Please use this identifier to cite or link to this item:

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
Lin, Po Hung
Keywords: 動態隨機一般均衡
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。
Reference: Bergin, P. R. and I. Tchakarov (2003), “Does Exchange Rate Risk Matter for Welfare?” NBER Working paper.
Bergin, P. R., H. C. Shin and I. Tchakarov (2007), “Does Exchange Rate Variability Matter for Welfare? A Quantitative Investigation of Stabilization Policies,” European Economic Review, 51, 1041-58.
Betts, C. and M. B. Devereux (1996), “The Exchange Rate in a Model of Pricing-to-market,” European Economic Review, 40, 1007–1021.
Blanchard, O. and C. Kahn (1980), “The Solution of Linear Difference Models under Rational Expectations,” Econometrica, 48, 1305-1311.
Chari, V. V., Kehoe, P. J. and McGrattan, E. (2002), “Can Sticky-price Models Generate Volatility and Persistent Real Exchange Rate?” Reviews of Economics Studies, 69, 533-563.
Devereux, M. and C. Engel (2003), “Monetary Policy in the Open Economy, Revisited: Price Setting and Exchange Rate Flexibility,” Review of Economic Studies, 70, 765–783.
Juillard, M. (1996), “DYNARE: A Program for the Resolution and Simulation of Dynamic Models with Forward Variables Through the Use of a Relaxation Algorithm,” CEPREMAP.
Kollmann, R. (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics, 49, 989–1015.
Krugman, P. R. (1986), “Pricing to Market When the Exchange Rate Changes,” NBER Working paper.
Lane, P. R. (2001), “The New Open Macroeconomics: a Survey,” Journal of International Economics, 54, 235-266.
McCallum, B. T. (1994), “A Reconsideration of the Uncovered Interest Parity Relationship,” Journal of Monetary Economics, 33, 105-32.
Obstfeld, M. and K. Rogoff (2000), “New Directions for Stochastic Open Economy Models,” Journal of International Economics, 50, 117-53.
Obstfeld, M. and K. Rogoff (1995), “Exchange Rate Dynamics Redux,” Journal of Political Economy, 103, 624-60.
Obstfeld, M. and K. Rogoff (1996), Foundations of International Macroeconomics, the MIT Press.
Romer, D. (2001), Advanced Macroeconomics, McGraw-Hill.
Sims, C. (2000), “Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models,” Working paper, Princeton University.
Sutherland, A., (1996), “Financial Market Integration and Macroeconomic Volatility,” Scandinavian Journal of Economics, 98, 521-539.
Tille, C., (1997), “The International Welfare Effect of Monetary Policy under Pricing to Market,” mimeo, Princeton University.
Description: 碩士
Source URI:
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

Files in This Item:

File Description SizeFormat
026101.pdf338KbAdobe PDF898View/Open
026102.pdf351KbAdobe PDF904View/Open
026103.pdf351KbAdobe PDF966View/Open
026104.pdf353KbAdobe PDF851View/Open
026105.pdf357KbAdobe PDF1154View/Open
026106.pdf282KbAdobe PDF1386View/Open
026107.pdf402KbAdobe PDF1211View/Open
026108.pdf392KbAdobe PDF2934View/Open
026109.pdf379KbAdobe PDF1214View/Open
026110.pdf376KbAdobe PDF957View/Open
026111.pdf352KbAdobe PDF917View/Open
026112.pdf358KbAdobe PDF928View/Open
026113.pdf716KbAdobe PDF814View/Open

All items in 學術集成 are protected by copyright, with all rights reserved.

社群 sharing