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題名 最適傳統與非傳統貨幣政策
Optimal Conventional and Unconventional Monetary Policy
作者 蘇醒文
貢獻者 黃俞寧
蘇醒文
關鍵詞 最適貨幣政策
非傳統貨幣政策
量化寬鬆
動態隨機一般均衡
Optimal monetary policy
Unconventional monetary policy
Quantitative easing
DSGE
日期 2017
上傳時間 10-Aug-2017 10:07:11 (UTC+8)
摘要 在面臨2008年金融危機後嚴峻之需求面衝擊下，多國央行紛紛調降利率，甚至調降至零利率，以期望國家能盡速脫離經濟衰退。在利率調降的過程中，由於受零利率下限的限制，單純藉由傳統貨幣政策之調控，仍可能無法使經濟從嚴峻的需求面衝擊下恢復。因此，非傳統貨幣政策也在美國、日本、英國、歐元區等國家被央行所採行做為對抗經濟衰退的政策工具。在此背景下，我們想了解如何實施最適非傳統貨幣政策。
在最適貨幣政策理論發展中，最適傳統貨幣政策發展較早，因此也較為完備。而在最適非傳統貨幣政策方面，前瞻指引(forward guidance)這項政策工具已被引入最適理論中來進行討論，但量化寬鬆(quantitative easing)直至今日還未被引入最適理論中來討論。
因此，本文建構一個封閉的新興凱因斯模型(New Keynesian)，開創性的將量化寬鬆引入最適貨幣政策理論中，來討論最適傳統與非傳統貨幣政策，也藉此與過去文獻比較施行量化寬鬆與未施行量化寬鬆之影響。
After financial crisis occurred in 2008, countries, such as United States of America, United Kingdom, Japan and the euro area, have been mired in slow economic growth, compared with long-term, and have confronted with severe negative demand shocks which can’t be offset by zero interest-rate policy. Under the circumstance where zero lower bound was present, unconventional monetary policy was implemented by central bank of each country to end up the economic recession prospectively. As a result, we are interested in how to implement optimal unconventional monetary policy.
The literatures regarding implementing conventional optimal monetary policy under demand shock were developed maturely. Forward guidance, one of unconventional monetary policy, was already developed in field of optimal monetary policy under impacted by demand shock, but quantitative easing has not been conducted in the theory of optimal monetary policy so far.
Thus, we construct a close-economy by New Keynesian model to conduct quantitative easing into the theory of optimal monetary policy to discuss the optimal conventional and unconventional monetary policy, and to compare the difference corresponding to the previous literatures which without quantitative easing.
參考文獻 Alter, A., & Beyer, A. (2014). The dynamics of spillover effects during the European sovereign debt turmoil. Journal of Banking & Finance, 42, 134-153.
Bhattarai, S., Lee, J. W., & Park, W. Y. (2015). Optimal monetary policy in a currency union with interest rate spreads. Journal of International Economics, 96(2), 375-397.
Benigno, P. (2009). Price stability with imperfect financial integration. Journal of Money, Credit and Banking, 41(s1), 121-149.
Benigno, P., Eggertsson, G., & Romei, F. (2016). Dynamic Debt Deleveraging and Optimal Monetary Policy (No. 11180). CEPR Discussion Papers.
Calvo, G. A. (1983). Staggered prices in a utility-maximizing framework. Journal of monetary Economics, 12(3), 383-398.
Campbell, J. R., Evans, C. L., Fisher, J. D., & Justiniano, A. (2012). Macroeconomic effects of Federal Reserve forward guidance. Brookings Papers on Economic Activity, 2012(1), 1-80.
Clarida, R., Gali, J., & Gertler, M. (1999). The science of monetary policy: a new Keynesian perspective (No. w7147). National bureau of economic research.
Corsetti, G., Kuester, K., Meier, A., & Müller, G. J. (2013). Sovereign risk, fiscal policy, and macroeconomic stability. The Economic Journal, 123(566).
Corsetti, G., Kuester, K., Meier, A., & Müller, G. J. (2014). Sovereign risk and belief-driven fluctuations in the euro area. Journal of Monetary Economics, 61, 53-73.
Cúrdia, V., & Woodford, M. (2016). Credit frictions and optimal monetary policy. Journal of Monetary Economics, 84, 30-65.
De Bruyckere, V., Gerhardt, M., Schepens, G., & Vander Vennet, R. (2013). Bank/sovereign risk spillovers in the European debt crisis. Journal of Banking & Finance, 37(12), 4793-4809.
Eggertsson, G. B., Ferrero, A., & Raffo, A. (2014). Can structural reforms help Europe?. Journal of Monetary Economics, 61, 2-22.
Eggertsson, G. B., & Woodford, M. (2003). The Zero Bound on Interest Rates and Optimal Monetary Policy. Brookings Papers on Economic Activity, 1, 139-233.
Fiore, F. D., & Tristani, O. (2013). Optimal monetary policy in a model of the credit channel. The Economic Journal, 123(571), 906-931.
Galí, J. (2015). Monetary policy, inflation, and the business cycle: an introduction to the new Keynesian framework and its applications. Princeton University Press.
Harjes, T. (2011). Financial integration and corporate funding costs in Europe after the financial and sovereign debt crisis. Euro Area Policies: Selected Issues.
Jung, T., Teranishi, Y., & Watanabe, T. (2005). Optimal monetary policy at the zero-interest-rate bound. Journal of Money, Credit, and Banking, 37(5), 813-835.
Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on long-term interest rates. Brookings Papers on Economic Activity, 2, 215-265.
Kydland, F. E., & Prescott, E. C. (1977). Rules rather than discretion: The inconsistency of optimal plans. Journal of political economy, 85(3), 473-491.
Williams, J. C. (2011). Unconventional monetary policy: Lessons from the past three years. FRBSF Economic Letter, 31, 2011.
Williams, J. C. (2012). The Federal Reserve’s unconventional policies. FRBSF Economic Letter, 34(10), 1-9.
Woodford, M. (2001). Fiscal requirements for price stability. Journal of Money, Credit, and Banking, 33(3), 669.
Woodford, M. (2003). Interest and Prices. Princeton, NJ: Princeton University Press.
Woodford, M (2012). Methods of policy accommodation at the interest-rate lower bound. Federal Reserve Bank of Kansas City Jackson Hole Symposium Conference Volume, August.
Yeyati, E. L., & Panizza, U. (2011). The elusive costs of sovereign defaults. Journal of Development Economics, 94(1), 95-105.
描述 碩士
國立政治大學
經濟學系
104258013
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104258013
資料類型 thesis
dc.contributor.advisor 黃俞寧zh_TW
dc.contributor.author (Authors) 蘇醒文zh_TW
dc.creator (作者) 蘇醒文zh_TW
dc.date (日期) 2017en_US
dc.date.accessioned 10-Aug-2017 10:07:11 (UTC+8)-
dc.date.available 10-Aug-2017 10:07:11 (UTC+8)-
dc.date.issued (上傳時間) 10-Aug-2017 10:07:11 (UTC+8)-
dc.identifier (Other Identifiers) G0104258013en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111821-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 104258013zh_TW
dc.description.abstract (摘要) 在面臨2008年金融危機後嚴峻之需求面衝擊下，多國央行紛紛調降利率，甚至調降至零利率，以期望國家能盡速脫離經濟衰退。在利率調降的過程中，由於受零利率下限的限制，單純藉由傳統貨幣政策之調控，仍可能無法使經濟從嚴峻的需求面衝擊下恢復。因此，非傳統貨幣政策也在美國、日本、英國、歐元區等國家被央行所採行做為對抗經濟衰退的政策工具。在此背景下，我們想了解如何實施最適非傳統貨幣政策。
在最適貨幣政策理論發展中，最適傳統貨幣政策發展較早，因此也較為完備。而在最適非傳統貨幣政策方面，前瞻指引(forward guidance)這項政策工具已被引入最適理論中來進行討論，但量化寬鬆(quantitative easing)直至今日還未被引入最適理論中來討論。
因此，本文建構一個封閉的新興凱因斯模型(New Keynesian)，開創性的將量化寬鬆引入最適貨幣政策理論中，來討論最適傳統與非傳統貨幣政策，也藉此與過去文獻比較施行量化寬鬆與未施行量化寬鬆之影響。		zh_TW
dc.description.abstract (摘要) After financial crisis occurred in 2008, countries, such as United States of America, United Kingdom, Japan and the euro area, have been mired in slow economic growth, compared with long-term, and have confronted with severe negative demand shocks which can’t be offset by zero interest-rate policy. Under the circumstance where zero lower bound was present, unconventional monetary policy was implemented by central bank of each country to end up the economic recession prospectively. As a result, we are interested in how to implement optimal unconventional monetary policy.
The literatures regarding implementing conventional optimal monetary policy under demand shock were developed maturely. Forward guidance, one of unconventional monetary policy, was already developed in field of optimal monetary policy under impacted by demand shock, but quantitative easing has not been conducted in the theory of optimal monetary policy so far.
Thus, we construct a close-economy by New Keynesian model to conduct quantitative easing into the theory of optimal monetary policy to discuss the optimal conventional and unconventional monetary policy, and to compare the difference corresponding to the previous literatures which without quantitative easing.		en_US
dc.description.tableofcontents 1 Introduction 1
2 Model 3
2.1 Households 3
2.1.1 Saver 5
2.1.2 Borrower 6
2.2 Financial intermediaries 7
2.3 Firms 8
2.4 Government 9
2.5 Conventional and unconventional monetary policy 11
2.6 Market clearing conditions 11
3 Analytical solution 12
3.1 Efficient allocation 12
3.2 Approximate equilibrium 13
3.3 Analytical method of policy analysis: discretion and commitment 16
3.3.1 Optimal policy under discretion 16
3.3.2 Optimal policy under commitment 20
4 Numerical solution 24
4.1 Parameters 24
4.2 Numerical method of policy analysis: discretion and commitment 25
4.2.1 Optimal policy under discretion 26
4.2.2 Optimal policy under commitment 27
5 Conclusion 29
References 30
Appendix 33		zh_TW
dc.format.extent 614789 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104258013en_US
dc.subject (關鍵詞) 最適貨幣政策zh_TW
dc.subject (關鍵詞) 非傳統貨幣政策zh_TW
dc.subject (關鍵詞) 量化寬鬆zh_TW
dc.subject (關鍵詞) 動態隨機一般均衡zh_TW
dc.subject (關鍵詞) Optimal monetary policyen_US
dc.subject (關鍵詞) Unconventional monetary policyen_US
dc.subject (關鍵詞) Quantitative easingen_US
dc.subject (關鍵詞) DSGEen_US
dc.title (題名) 最適傳統與非傳統貨幣政策zh_TW
dc.title (題名) Optimal Conventional and Unconventional Monetary Policyen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Alter, A., & Beyer, A. (2014). The dynamics of spillover effects during the European sovereign debt turmoil. Journal of Banking & Finance, 42, 134-153.
Bhattarai, S., Lee, J. W., & Park, W. Y. (2015). Optimal monetary policy in a currency union with interest rate spreads. Journal of International Economics, 96(2), 375-397.
Benigno, P. (2009). Price stability with imperfect financial integration. Journal of Money, Credit and Banking, 41(s1), 121-149.
Benigno, P., Eggertsson, G., & Romei, F. (2016). Dynamic Debt Deleveraging and Optimal Monetary Policy (No. 11180). CEPR Discussion Papers.
Calvo, G. A. (1983). Staggered prices in a utility-maximizing framework. Journal of monetary Economics, 12(3), 383-398.
Campbell, J. R., Evans, C. L., Fisher, J. D., & Justiniano, A. (2012). Macroeconomic effects of Federal Reserve forward guidance. Brookings Papers on Economic Activity, 2012(1), 1-80.
Clarida, R., Gali, J., & Gertler, M. (1999). The science of monetary policy: a new Keynesian perspective (No. w7147). National bureau of economic research.
Corsetti, G., Kuester, K., Meier, A., & Müller, G. J. (2013). Sovereign risk, fiscal policy, and macroeconomic stability. The Economic Journal, 123(566).
Corsetti, G., Kuester, K., Meier, A., & Müller, G. J. (2014). Sovereign risk and belief-driven fluctuations in the euro area. Journal of Monetary Economics, 61, 53-73.
Cúrdia, V., & Woodford, M. (2016). Credit frictions and optimal monetary policy. Journal of Monetary Economics, 84, 30-65.
De Bruyckere, V., Gerhardt, M., Schepens, G., & Vander Vennet, R. (2013). Bank/sovereign risk spillovers in the European debt crisis. Journal of Banking & Finance, 37(12), 4793-4809.
Eggertsson, G. B., Ferrero, A., & Raffo, A. (2014). Can structural reforms help Europe?. Journal of Monetary Economics, 61, 2-22.
Eggertsson, G. B., & Woodford, M. (2003). The Zero Bound on Interest Rates and Optimal Monetary Policy. Brookings Papers on Economic Activity, 1, 139-233.
Fiore, F. D., & Tristani, O. (2013). Optimal monetary policy in a model of the credit channel. The Economic Journal, 123(571), 906-931.
Galí, J. (2015). Monetary policy, inflation, and the business cycle: an introduction to the new Keynesian framework and its applications. Princeton University Press.
Harjes, T. (2011). Financial integration and corporate funding costs in Europe after the financial and sovereign debt crisis. Euro Area Policies: Selected Issues.
Jung, T., Teranishi, Y., & Watanabe, T. (2005). Optimal monetary policy at the zero-interest-rate bound. Journal of Money, Credit, and Banking, 37(5), 813-835.
Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on long-term interest rates. Brookings Papers on Economic Activity, 2, 215-265.
Kydland, F. E., & Prescott, E. C. (1977). Rules rather than discretion: The inconsistency of optimal plans. Journal of political economy, 85(3), 473-491.
Williams, J. C. (2011). Unconventional monetary policy: Lessons from the past three years. FRBSF Economic Letter, 31, 2011.
Williams, J. C. (2012). The Federal Reserve’s unconventional policies. FRBSF Economic Letter, 34(10), 1-9.
Woodford, M. (2001). Fiscal requirements for price stability. Journal of Money, Credit, and Banking, 33(3), 669.
Woodford, M. (2003). Interest and Prices. Princeton, NJ: Princeton University Press.
Woodford, M (2012). Methods of policy accommodation at the interest-rate lower bound. Federal Reserve Bank of Kansas City Jackson Hole Symposium Conference Volume, August.
Yeyati, E. L., & Panizza, U. (2011). The elusive costs of sovereign defaults. Journal of Development Economics, 94(1), 95-105.		zh_TW