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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. |
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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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