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題名 總體政策對房屋價格的穩定效果
Stabilization effects of macroeconomic policy on housing prices作者 王雨讓
Wang, Yu Rang貢獻者 黃俞寧
Hwang, Yu Ning
王雨讓
Wang, Yu Rang關鍵詞 動態隨機一般均衡模型
房屋價格
房屋貸款占GDP比率
貨幣政策
財政政策
總體審慎政策
Dynamic stochastic general equilibrium (DSGE) model
housing price
housing relative loan-to-GDP ratio
monetary policy
fiscal policy
macroprudential policy日期 2016 上傳時間 3-Aug-2016 10:27:31 (UTC+8) 摘要 本文的研究目的為，在一個含有房屋及房屋相關貸款的動態隨機一般均衡模型的架構中，比較貨幣政策、財政政策以及總體審慎政策對於房屋價格及房屋相關貸款的穩定效果。本文建構一個經濟封閉體系，其中包含三種不同家計單位、商品生產部門、房屋建商、資本生產部門，並且由政府部門制定相關政策；此模型的特色為，不同家計單位中的借貸行為、名目價格僵固性以及透過房屋價格抵押貸款的限制來刻劃金融摩擦。我們考慮了一般緊縮貨幣政策、提高財產稅率以及緊縮貸款價值比；本文發現，在三種政策中，對於抑制房屋價格以及降低住房貸款對國內生產毛額的比例，財政政策及總體審慎政策比起緊縮貨幣政策擁有較好的效果。
The main purpose in this paper is to compare the effect of monetary policy, fiscal policy and macroprudential policy on housing price and housing related loans using a micro-based dynamic stochastic general equilibrium (DSGE) model with housing and housing related loans. We equip a closed economy model with three types of infinitely-lived households (patient households, impatient households and renters), a goods firm, housing and capital producer and a government sector. The model features borrowing and lending between patient and impatient households, nominal rigidity in goods price and financial friction in the form of collateral constraints tied to price of house. We consider the contractionary monetary policy by raising the interest rate, fiscal policy by increasing property tax rate and the macroprudential policy through tightening the loan-to-value (LTV) ratio. We find that among these three policies, in terms of dampening the price of housing and lowering the loan-to-GDP ratio, raising the property tax and lowering the LTV ratio outperforms the contractionary monetary policy.參考文獻 Alpanda, S., and S. Zubairy (2013), “Housing and Tax Policy,” Bank of Canada Working Paper No.2013-33.Alpanda, S., and S. Zubairy (2014), “Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?” Bank of Canada Working Paper No.2014-58.Aoki, K., J. Proudman, and G. Vlieghe (2004), “House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach,” Journal of Financial Intermediation, 13(4), 414–435.Bernanke, B. and M. Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79(1), 14–31.Bernanke, B., M. Gertler, and S. Gilchrist (1999), “The Financial Accelerator in a Quantitative Business Cycle Framework,” in J. B. Taylor and M. Woodford (eds), Handbook of Macroeconomics, 1341–1393, Amsterdam; Oxford: Elsevier.Calvo, Guillermo (1983), “Staggered Prices in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12, pp. 383-398.Central Bank of Taiwan (2014), Press conference References after Meeting of Board of central bank committee, Retrieved from the website of Central Bank of Taiwan.Chang, C.-O., M.-C. Chen, H.-J. Teng, and C.-Y. Yang (2009), “Is There a Housing Bubble in Taipei? Housing Price vs. Rent and Housing Price vs. Income,” Journal of Housing Studies, 18(2), 1–22.Chen, N.-K. and H.-L. Cheng (2012), “External Finance Premium, Taiwan`s Housing Market and Business Fluctuations,” Academia Economic Papers, Institute of Economics, Academia Sinica, 40(3), 307-341.Directorate General of Budget, Accounting and Statistics, Executive Yuan, R.O.C. (2000), “Population and Housing Census in Taiwan and Fujian area,” Retrieved from the website of Directorate General of Budget, Accounting and Statistics, Executive Yuan, R.O.C..Gimeno, R. and C. Martinez-Carrascal (2006), “The interaction between house prices and loans for house purchase. The Spanish case,” Banco de Espana Documentos de Trabajo, No. 0605.Iacoviello, M. (2005), “House Prices, Borrowing Constraint, and Monetary Policy in the Business Cycle,” American Economic Review, 95(3), 739–764.Iacoviello, M. and S. Neri (2010), “Housing Market Spillovers: Evidence from an Estimated DSGE Model,” American Economic Journal: Macroeconomics, 2(2), 125–164.Lee, C.-C., C.-M. Liang, and H.-J. Chou (2008), “Identifying Taiwan’s Real Estate Cycle Turning Points: Application of the Two-Variate Markov-Switching Autoregressive Model,” Journal of Taiwan Land Research, 11(2), 155–177.Lin,C.-C. and C.-L. Chen (2005), “Tenure Choice, Mortgage Payment, and Household Composition of Generation: An Application of Nested Logit Model,” Journal of Housing Studies, 14(1), 1–20.Lin, T.-Y. (2012), “Monetary Policy and the House Price,” (NSC100-2400-H-004-198) Ministry of Science and Technology, Taiwan: Taipei City.Ma, Y.-C. and C.-C. Lin (2009), “Reconfirmation of the Turning Points of Real Estate Cycle Indicators in the Taiwan Real Estate Market: An Application of Markov-Switching Vector Auto-Regression Models,” Journal of Housing Studies, 18(1), 23–37. 描述 碩士
國立政治大學
經濟學系
103258036資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103258036 資料類型 thesis dc.contributor.advisor 黃俞寧 zh_TW dc.contributor.advisor Hwang, Yu Ning en_US dc.contributor.author (Authors) 王雨讓 zh_TW dc.contributor.author (Authors) Wang, Yu Rang en_US dc.creator (作者) 王雨讓 zh_TW dc.creator (作者) Wang, Yu Rang en_US dc.date (日期) 2016 en_US dc.date.accessioned 3-Aug-2016 10:27:31 (UTC+8) - dc.date.available 3-Aug-2016 10:27:31 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2016 10:27:31 (UTC+8) - dc.identifier (Other Identifiers) G0103258036 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99638 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 103258036 zh_TW dc.description.abstract (摘要) 本文的研究目的為，在一個含有房屋及房屋相關貸款的動態隨機一般均衡模型的架構中，比較貨幣政策、財政政策以及總體審慎政策對於房屋價格及房屋相關貸款的穩定效果。本文建構一個經濟封閉體系，其中包含三種不同家計單位、商品生產部門、房屋建商、資本生產部門，並且由政府部門制定相關政策；此模型的特色為，不同家計單位中的借貸行為、名目價格僵固性以及透過房屋價格抵押貸款的限制來刻劃金融摩擦。我們考慮了一般緊縮貨幣政策、提高財產稅率以及緊縮貸款價值比；本文發現，在三種政策中，對於抑制房屋價格以及降低住房貸款對國內生產毛額的比例，財政政策及總體審慎政策比起緊縮貨幣政策擁有較好的效果。 zh_TW dc.description.abstract (摘要) The main purpose in this paper is to compare the effect of monetary policy, fiscal policy and macroprudential policy on housing price and housing related loans using a micro-based dynamic stochastic general equilibrium (DSGE) model with housing and housing related loans. We equip a closed economy model with three types of infinitely-lived households (patient households, impatient households and renters), a goods firm, housing and capital producer and a government sector. The model features borrowing and lending between patient and impatient households, nominal rigidity in goods price and financial friction in the form of collateral constraints tied to price of house. We consider the contractionary monetary policy by raising the interest rate, fiscal policy by increasing property tax rate and the macroprudential policy through tightening the loan-to-value (LTV) ratio. We find that among these three policies, in terms of dampening the price of housing and lowering the loan-to-GDP ratio, raising the property tax and lowering the LTV ratio outperforms the contractionary monetary policy. en_US dc.description.tableofcontents Contents1. Introduction 11.1 Motivation 11.2 Literature Review 42. The Model 72.1 Households 72.1.1 Patient households 72.1.2 Impatient households 102.1.3 Renter households 112.2 Firm 122.2.1 Production of non-housing goods and services 122.2.2 Capital of housing producers 172.3 Central bank policy 192.3.1 Fiscal policy 192.3.2 Monetary policy 202.4 Market clearing and equilibrium 213. Calibration 224. Results 264.1 Monetary Policy 264.2 Fiscal Policy 264.3 Macroprudential policy: lowering the LTV ratio on debt 284.4 The effects of three policies 295. Conclusion 34Reference 35 zh_TW dc.format.extent 1388831 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103258036 en_US dc.subject (關鍵詞) 動態隨機一般均衡模型 zh_TW dc.subject (關鍵詞) 房屋價格 zh_TW dc.subject (關鍵詞) 房屋貸款占GDP比率 zh_TW dc.subject (關鍵詞) 貨幣政策 zh_TW dc.subject (關鍵詞) 財政政策 zh_TW dc.subject (關鍵詞) 總體審慎政策 zh_TW dc.subject (關鍵詞) Dynamic stochastic general equilibrium (DSGE) model en_US dc.subject (關鍵詞) housing price en_US dc.subject (關鍵詞) housing relative loan-to-GDP ratio en_US dc.subject (關鍵詞) monetary policy en_US dc.subject (關鍵詞) fiscal policy en_US dc.subject (關鍵詞) macroprudential policy en_US dc.title (題名) 總體政策對房屋價格的穩定效果 zh_TW dc.title (題名) Stabilization effects of macroeconomic policy on housing prices en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alpanda, S., and S. Zubairy (2013), “Housing and Tax Policy,” Bank of Canada Working Paper No.2013-33.Alpanda, S., and S. Zubairy (2014), “Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?” Bank of Canada Working Paper No.2014-58.Aoki, K., J. Proudman, and G. Vlieghe (2004), “House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach,” Journal of Financial Intermediation, 13(4), 414–435.Bernanke, B. and M. Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79(1), 14–31.Bernanke, B., M. Gertler, and S. Gilchrist (1999), “The Financial Accelerator in a Quantitative Business Cycle Framework,” in J. B. Taylor and M. Woodford (eds), Handbook of Macroeconomics, 1341–1393, Amsterdam; Oxford: Elsevier.Calvo, Guillermo (1983), “Staggered Prices in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12, pp. 383-398.Central Bank of Taiwan (2014), Press conference References after Meeting of Board of central bank committee, Retrieved from the website of Central Bank of Taiwan.Chang, C.-O., M.-C. Chen, H.-J. Teng, and C.-Y. Yang (2009), “Is There a Housing Bubble in Taipei? Housing Price vs. Rent and Housing Price vs. Income,” Journal of Housing Studies, 18(2), 1–22.Chen, N.-K. and H.-L. Cheng (2012), “External Finance Premium, Taiwan`s Housing Market and Business Fluctuations,” Academia Economic Papers, Institute of Economics, Academia Sinica, 40(3), 307-341.Directorate General of Budget, Accounting and Statistics, Executive Yuan, R.O.C. (2000), “Population and Housing Census in Taiwan and Fujian area,” Retrieved from the website of Directorate General of Budget, Accounting and Statistics, Executive Yuan, R.O.C..Gimeno, R. and C. Martinez-Carrascal (2006), “The interaction between house prices and loans for house purchase. The Spanish case,” Banco de Espana Documentos de Trabajo, No. 0605.Iacoviello, M. (2005), “House Prices, Borrowing Constraint, and Monetary Policy in the Business Cycle,” American Economic Review, 95(3), 739–764.Iacoviello, M. and S. Neri (2010), “Housing Market Spillovers: Evidence from an Estimated DSGE Model,” American Economic Journal: Macroeconomics, 2(2), 125–164.Lee, C.-C., C.-M. Liang, and H.-J. Chou (2008), “Identifying Taiwan’s Real Estate Cycle Turning Points: Application of the Two-Variate Markov-Switching Autoregressive Model,” Journal of Taiwan Land Research, 11(2), 155–177.Lin,C.-C. and C.-L. Chen (2005), “Tenure Choice, Mortgage Payment, and Household Composition of Generation: An Application of Nested Logit Model,” Journal of Housing Studies, 14(1), 1–20.Lin, T.-Y. (2012), “Monetary Policy and the House Price,” (NSC100-2400-H-004-198) Ministry of Science and Technology, Taiwan: Taipei City.Ma, Y.-C. and C.-C. Lin (2009), “Reconfirmation of the Turning Points of Real Estate Cycle Indicators in the Taiwan Real Estate Market: An Application of Markov-Switching Vector Auto-Regression Models,” Journal of Housing Studies, 18(1), 23–37. zh_TW
