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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳南光(Nan-Kuang Chen) | |
dc.contributor.author | Yang-Jun Huang | en |
dc.contributor.author | 黃揚峻 | zh_TW |
dc.date.accessioned | 2021-06-08T04:37:33Z | - |
dc.date.copyright | 2009-08-20 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-08-17 | |
dc.identifier.citation | 李建強 (2006), 「金融發展, 經濟成長與通膨的門檻效果」,台灣經濟預測與政策, 36:2, 77-113
黃宇凡 (2006), “The Effect of Monetary Policy and Foreign Exchange Intervention on the Exchange Rate,” 國立台灣大學碩士論文 Bernanke, Ben S., (1983), “Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depress,” American Economic Review, 257-276. Bernanke, Ben S., and Blinder, Alan S., (1988), “Credit, Money, and Aggregate Demand,” American Economic Review, 435-439 Bernanke, Ben S., and Blinder, Alan S., (1992), “The Federal Funds Rate and the Channels of Monetary Transmission,” American Economics Review, 901-921. Bernanke, Ben S., and Gertler, Mark, (1989), “Agency Cost, Net Worth, and Business Fluctuations,” American Economic Review, 12-31 Bernanke, Ben S., and Gertler, Mark, (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission,” Journal of Economic Perspectives, 27-48 Bernanke, Ben S., Gertler, Mark, and Gilchrist, Simon, (1996), “The Financial Accelerator and the Flight to Quality,” The Review of Economics and Statistics, 1-15 Bernanke, Ben S., and Lown, Cara S., (1991), “The Credit Crunch,” Booking Papers on Economic Activity, 205-247 Christiano, Lawrence, Eichenbaum, Martin, and Evans, Charles, (1994a), “The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds,” mimeo, Northwestern University 16-34 Carlstrom, Charles T., and Fuerst, Timothy S., (1997), “Agency Cost, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis,” American Economic Review, 893-910 Gertler, Mark, and Gilchrist, Simon, (1993) “The Role of Credit Market Imperfections in the Monetary Transmission Mechanism: Arguments and Evidence,” Scand. J. of Economics, 43-64 Hansen, B. E. (1996a), “Inference When a Nuisance Parameter is Not Identified under the Null Hypothesis,” Econometrica, 64, 413-430 Iacoviello, Matteo, and Minetti, Raoul, (2007), “The Credit Channel of Monetary Policy: Evidence from the Housing Market,” Journal of Marcoeconomic Jaffee, Dwight M., and Russell, Thomas, (1976), “Imperfect Information, Uncertainty, and Credit Rationing,” Quarterly Journal of Economics, 651-666 Kashyap, Anil, Stein, Jeremy, and Wilcox, David, (1993), “Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance,” American Economic Review, 78-98 Lown, Cara S., Morgan, Donald P., and Sonali Rohatgi, (2000), “Listening to Loan Officers: The Impact of Commercial Credit Standards on Lending and Output,” FRBNY Economic Policy Review, 1-16 Lown, Cara S., and Morgan, Donald P., (2002), “Credit Effects in the Monetary Mechanism,” FRBNY Economics Policy Review, 217-235 Lown, Cara S., and Morgan, Donald P., (2006), “The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey,” Journal of Money, Credit, and Banking, 1575-1597 Oliner, Stephen D., and Rudebusch, Glenn D., (1996), “Is There a Broad Credit Channel for Monetary Policy?” FRBSF Economic Review, 1-13 Ramey, Valerie, (1993), “How Important is the Credit Channel in the Transmission of Monetary Policy?” Carnegie-Rochester Conference Series on Public Policy, 39, 1-45 Stiglitz, Joseph E., and Weiss, Andrew, (1981), “Credit Rationing in Markets with Imperfect Information,” American Economic Review, 393-410 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/23008 | - |
dc.description.abstract | In general, economists agree that money is neutral in the short run, but there is no consensus between them as to how monetary transmission mechanism works. Keynesians and Monetarists tend to emphasize on liquidity, they categorize assets into money and other nonmoney financial assets called bond. Under the assumption of perfect market, only goods market and money market need to be settled, bond market will automatically clear according to walras’ law. This simplified assumption leads to two major conclusions: money affects economy via interest, that is, financial system is a veil; and any massive financial disorder won’t cause any real effects.
During 1930s Great Depression, 1990-1992 recession, and 2007 subprime crisis, evidence were found that financial systems have real effects. Lately many economists devote themselves to relaxing perfect capital market assumption by considering imperfect information theory, resulting in the so called “credit view”. In this thesis, I utilize a unique survey data that measures banks’ lending standard as a proxy for availability of bank credit. Data for both commercial loan and residential mortgage were considered individually. As to model specification, threshold autoregressive and vector autoregressive were used to review various hypotheses predicted by the credit view. As a result, there exists a threshold effect in commercial loan market when variable for monetary policy substance were used as threshold variable. In contraction regime, lending standard affects loan significantly; and when in monetary expansion regime, it affects loan insignificantly. As for mortgage market, there is no threshold effect. Commercial loan market is supportive of credit view, while mortgage market is supportive of liquidity view. In vector autoregressive, a phenomenon called “flight to quality” shared by credit view was presented, but there is no evidence suggesting financial variable as accelerator, which contradicted the credit view. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T04:37:33Z (GMT). No. of bitstreams: 1 ntu-98-R96323046-1.pdf: 335084 bytes, checksum: b1dba861fa0fd230db16df895b5be106 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 目錄
目錄………………………………………………………………………i 中文摘要………………………………………………………………iii 英文摘要……………………………………………………………… iv 1.前言……………………………………………………………………1 2.文獻回顧 2.1 貨幣中立性………………………………………………………4 2.2 信用市場摩擦……………………………………………………5 3.資料,模型設定和估計方法…………………………………………7 3.1 資料…………………………………………………………… 7 3.2 模型設定 3.2.1 門檻自我迴歸模型………………………………………10 3.2.2 向量自我迴歸模型………………………………………12 3.2.3 Counterfactualsimulation……………………………15 4.實證結果 4.1 門檻自我迴歸模型…………………………………………… 17 4.2 向量自我迴歸模型 4.2.1 商業製造部門……………………………………………22 4.2.2 抵押貸款部門……………………………………………24 5.結論………………………………………………………………… 27 表次 表(一) 門檻效果檢定(商業製造C&I loan)……………………… 17 表(二) 線性模型和門檻模型估計結果(商業製造C&I loan)…… 18 表(三) 門檻效果檢定(抵押貸款mortgage)……………………… 19 表(四) 線性模型和門檻模型估計結果(抵押貸款mortgage)…… 20 圖次 圖(一) 抵押貸款需求增加淨比例和放款標準緊縮淨比例走勢圖……8 圖(二) 商業製造貸款需求增加淨比例和放款標準緊縮淨比例走勢圖……9 圖(三) 貨幣政策衝擊反應函數(商業製造部門)……………………………22 圖(四) 貸放標準衝擊反應函數(商業製造部門)……………………………23 圖(五) Counterfactual simulation(商業製造部門)……………………………23 圖(六) 貨幣政策衝擊反應函數(抵押貸款部門)……………………………24 圖(七) 貸放標準衝擊反應函數(抵押貸款部門)……………………………25 圖(八) Counterfactual simulation(抵押貸款部門)……………………………26 參考文獻……………………………………………………………… 28 | |
dc.language.iso | zh-TW | |
dc.title | 貨幣政策信用管道-銀行貸放標準研究 | zh_TW |
dc.title | The Credit Channel of Monetary Policy: An Inquiry into Banks Lending Standard | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 王泓仁(Hung-Jen Wang) | |
dc.contributor.oralexamcommittee | 毛慶生(Ching-Sheng Mao),姚睿(Ruey Yau) | |
dc.subject.keyword | 貨幣傳遞機能,信用管道,貸放標準,門檻自我迴歸模型,向量自我迴歸模型, | zh_TW |
dc.subject.keyword | montary transmission mechanism,credit channel,lending standard,threshold autoregressive,vector autoregressive, | en |
dc.relation.page | 30 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2009-08-17 | |
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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