Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/35817


Title: 兩國動態隨機一般均衡模型的不對稱資本市場分析
Asymmetric Asset Market Analysis in a Two-Country Dynamic Stochastic General Equilibrium Model
Authors: 林伯宏
Lin, Po Hung
Contributors: 黃俞寧
林伯宏
Lin, Po Hung
Keywords: 動態隨機一般均衡
不對稱資本市場
DSGE
incomplete asset market
Date: 2008
Issue Date: 2009-09-18 16:07:01 (UTC+8)
Abstract: 本文嘗試利用兩國動態一般模型 (dynamic stochastic general equilibrium, DSGE)架構,分析資本市場存在的不對稱摩擦現象,藉由設定不同兩國債券調整成本的三種形式,模擬兩國總體變數在本國生產力衝擊下的影響分析。本文模型架構主要遵循Bergin et al. (2007),文中廠商的商品訂價方式採生產者貨幣訂價 (producer currency pricing, PCP),即廠商的訂價行為依照本國貨幣作為計價單位,透過名目匯率轉換為外國消費者面對的商品價格,單一價格法則 (the law of one price, LOP)在此訂價方式下成立;本文模型的商品訂價方式改採當地貨幣訂價 (local currency pricing, LCP),本國廠商以當地貨幣作為計價單位訂定其商品價格,該訂價方式廣為近來文獻所採用,並符合已開發國家之訂價行為,故採用此訂價方式。
電腦模擬本文資本市場的三種不同設定,在本國生產力具有 的外生衝擊下,資本邊際生產力的提高致使本國廠商增加投資,代表性個人資金借貸的管道可透過本國債券與外國債券進行融通,而本國代表性個人在買賣本國債券時無需負擔債券調整成本,在購買外國債券時則需負擔債券調整成本,此一設定即在反映資金借貸的摩擦情形;變數的動態模擬結果顯示,資本市場的不對稱摩擦,將透過兩國間的經常帳變化條件,影響資金借貸的流通,對於兩國總體經濟變數具有顯著影響。
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Description: 碩士
國立政治大學
經濟研究所
95258026
97
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0952580261
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

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