信用傳遞機制, 金融風暴與政府政策之總體經濟意涵

Abstract

本計畫的研究目的在於檢視金融危機下，政府的相關因應政策之有效性。本研究的研究動機主要來自於當前全世界正面臨的金融風暴。本次金融危機主要導因於信用市場上的訊息不對稱 (asymmetric information)，因此本研究將在一動態隨機一般均衡模型的架構下 (dynamic stochastic general equilibrium model, DSGE) 引入銀行體系 (banking sector)，利用電腦模擬與校對 (calibration) 來探討信用市場面臨衝擊時所致之信用緊縮對於經濟體系所造成之影響，以及政府採取之擴張性貨幣政策與財政政策是否能夠有效地減緩金融危機對於市場所造成的衝擊。許多相關研究已證實，信用市場不完全性 (credit market imperfection) 對於貨幣政策傳遞機制確實具有顯著影響。信用傳遞機制 (credit channel) 的存在得以擴大貨幣政策的效果，此在文獻上稱為＂金融加速機制＂（financial accelerator）。然而信用傳遞機制是否對於財政政策也有相同的影響，文獻上卻還未有相關研究。因此，本研究的另一主要貢獻即在於探討信用傳遞機制對於財政政策的傳遞機制與總體效果之影響。此研究計畫之研究重點如下： 1. 在信用傳遞機制的模型下，檢視金融危機中，擴張性貨幣政策與財政政策之總體效果。 2. 比較金融風暴下，貨幣政策與財政政策是否能有效減緩風暴所造成之衝擊。 3. 提供政府因應金融危機之政策建議。 4. 探討信用傳遞機制對於財政政策傳遞機制之影響。

The objective of this study is to examine the effectiveness of policies under financial crises. This study is motivated by the current wide-spread financial crises due to the asymmetric information problem in the credit market. Various studies have demonstrated that the credit channel, which addresses the agency cost on the credit market, magnifies the effect of monetary policy on the economy. It is known as the “financial accelerator” in the literature. Following the setup in Goodfriend and McCallum (2007), who are the first to introduce the credit channel in a dynamic stochastic general equilibrium (DSGE) model, this study will discuss the dynamic responses of macroeconomic variables in face of financial shocks to the banking sector. Calibration will be conducted to evaluate quantitatively the macroeconomic implications and effectiveness of monetary and fiscal policies under financial crises. Moreover, this study will examine the implication of credit channel for the fiscal policy transmission mechanism. Since it has not been done before, this research will make significant contribution to the literature in this matter. The key points of this research include: 1. Use the model with credit channel to examine the macroeconomic implications of expansionary monetary and fiscal policies in face of financial crises. Two fiscal policies will be examined: productive and consumable government spending. 2. Compare the effectiveness of these three policies in the stabilization of the economy when the economy is struck by the financial crises. 3. Provide the policy suggestions for the government’s rescue policies in response to financial crises. 4. Furthermore, investigate the effect of the credit channel on the fiscal policy transmission mechanism: whether the credit channel has an amplification effect on the propagation mechanism of fiscal policies as it does to the monetary policy.