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題名 新凱因斯模型下，貨幣政策與總體審慎政策對於資產價格泡沫的影響
The effect of monetary policy and macro-prudential policy on asset price bubbles in a new Keynesian model作者 潘冠中
Pan, Kuan Chung貢獻者 黃俞寧
Hwang, Yu Ning
潘冠中
Pan, Kuan Chung關鍵詞 泡沫
隨機動態一般均衡模型
擔保率
貨幣政策
總體審慎政策
Bubbles
DSGE model
Collateral rate
Monetary policy
Macro-prudential policy日期 2017 上傳時間 10-Aug-2017 10:06:33 (UTC+8) 摘要 本研究建立含資產價格泡沫的隨機動態一般均衡 (Dynamic Stochastic General Equilibrium, DSGE) 模型，並以此討論貨幣政策與總體審慎政策的效果。泡沫存在於不動產的股票價格上，且不動產與一般資本皆為生產要素。研究顯示，在隨機衝擊下，一般資本的投資與不動產投資呈現負相關。融資擔保率的調控為總體審慎政策的範疇，本文另研究融資擔保率對經濟變數的影響。結果顯示，當擔保率調升時，產出增加、泡沫減少且不動產的股價 (資產價格) 下跌。本文亦討論依循泰勒法則下的貨幣政策與總體審慎政策對產出與資產價格波動的影響；結果顯示，在經濟景氣時實施緊縮貨幣政策可同時減少資產價格與產出的波動，其效果優於總體審慎政策。
This study established a Dynamic Stochastic General Equilibrium (DSGE) model, which contains asset bubble price, and employed DSGE to discuss the effect of the monetary policy and the macro-prudential policy. Bubbles exist in the stock price of the real estate. Real estate and general capital are both the factors of production. The study indicates that, under stochastic impulse, a negative correlation exists between the investment of the general capital and the investment of the real estate. The study also discusses the operation of the collateral rate, a perspective dealing with macro-prudential policy, and how it influences economic variables. The results present that when collateral rate rises, output increases, bubbles decreases and the stock price of real estate (asset price) declines. The study further investigates how monetary policy, which follows the Taylor rule, and macro-prudential policy affect the vibration of the output and the asset price. The result indicates that during economic prosperity, the implementation of tight monetary policy presents better effect than that of macro-prudential policy since it simultaneously decreases variances of output and asset price.參考文獻 李榮謙、黃麗倫 (2010)，「總體審慎政策之意涵、工具與策略」，國際金融參考資料，第五十九輯，48-55。黃俞寧 (2013)，「動態隨機一般均衡架構在台灣貨幣政策制定上之應用」，中央銀行季刊，35(1)，3-33。Calvo, G. (1983), “Staggered Prices in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12(3), 383-398.Collard, F. and H. Dellas (2007), “The Great Inflation of the 1970s,” Journal of Money, Credit and Banking, 39(2-3), 713-731.Groenewold, N. (2004), “Fundamental Share Prices and Aggregate Real Output,” Applied Financial Economics, 14(9), 651-661.Hayashi, F. (1982), “Tobin`s Marginal q and average q: A Neoclassical Interpretation, Econometrica, 50, 213-224.Ikeda, D. (2013), “Monetary policy and inflation dynamics in asset price bubbles,” Bank of Japan Working Paper Series.Keynes, J. M. (1936). The General Theory of Employment, Interest and Money. London: Macmillan.Kocherlakota, N. (1992), “Bubbles and constraints on debt accumulation,” Journal of Economic Theory, 57, 245-256.Kocherlakota, N. (2009), “Bursting Bubbles: Consequences and Cures,” Manuscript, Federal Reserve Bank of Minneapolis.Nordhaus, W. D. (1992), “Lethal Model 2: The limits to Growth Revisted,” Brookings Papers on Economic Activity, 2, 1-43.Miao, J. (2012), “Bubbles and Total Factor Productivity,” American Economic Review, 102(3), 82-87.Miao, J. (2014), “Introduction to economic theory of bubbles,” Journal of Mathematical Economics, 53, 130-136.Miao, J., P. Wang and Z. Xu (2015), “A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles,” Quantitative Economics, 6, 599-635.Reichling, F. and C. Whalen (2012), “Review of Estimates of the Frisch Elasticity of Labor Supply,” Congressional Budget Office Working Paper.Romer, D. (2006). Advanced Macroeconomics. New York: McGraw-Hill Irwin.Shi, Li. and R. M.H. Suen (2014), “Asset bubbles in an overlapping generations model with endogenous labor supply,” Economics Letters , 123, 164-167.Shiller, R. J. (1981), “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?” American Economic Review, 71, 421-36.Taylor, J. B. (1993), “Discretion versus policy rules in practice,” Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.Tirole, J. (1985), “Asset Bubbles and Overlapping Generations,” Econometrica, 53(5), 1071-1100. Tobin, J. (1969), “A General Equilibrium Approach to Monetary Theory,” Journal of Money, Credit, and Banking, 1(February), 15-29. 描述 碩士
國立政治大學
經濟學系
103258020資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103258020 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) 潘冠中 zh_TW dc.contributor.author (Authors) Pan, Kuan Chung en_US dc.creator (作者) 潘冠中 zh_TW dc.creator (作者) Pan, Kuan Chung en_US dc.date (日期) 2017 en_US dc.date.accessioned 10-Aug-2017 10:06:33 (UTC+8) - dc.date.available 10-Aug-2017 10:06:33 (UTC+8) - dc.date.issued (上傳時間) 10-Aug-2017 10:06:33 (UTC+8) - dc.identifier (Other Identifiers) G0103258020 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111818 - 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) 103258020 zh_TW dc.description.abstract (摘要) 本研究建立含資產價格泡沫的隨機動態一般均衡 (Dynamic Stochastic General Equilibrium, DSGE) 模型，並以此討論貨幣政策與總體審慎政策的效果。泡沫存在於不動產的股票價格上，且不動產與一般資本皆為生產要素。研究顯示，在隨機衝擊下，一般資本的投資與不動產投資呈現負相關。融資擔保率的調控為總體審慎政策的範疇，本文另研究融資擔保率對經濟變數的影響。結果顯示，當擔保率調升時，產出增加、泡沫減少且不動產的股價 (資產價格) 下跌。本文亦討論依循泰勒法則下的貨幣政策與總體審慎政策對產出與資產價格波動的影響；結果顯示，在經濟景氣時實施緊縮貨幣政策可同時減少資產價格與產出的波動，其效果優於總體審慎政策。 zh_TW dc.description.abstract (摘要) This study established a Dynamic Stochastic General Equilibrium (DSGE) model, which contains asset bubble price, and employed DSGE to discuss the effect of the monetary policy and the macro-prudential policy. Bubbles exist in the stock price of the real estate. Real estate and general capital are both the factors of production. The study indicates that, under stochastic impulse, a negative correlation exists between the investment of the general capital and the investment of the real estate. The study also discusses the operation of the collateral rate, a perspective dealing with macro-prudential policy, and how it influences economic variables. The results present that when collateral rate rises, output increases, bubbles decreases and the stock price of real estate (asset price) declines. The study further investigates how monetary policy, which follows the Taylor rule, and macro-prudential policy affect the vibration of the output and the asset price. The result indicates that during economic prosperity, the implementation of tight monetary policy presents better effect than that of macro-prudential policy since it simultaneously decreases variances of output and asset price. en_US dc.description.tableofcontents 一、 導論 11.1股票價格與泡沫 11.2泡沫理論的發展簡述 41.3理論與架構 5二、 模型 72.1總體模型環境與假設 72.2家計部門、不動產部門與其一階條件 82.3最終財、中間商品、資本製造部門與其一階條件 172.4政府部門、均衡條件與外生衝擊 212.5待解變數與方程式 23三、 討論 243.1參數的設定 243.2泡沫成立的條件 253.3融資擔保率的長期影響 29四、 動態分析 324.1線性化 324.2技術衝擊的影響 334.3情緒衝擊的影響 354.4 利率衝擊的影響 374.5金融衝擊的影響 404.6貨幣政策與總體審慎政策的效果與比較 42五、 結論 46參考文獻 48附錄一 50附錄二 50附錄三 52附錄四 56附錄五 59附錄六 62附錄七 64附錄八 68 zh_TW dc.format.extent 1068584 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103258020 en_US dc.subject (關鍵詞) 泡沫 zh_TW dc.subject (關鍵詞) 隨機動態一般均衡模型 zh_TW dc.subject (關鍵詞) 擔保率 zh_TW dc.subject (關鍵詞) 貨幣政策 zh_TW dc.subject (關鍵詞) 總體審慎政策 zh_TW dc.subject (關鍵詞) Bubbles en_US dc.subject (關鍵詞) DSGE model en_US dc.subject (關鍵詞) Collateral rate en_US dc.subject (關鍵詞) Monetary policy en_US dc.subject (關鍵詞) Macro-prudential policy en_US dc.title (題名) 新凱因斯模型下，貨幣政策與總體審慎政策對於資產價格泡沫的影響 zh_TW dc.title (題名) The effect of monetary policy and macro-prudential policy on asset price bubbles in a new Keynesian model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 李榮謙、黃麗倫 (2010)，「總體審慎政策之意涵、工具與策略」，國際金融參考資料，第五十九輯，48-55。黃俞寧 (2013)，「動態隨機一般均衡架構在台灣貨幣政策制定上之應用」，中央銀行季刊，35(1)，3-33。Calvo, G. (1983), “Staggered Prices in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12(3), 383-398.Collard, F. and H. Dellas (2007), “The Great Inflation of the 1970s,” Journal of Money, Credit and Banking, 39(2-3), 713-731.Groenewold, N. (2004), “Fundamental Share Prices and Aggregate Real Output,” Applied Financial Economics, 14(9), 651-661.Hayashi, F. (1982), “Tobin`s Marginal q and average q: A Neoclassical Interpretation, Econometrica, 50, 213-224.Ikeda, D. (2013), “Monetary policy and inflation dynamics in asset price bubbles,” Bank of Japan Working Paper Series.Keynes, J. M. (1936). The General Theory of Employment, Interest and Money. London: Macmillan.Kocherlakota, N. (1992), “Bubbles and constraints on debt accumulation,” Journal of Economic Theory, 57, 245-256.Kocherlakota, N. (2009), “Bursting Bubbles: Consequences and Cures,” Manuscript, Federal Reserve Bank of Minneapolis.Nordhaus, W. D. (1992), “Lethal Model 2: The limits to Growth Revisted,” Brookings Papers on Economic Activity, 2, 1-43.Miao, J. (2012), “Bubbles and Total Factor Productivity,” American Economic Review, 102(3), 82-87.Miao, J. (2014), “Introduction to economic theory of bubbles,” Journal of Mathematical Economics, 53, 130-136.Miao, J., P. Wang and Z. Xu (2015), “A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles,” Quantitative Economics, 6, 599-635.Reichling, F. and C. Whalen (2012), “Review of Estimates of the Frisch Elasticity of Labor Supply,” Congressional Budget Office Working Paper.Romer, D. (2006). Advanced Macroeconomics. New York: McGraw-Hill Irwin.Shi, Li. and R. M.H. Suen (2014), “Asset bubbles in an overlapping generations model with endogenous labor supply,” Economics Letters , 123, 164-167.Shiller, R. J. (1981), “Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?” American Economic Review, 71, 421-36.Taylor, J. B. (1993), “Discretion versus policy rules in practice,” Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.Tirole, J. (1985), “Asset Bubbles and Overlapping Generations,” Econometrica, 53(5), 1071-1100. Tobin, J. (1969), “A General Equilibrium Approach to Monetary Theory,” Journal of Money, Credit, and Banking, 1(February), 15-29. zh_TW
