kiyotaki, Nobuhiro and John Moore (1997), “Credit Cycles,” Journal of Political Economy, 105, 211–248. Kollmann, Robert (2001), “The Exchange Rate in a Dynamic-Optimizing Business Cycle Model with Nominal Rigidities: a Quantitative Investigation,” Journal of International Economics, 55, 243–262. Kollmann, Robert (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics, 49, 989–1015. Lambertini, Luisa, Caterina Mendicino, and Maria Teresa Punz (2013), “Leaning Against Boom-Bust Cycles in Credit and Housing Prices,” Journal of Economic Dynamics and Control, 37, 1500–1522. Lubik, Tomas and Frank Schorfeide (2006), “A Bayesian Look at New Open Economy Macroeconomics,” NBER Macroeconomics Annual 2005, 20, 313–382. Medina, Juan Pablo and Jorge Roldós (2014), “Monetary and Macroprudential Policies to Manage Capital Flows,” IMF Working Paper Series. Quint, Dominic and Pau Rabanal (2014), “Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area,”International Journal of Central Banking, 10, 169–236. Schmitt-Grohé, Stephanie and Martın Uribe (2003), “Closing Small Open Economy Models,” Journal of International Economics, 61, 163–185. Schmitt-Grohé, Stephanie and Martın Uribe (2004), “Optimal Operational Monetary Policy in the Christiano-Eichenbaum-Evans Model of the U.S. Business Cycle,” Working Paper. Teo, Wing-Leong (2009), “Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy,” Pacifc Economic Review, 14, 194–231. Teo, Wing-Leong (2011), “Inventories and Optimal Monetary Policy in a Small Open Economy,” Journal of International Money and Finance, 30, 1719–1748. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/54390 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T02:54:10Z (GMT). No. of bitstreams: 1 ntu-103-R01323016-1.pdf: 690797 bytes, checksum: 0f34a834311640f2f0a4251ef200b52b (MD5) Previous issue date: 2014 | en |
| dc.description.tableofcontents | 口試委員會審定書 . . . . . . . . . . . . . . . . . . . . i
中文摘要 . . . . . . . . . . . . . . . . . . . . . . . ii Abstract . . . . . . . . . . . . . . . . . . . . . . .iii Contents . . . . . . . . . . . . . . . . . . . . . . . iv List of Figures. . . . . . . . . . . . . . . . . . . . vi List of Tables . . . . . . . . . . . . . . . . . . . .vii 1 Introduction . . . . . . . . . . . . . . . . . . . . 1 2 The Model . . . . . . . . . . . . . . . . . . . . . 6 2.1 Patient Households . . . . . . . . . . . . . . . . 6 2.2 Impatient Households . . . . . . . . . . . . . . . 9 2.3 Intermediate Goods Firms . . . . . . . . . . . . . 11 2.4 Final Goods Firms . . . . . . . . . . . . . . . . 14 2.5 House-producing Firms . . . . . . . . . . . . . . 16 2.6 Labor Unions . . . . . . . . . . . . . . . . . . 17 2.7 The Central Bank . . . . . . . . . . . . . . . . . 18 2.8 Exogenous Processes . . . . . . . . . . . . . . . 18 2.9 Market Clearing Conditions . . . . . . . . . . . . 19 3 Empirical Methodology. . . . . . . . . . . . . . . . 21 3.1 Data . . . . . . . . . . . . . . . . . . . . . . . 21 3.2 Calibration . . . . . . . . . . . . . . . . . . . 22 3.3 Properties of the Model . . . . . . . . . . . . . 25 4 Monetary and Macro-prudential Policies . . . . . . . 29 4.1 Optimal Interest Rate Rules . . . . . . . . . . . 30 4.2 Optimal Counter-cyclical LTV Ratio Rules . . . . . 34 5 Conclusion . . . . . . . . . . . . . . . . . . . . . 37 Bibliography . . . . . . . . . . . . . . . . . . . . . 39 A Equilibrium Conditions . . . . . . . . . . . . . . . 42 B Steady States . . . . . . . . . . . . . . . . . . . 46 C Impulse Responses . . . . . . . . . . . . . . . . . 51 | |
| dc.language.iso | en | |
| dc.subject | 總體審慎政策 | zh_TW |
| dc.subject | 貨幣政策 | zh_TW |
| dc.subject | 擔保品借貸限制 | zh_TW |
| dc.subject | 動態隨機一般均衡模型 | zh_TW |
| dc.subject | 貸款成數 | zh_TW |
| dc.subject | 總體審慎政策 | zh_TW |
| dc.subject | 貨幣政策 | zh_TW |
| dc.subject | 擔保品借貸限制 | zh_TW |
| dc.subject | 貸款成數 | zh_TW |
| dc.subject | 動態隨機一般均衡模型 | zh_TW |
| dc.subject | Dynamic Stochastic General Equilibrium Model | en |
| dc.subject | Loan-to-value Ratio | en |
| dc.subject | Macro-prudential Policy | en |
| dc.subject | Monetary Policy | en |
| dc.subject | Collateral Constraint | en |
| dc.subject | Dynamic Stochastic General Equilibrium Model | en |
| dc.subject | Collateral Constraint | en |
| dc.subject | Loan-to-value Ratio | en |
| dc.subject | Macro-prudential Policy | en |
| dc.subject | Monetary Policy | en |
| dc.title | 以動態隨機一般均衡模型分析臺灣最適總體審慎政策 | zh_TW |
| dc.title | Optimal Macro-prudential Policies in a DSGE Model: The Case of Taiwan | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 103-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 王泓仁(Hung-Jen Wang) | |
| dc.contributor.oralexamcommittee | 黃朝熙,徐之強,李怡庭 | |
| dc.subject.keyword | 動態隨機一般均衡模型,擔保品借貸限制,貨幣政策,總體審慎政策,貸款成數, | zh_TW |
| dc.subject.keyword | Dynamic Stochastic General Equilibrium Model,Collateral Constraint,Monetary Policy,Macro-prudential Policy,Loan-to-value Ratio, | en |
| dc.relation.page | 61 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2015-07-13 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| 顯示於系所單位： | 經濟學系 | |
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