Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/131980
題名: 考慮帶有金融市場摩擦的新凱因斯動態隨機一般均衡模型於台灣:基於貝式理論分析
The New Keynesian DSGE Models with Financial Frictions for Taiwan: Based on Bayesian Methods
作者: 胡凱翔
Hu, Kai-Xiang
貢獻者: 吳致謙
胡凱翔
Hu, Kai-Xiang
關鍵詞: 動態隨機一般均衡模型
金融摩擦
抵押限制
DSGE
Financial Friction
Collateral Constraint(CC)
日期: 2020
上傳時間: 2-Sep-2020
摘要: 本文使用台灣資料,探討考慮金融摩擦的情況下,是否能增進新凱因斯動態隨機一般均衡模型(New Keynesian dynamic stochastic general equilibrium model, DSGE) 對於台灣總體資料的配適度。具體來說,我選用抵押限制 (Collateral Constraint) 捕捉金融摩擦;我使用台灣資料,重新對模型參數進行校對 (Calibration) 與貝氏估計(Bayesian estimation),並在文末比較是否考慮金融摩擦會提升無金融摩擦模型的解釋能力。最後我發現無金融摩擦的模型在相關性、自我相關性的資料配適能力均優於考慮金融摩擦的模型。因此考慮金融摩擦並無法有效增進新凱因斯動態隨機一般均衡模型對台灣資料的配適能力。
This paper investigates whether the New Keynesian Dynamic Stochastic General Equilibrium model(DSGE) will improve its fitness to Taiwan macroeconomic data in the case of considering financial friction. In particular, I consider the Collateral Constraint as the financial friction. I estimate model parameters by using Taiwan data with Calibration and Bayesian Estimation, and compare the fitness to moments of Taiwan data with and without thefinancial friction. I find that the frictionless DSGE model has a better fitness to Taiwan data in terms of correlation and autocorrelation. To conclude, considering the credit constraint cannot boost the fitness to Taiwan macroeconomic data for New Keynesian DSGE model.
參考文獻: 1.黃俞寧,動態隨機一般均衡架構在台灣貨幣政策制定上之應用,計畫編號,101cbc-經1, 2012\n\n2.陳旭昇與湯茹茵\n動態隨機一般均衡(DSGE)模型在貨幣政策制定上的應用:一個帶有批判性的回顧與展望\n經濟論文叢刊, 臺灣大學經濟學系, 2012, 40, 289-323\n\n3.陳旭昇與吳聰敏\n台灣貨幣政策法則之檢視\n經濟論文, 中央研究院經濟研究所, 2010, 38, 33-59\n\n4.張蓁昀\n在金融摩擦下外部融資溢酬之分析─以台灣DSGE實證為例\n2012\n\n5.Bernanke, B. & Gertler, M.\nAgency Costs, Net Worth, and Business Fluctuations\nThe American Economic Review, American Economic Association, 1989, 79, 14-31\n\n6.Brzoza-Brzezina, M. & Kolasa, M.\nBayesian Evaluation of DSGE Models with Financial Frictions\nJournal of Money, Credit and Banking, 2013, 45, 1451-1476\n\n7.Christiano, L.; Eichenbaum, M. & Evans, C.\nNominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy\nJournal of Political Economy, The University of Chicago Press, 2005, 113, 1-45\n\n8.Christiano, L.; Motto, R. & Rostagno, M.\nFinancial Factors in Economic Fluctuations\nEuropean Central Bank, European Central Bank, 2010\n\n9.Christiano, L. J.; Eichenbaum, M. S. & Trabandt, M.\nOn DSGE Models\nJournal of Economic Perspectives, 2018, 32, 113-40\n\n10.Guerrieri, L. & Iacoviello, M.\nCollateral Constraints and Macroeconomic Asymmetries\nJournal of Monetary Economics, 2017, 90, 28 - 49\n\n11.Hwang, Y.-N. & Ho, P.-Y.\nOptimal Monetary Policy for Taiwan: A Dynamic Stochastic General Equilibrium Framework\n經濟論文, 中央研究院經濟研究所, 2012, 40, 447-482\n\n12.Iacoviello, M.\nHouse Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle\nAmerican Economic Review, 2005, 95, 739-764\n\n13.Jermann, U. & Quadrini, V.\nMacroeconomic Effects of Financial Shocks\nAmerican Economic Review, 2012, 102, 238-71\n\n14.Kiyotaki, N. & Moore, J.\nCredit Cycles\nJournal of Political Economy, The University of Chicago Press, 1997, 105, 211-248\n\n15.Smets, F. & Wouters, R.\nAn Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area\nJournal of the European Economic Association, 2003, 1, 1123-1175\n\n16.Smets, F. & Wouters, R.\nShocks and Frictions in US Business Cycles: A Bayesian DSGE Approach\nAmerican Economic Review, 2007, 97, 586-606\n\n17.Teo, W. L.\nEstimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy\nPacific Economic Review, 2009, 14, 194-231
描述: 碩士
國立政治大學
經濟學系
108258003
資料來源: http://thesis.lib.nccu.edu.tw/record/#G0108258003
資料類型: thesis
Appears in Collections:學位論文

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