Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/56540| 題名: | 在金融摩擦下外部融資溢酬之分析─以台灣DSGE實證為例 External finance premium under financial frictions─a DSGE analysis for Taiwan |
作者: | 張蓁昀 | 貢獻者: | 毛維凌<br>許志義 張蓁昀 |
關鍵詞: | 金融摩擦 外部融資溢酬 動態隨機一般均衡模型 |
日期: | 2012 | 上傳時間: | 2-Jan-2013 | 摘要: | 本文以Paolo Gelain(2010)所建構的SWBGG模型，結合Smets & Wouters(2003,2005,2007)及Bernanke,Gertler and Gilchrist(1999)，建構具有金融摩擦(financial frictions)的動態隨機一般均衡模型，用台灣的總體時間序列1980Q3-2011Q4的季資料，拱用七種觀察值：分別為實質GDP成長率、實質投資成長率、實質消費成長率、實質工資成長率、GDP平減指數成長率、工時和金融業隔夜拆款利率利用貝氏估計做參數估計，主要分析分析不同衝擊下對於台灣景氣循環波動影響，及外部融資溢酬與景氣波動的相關性。 | 參考文獻: | 1. Bernanke, B. S.; Gertler, M. & Gilchrist, S. (1999).The \n financial accerlerator in a quantitative business cycle \n framework. Taylor, J. B. & Woodford, M. (Eds.) Handbook \n of Macroeconomics,Amsterdam: North-Holland.\n2. Christiano, L. J.; Eichenbaum, M. & Evans, C. L. (2005).\n Nominal Rigidities and the Dynamic Effects of a Shock to \n Monetary Policy.Journal of Political Economy,113(1),1-45.\n3. De Graeve, F. (2008).The external finance premium and the \n macroeconomy: US post-WWII evidence.Journal of Economic \n Dynamics and Control,32,3415-3440.\n4. Gelain Paolo, Rodriguez-Palenzuela, D. & Vilagi, B. \n (2009).An Estimated Euro-area DSGE Model with Financial \n Frictions: Empirical Investigation of the Financial \n Accelerator Mechanism.European Central Bank,mimeo.\n5. Gelain Paolo (2010).The External Finance Premium in the \n Euro Area: a Useful Indicator for Monetary \n Policy?.European Central Bank Working paper No 1171.\n6. Michal Brzoza-Brzezina, M. K. (2012).Bayesian evaluation \n of DSGE models with financial frictions. Natinal Bank of \n Poland Working Paper No 109.\n7. Smets, F. & Wouters, R. (2003).An estimated stochastic \n dynamic general equilibrium model of the Euro Area.\n Journal of the European Economic Association,1(5),1123- \n 1175.\n8. Smets, F. & Wouters, R. (2007).Comparing shocks and \n frictions in US and euro area business cycles: a Bayesian \n DSGE Approach.Journal of Applied Econometrics,20,161-183.\n9. Smets, F. & Wouters, R. (2007).Shocks and frictions in US \n business cycles: a Bayesian DSGE approach.American \n Economic Review,97,586-606.\n10.Wing Leong Teo (2009).Estimated dynamic stochastic \n general equilibrium model of the Taiwanese economy.\n Pacific Economic Review,14:2,194-231.\n11.劉斌(2010)，動態隨機一般均衡模型及其應用，北京：中國金融出版社。\n12.林依伶(2008)，跨期替代彈性-台灣實證研究，國立台灣大學經濟學研究所碩 \n 士論文。\n13.蔡依恬(2009)，台灣動態隨機一般均衡模型之實證研究，國立中央大學經濟 \n 學研究所碩士論文。\n14.陳宏鈞(2009)，在動態隨機一般均衡模型下台灣消費習慣形成之估計，國立\n 政治大學經濟學研究所碩士論文。 | 描述: | 碩士 國立政治大學 經濟學系 99258033 101 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0099258033 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| 803301.pdf | 1.38 MB | Adobe PDF2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.