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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 李怡庭 | |
dc.contributor.author | Ying-Syuan Li | en |
dc.contributor.author | 李映萱 | zh_TW |
dc.date.accessioned | 2021-06-15T03:52:57Z | - |
dc.date.available | 2010-07-08 | |
dc.date.copyright | 2010-07-08 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-07-06 | |
dc.identifier.citation | Berentsen, Aleksander, Gabriele Camera and ChristopherWaller (2007) 'Money, Credit and Banking,' Journal of Economic Theory 135, 171-195.
Berger, Allen N. and Gregory F. Udell (2006) 'A More Complete Conceptual Framework for SME Finance,' Journal of Banking and Finance 30, 2945-2966. Bernhardt, Dan (1989) 'Money and Loans,' Review of Economic Studies 56, 89-100. Calza, Alessandro, Tommaso Monacelli, and Livio Stracca (2009) 'Housing Finance and Monetary Policy' manuscript. Chen, Nan-Kuang (2001) 'Bank Net Worth, Asset Prices and Economic Activity,' Journal of Monetary Economics 48, 415-436. Chen, Nan-Kuang and Hung-Jen Wang (2007) 'The Procyclical Leverage Effect of Collateral Value on Bank Loans-Evidence from the Transaction Data of Taiwan,' Economic Inquiry 45, 395-406. Ferraris, Leo, and Makoto Watanabe (2008) 'Collateral secured loans in a monetary economy,' Journal of Economic Theory 143, 405-424 Holmstrom, Bengt and Jean Tirole (1998) 'Private and Public Supply of Liquidity,' Journal of Political Economy 106, 1-10. Iacoviello, Matteo (2005) 'House Prices, Borrowing Constraints and Monetary Policy in the Business Cycle,' American Economic Review 95, 739-764. Kehoe, Timothy J. and David K. Levine (1993) 'Debt-Constrained Asset Markets,' Review of Economic Studies 60, 865-88, Kiyotaki, Nobuhiro and John Moore (1997) 'Credit Cycles,' Journal of Political Economy 105, 211-248. Kiyotaki, Nobuhiro and John Moore (2001) 'Liquidity, Business Cycles and Monetary Policy,' http://www.princeton.edu/ kiyotaki/papers/ChiKM6-1.pdf Kiyotaki, Nobuhiro and John Moore (2005) 'Liquidity and Asset Prices,' International Economic Review 46, 317-349. Kocherlakota, Narayana. and Neil Wallace (1998) 'Incomplete Record-Keeping and Optimal Payment Arrangements,' Journal of Economic Theory 81, 272-289. Lagos, Ricardo and Randall Wright (2005) 'A Unified Framework for Monetary Theory and Policy Analysis,' Journal of Political Economy 113, 463-84. Li, Yiting and Guillaume Rocheteau (2009) 'Liquidity Constraints,' manuscript. Lester, Benjamin, Andrew Postlewaite and RandallWright (2008) 'Information, Liquidity, Asset Prices and Monetary Policy,' manuscript. Lucas, Robert E. (1978) 'Asset Prices in an Exchange Economy,' Econometrica 46, 1429-1445. Rocheteau, Guillaume (2008) 'A Monetary Approach to Asset Liquidity,' working paper, Federal Reserve Bank of Cleveland. Berentsen, A., G. Camera and C. Wailer (2007). “Money, Credit and Banking.” Journal of Economic Thory 135 171-195. Bernanke, B. and M. Gertler (1989). 'Agency Costs, Net Worth and Business Fluctuations,' American Economic Review 79, 14-31. Boel, P. and G. Camera (2009). 'Financial Sophistication and the Distribution of the Welfare Cost of Inflation,' Journal of Monetary Economics 79, 14-31. Galenianos, M. and P. Kircher (2008). 'A Model of Money with Multilateral Matching.' Journal of Monetary Economics 55, 1054-1066. Iacoviello, M (2005). “House prices, borrowing constraints and monetary policy in the business cycle.” American Economic Review 95, 739-764. Kiyotaki, N. and John Moore (1997). “Credit Cycles,” Journal of Political Economy 105, 211-248. Lagos, R and R, Wright (2005). “A Unified Framework for Monetary Theory and Policy Analysis.” Journal of Political Economy 113, 463-84. Kocherlakota, N. (1998). 'Money is memory,' Journal of Economic Theory 81, 232-251. Kocherlakota, N. and N. Wallace (1998). “Incomplete Record-Keeping and optimal Payment Arrangements,” Journal of Economic Theory 81, 272-289. Rocheteau, Guillaume (2008). 'Inflation and Welfare: A Search Approach, ' Journal of Money, Credit, and Banking 40, 89-119. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/44689 | - |
dc.description.abstract | 本論文包括三個部份。在第二章裡,我們提出一個資產作爲銀行借貸抵押品的貨幣模型,討論資產價格、流動性與總產出的關係。在銀行實施信用分配的均衡中,資產作爲抵押品的功能導致其價格高於基本面價值而具有流動性貼水,且信用分配越嚴重,流動性貼水越高。貨幣政策的效果取決於銀行能夠對倒帳者採取的懲罰。除了沒收抵押品外,若銀行能拒絕倒帳者未來的貸款,使得倒帳者必需自己攜帶貨幣以支應其消費需求。由於通膨率上升將提高攜帶貨幣的成本,使人們的倒帳成本增加,因此銀行願意提高貸款成數,使總體流動性與產出增加。
在第三章裡,我們探討貨幣政策如何影響銀行對生產力不同的借貸者進行信用分配及其福利效果。由於人們的生產力決定他們賺取貨幣以償還貸款的能力以及倒帳的成本,銀行爲了使人們自願還款,會根據他們的生產能力設定不同的借貸限制。由於低生產力者籌措資金的能力、消費與交易利得都較高生產力者低,其因倒帳而未來無法貸款的損失較小,銀行將給予他們較低的貸款額度以降低其倒帳誘因。當人們的貸款受限於信用分配時,由於低生產力者的交易利得較低,通膨增加其倒帳成本及減低其倒帳誘因的程度較小,使得銀行放寬其借貸限制的幅度較小,因此對生產力不同者信用分配不均的情況更爲嚴重,結果導致通膨有利於高生產力者,而不利於低生產力者。 在第四章裡,我們討論當資產具有抵押品與支付工具兩種功能時,支付工具的選擇、資產價格、流動性與總產出的關係。人們抵押資產獲得的貸款數量受限於銀行的信用分配,或是市場上流通的交易媒介數量不足時,資產的價格都會高於基本面價值而具有流動性貼水。 | zh_TW |
dc.description.abstract | The thesis consists of three parts. We first consider an economy in which lenders cannot force borrowers to repay their debts, and borrowers are required to pledge some assets to secure loans. From deriving the asset pricing equations we illustrate the interactions between asset prices, liquidity, and credit constraints. The asset commands a liquidity premium when credit constraints bind, and the premium is higher when credit rationing is more severe. Monetary policies influence macroeconomic outcomes through the channel of endogenous credit constraints, and the effects depend on the technology to deter default. If exclusion is feasible, aggregate liquidity and output rise because inflation raises the cost of losing the access to future credit. While the asset price is reduced by policy, liquidity may be increased via a higher loan-to-value ratio.
In chapter 3, we develop a model with heterogenous agents to study credit rationing, allocations and the distributional effects of monetary policy. Since productivity differentiates the ability for repayment and gains from trade, to induce voluntary repayment, banks would set the credit limit based on the type. The cost of default -- being excluded from the banking system - is smaller for agents with lower productivity, so banks offer them less credit when borrowing constraints bind. Inflation has distributional effects on the credit constraints and welfare, and leads to more severe credit rationing across heterogeneous agents. If credit rationing occurs, high-type agents gain but low-type agents suffer, in an environment with higher inflation. In chapter 4, we develop a model to highlight the dual role of the real asset in generating liquidity from being used as a means of payment and as collateral. The asset commands a liquidity premium if the amounts of means of payments are not sufficient to achieve the first-best allocation, or credit constraints bind. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T03:52:57Z (GMT). No. of bitstreams: 1 ntu-99-D93323001-1.pdf: 2006040 bytes, checksum: de159fb11ea5b9f34e55c444eeb00f28 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | Contents
口試委員會審定書 ii 誌謝 ii 摘要 iii Abstract iv 1 Introduction 1 2 Liquidity, Asset Prices, and Credit Constraints 4 2.1 Introduction . . . . . . . . . . . . . . . . . . . . .4 2.1.1 Related literature . . . . . . . . . . . . . . . . .8 2.2 The Model . . . . . . . . . . . . . . . . . . . . .. .9 2.3 Equilibrium . . . . . . . . . . . . . . . . . . . . .12 2.3.1 The optimal portfolio choices . . . . . . . . . . 17 2.3.2 Equilibrium with full enforcement . . . . . . . . .19 2.4 Limited enforcement and record keeping . . . . . . . 20 2.4.1 Extremely limited record keeping . . . . . . . . . 20 2.4.2 Superior record keeping . . . . . . . . . . . . . .26 2.4.3 A general case of record keepingζ∈(0,1) . . . . . . . . . 30 2.5 Conclusion . . . . . . . . . . . . . . . . . . . . . 33 3 Productivity, Credit Constraints, and Monetary Policy 51 3.1 Introduction . . . . . . . . . . . . . . . . . . . . 51 3.2 The Model . . . . . . . . . . . . . . . . . . . . . .54 3.3 Equilibrium . . . . . . . . . . . . . . . . . . . . .57 3.3.1 The optimal portfolio choices . . . . . . . . . . .66 3.3.2 Full enforcement . . . . . . . . . . . . . . . . . 67 3.4 Limited enforcement . . . . . . . . . . . . . . . . .68 3.4.1 The distributional effects of monetary policy . . . 72 3.4.2 Improvement in productivity . . . . . . . . . . . .74 3.5 Conclusion . . . . . . . . . . . . . . . . . . . . . 75 4 The Real Asset is used as Means of Payment and Collateral 86 4.1 Introduction . . . . . . . . . . . . . . . . . . . . 86 4.2 The Model . . . . . . . . . . . . . . . . . . . . . .87 4.2.1 The optimal portfolio choices . . . . . . . . . . 90 4.2.2 Limited enforcement . . . . . . . . . . . . . . . .92 5 Conclusion 98 | |
dc.language.iso | en | |
dc.title | 流動性、資產價格與生產力 | zh_TW |
dc.title | Three Essays on Liquidity, Asset Prices and Productivity | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 博士 | |
dc.contributor.oralexamcommittee | 陳南光,王泓仁,賴景昌,蕭明福,洪福聲 | |
dc.subject.keyword | 流動性,資產價格,借貸限制,抵押品,生產力,貨幣政策, | zh_TW |
dc.subject.keyword | Liquidity,Asset prices,Credit Constraints,Collateral,Heterogeneity,Banking,Monetary Policy, | en |
dc.relation.page | 99 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2010-07-06 | |
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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