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題名 總體審慎政策－流動性覆蓋比率－之動態隨機一般均衡分析
Examination of Liquidity Coverage Regulation with A DSGE Framework作者 吳奕信
Wu, Yi-Xin貢獻者 黃俞寧
Hwang, Yu-Ning
吳奕信
Wu, Yi-Xin關鍵詞 動態隨機一般均衡模型
總體審慎政策
流動性覆蓋比率
貨幣政策
Dynamic stochastic general equilibrium (DSGE) model
Macroprudential policy
Monetary policy
Liquidity coverage ratio (LCR)日期 2017 上傳時間 28-Aug-2017 11:52:46 (UTC+8) 摘要 本文的研究目的為，在一個包含銀行部門的動態隨機一般均衡模型的架構中，探討流動性覆蓋比率限制在利率的信用管道中所扮演的角色以及其對政體經濟的影響為何。在銀行的資產配置決策內生的情形下，加入流動性覆蓋比率的限制，透過放款的勞動成本與抵押品價值來刻畫金融摩擦；本文發現當經濟體系遭受生產與放款的外生衝擊時，流動性覆蓋比率的限制會增強政策利率的信用管道效果，並且相較於無流動性覆蓋比率限制之模型而言，具流動性覆蓋比率限制的模型，其銀行資產配置的變動幅度與金融摩擦的程度皆較大。
The main purpose of this paper is to explore the role of the liquidity coverage ratio (LCR) in the credit channel and how it influences the overall economy in a dynamic stochastic general equilibrium (DSGE) model with banking sector. Commercial banks endogenously choose their optimal portfolio of assets under the liquidity coverage ratio restriction. On the other hand, we describe the financial friction through the labor cost of making loans and collateral value. We find that when the economy is exposed to exogenous shocks in production and lending, the liquidity coverage ratio will enhance the effect of credit channel. Compared with the model with no LCR restriction, the degree of change of the bank asset allocation and the financial friction are larger in the model with LCR restriction.參考文獻 Bech, M. L., & Keister, T. (2013). “Liquidity regulation and the implementation of monetary policy.” Bank for International Settlements Working Papers 432.Bernanke, B. S., & Blinder, A. S. (1988). “Credit, Money, and Aggregate Demand,” American Economic Review, American Economic Association, 78(2), 435-439.Bernanke, B. S., & Gertler, M. (1989). “Agency costs, net worth, and business fluctuations,” The American Economic Review, 14-31.Bernanke, B. S., & Gertler, M., & Gilchrist, S. (1999). “The financial accelerator in a quantitative business cycle framework,”Handbook of macroeconomics, 1, 1341-1393.Bindseil, U., & Lamoot, J. (2011). “The Basel III framework for liquidity standards and monetary policy implementation,” SFB 649 Discussion Paper, 2011-2041.Calvo, G. A. (1983). “Staggered prices in a utility-maximizing framework.” Journal of monetary Economics, 12(3), 383-398.Chadha, J. S., & Corrado, L. (2012). “Macro-prudential policy on liquidity: What does a DSGE model tell us?,” Journal of Economics and Business, 64(1), 37-62.Goodfriend, M., & McCallum, B. T. (2007). “Banking and interest rates in monetary policy analysis: A quantitative exploration” Journal of Monetary Economics, 54(5), 1480-1507.Hartlage, A. W. (2012). “The Basel III liquidity coverage ratio and financial stability,” Michigan Law Review, 453-483.Taylor, J. B. (1993).“Discretion versus policy rules in practice,” Carnegie-Rochester conference series on public policy, 39, 195-214. Teo, W. L. (2009). “Estimated dynamic stochastic general equilibrium model of the Taiwanese economy,” Pacific Economic Review, 14(2), 194-231. 描述 碩士
國立政治大學
經濟學系
104258033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104258033 資料類型 thesis dc.contributor.advisor 黃俞寧 zh_TW dc.contributor.advisor Hwang, Yu-Ning en_US dc.contributor.author (Authors) 吳奕信 zh_TW dc.contributor.author (Authors) Wu, Yi-Xin en_US dc.creator (作者) 吳奕信 zh_TW dc.creator (作者) Wu, Yi-Xin en_US dc.date (日期) 2017 en_US dc.date.accessioned 28-Aug-2017 11:52:46 (UTC+8) - dc.date.available 28-Aug-2017 11:52:46 (UTC+8) - dc.date.issued (上傳時間) 28-Aug-2017 11:52:46 (UTC+8) - dc.identifier (Other Identifiers) G0104258033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112230 - 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) 104258033 zh_TW dc.description.abstract (摘要) 本文的研究目的為，在一個包含銀行部門的動態隨機一般均衡模型的架構中，探討流動性覆蓋比率限制在利率的信用管道中所扮演的角色以及其對政體經濟的影響為何。在銀行的資產配置決策內生的情形下，加入流動性覆蓋比率的限制，透過放款的勞動成本與抵押品價值來刻畫金融摩擦；本文發現當經濟體系遭受生產與放款的外生衝擊時，流動性覆蓋比率的限制會增強政策利率的信用管道效果，並且相較於無流動性覆蓋比率限制之模型而言，具流動性覆蓋比率限制的模型，其銀行資產配置的變動幅度與金融摩擦的程度皆較大。 zh_TW dc.description.abstract (摘要) The main purpose of this paper is to explore the role of the liquidity coverage ratio (LCR) in the credit channel and how it influences the overall economy in a dynamic stochastic general equilibrium (DSGE) model with banking sector. Commercial banks endogenously choose their optimal portfolio of assets under the liquidity coverage ratio restriction. On the other hand, we describe the financial friction through the labor cost of making loans and collateral value. We find that when the economy is exposed to exogenous shocks in production and lending, the liquidity coverage ratio will enhance the effect of credit channel. Compared with the model with no LCR restriction, the degree of change of the bank asset allocation and the financial friction are larger in the model with LCR restriction. en_US dc.description.tableofcontents 1. 導論 11.1. 研究動機 11.2. 文獻回顧 32. 模型設定 42.1. 家計部門 52.2. 生產廠商 62.3. 銀行部門 62.3.1.銀行放款管理方程式 82.3.2.利率與外部融資溢酬 82.3.3.銀行資產管理 102.4. 政府部門 122.5. 貨幣政策 122.6. 外生衝擊 132.7. 一階條件 143. 靜態均衡分析 154. 線性化 184.1. 物價僵固性 184.2. 對數線性化 185. 動態分析 205.1. 生產勞動力衝擊 215.2. 審查放款勞動力衝擊 225.3. 擔保品價值衝擊 235.4. 貨幣政策衝擊 236. 結論 24參考文獻 29附錄 30 zh_TW dc.format.extent 1451621 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104258033 en_US dc.subject (關鍵詞) 動態隨機一般均衡模型 zh_TW dc.subject (關鍵詞) 總體審慎政策 zh_TW dc.subject (關鍵詞) 流動性覆蓋比率 zh_TW dc.subject (關鍵詞) 貨幣政策 zh_TW dc.subject (關鍵詞) Dynamic stochastic general equilibrium (DSGE) model en_US dc.subject (關鍵詞) Macroprudential policy en_US dc.subject (關鍵詞) Monetary policy en_US dc.subject (關鍵詞) Liquidity coverage ratio (LCR) en_US dc.title (題名) 總體審慎政策－流動性覆蓋比率－之動態隨機一般均衡分析 zh_TW dc.title (題名) Examination of Liquidity Coverage Regulation with A DSGE Framework en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Bech, M. L., & Keister, T. (2013). “Liquidity regulation and the implementation of monetary policy.” Bank for International Settlements Working Papers 432.Bernanke, B. S., & Blinder, A. S. (1988). “Credit, Money, and Aggregate Demand,” American Economic Review, American Economic Association, 78(2), 435-439.Bernanke, B. S., & Gertler, M. (1989). “Agency costs, net worth, and business fluctuations,” The American Economic Review, 14-31.Bernanke, B. S., & Gertler, M., & Gilchrist, S. (1999). “The financial accelerator in a quantitative business cycle framework,”Handbook of macroeconomics, 1, 1341-1393.Bindseil, U., & Lamoot, J. (2011). “The Basel III framework for liquidity standards and monetary policy implementation,” SFB 649 Discussion Paper, 2011-2041.Calvo, G. A. (1983). “Staggered prices in a utility-maximizing framework.” Journal of monetary Economics, 12(3), 383-398.Chadha, J. S., & Corrado, L. (2012). “Macro-prudential policy on liquidity: What does a DSGE model tell us?,” Journal of Economics and Business, 64(1), 37-62.Goodfriend, M., & McCallum, B. T. (2007). “Banking and interest rates in monetary policy analysis: A quantitative exploration” Journal of Monetary Economics, 54(5), 1480-1507.Hartlage, A. W. (2012). “The Basel III liquidity coverage ratio and financial stability,” Michigan Law Review, 453-483.Taylor, J. B. (1993).“Discretion versus policy rules in practice,” Carnegie-Rochester conference series on public policy, 39, 195-214. Teo, W. L. (2009). “Estimated dynamic stochastic general equilibrium model of the Taiwanese economy,” Pacific Economic Review, 14(2), 194-231. zh_TW
