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題名 考慮帶有金融市場摩擦的新凱因斯動態隨機一般均衡模型於台灣：基於貝式理論分析
The New Keynesian DSGE Models with Financial Frictions for Taiwan: Based on Bayesian Methods作者 胡凱翔
Hu, Kai-Xiang貢獻者 吳致謙
胡凱翔
Hu, Kai-Xiang關鍵詞 動態隨機一般均衡模型
金融摩擦
抵押限制
DSGE
Financial Friction
Collateral Constraint(CC)日期 2020 上傳時間 2-Sep-2020 14:32:22 (UTC+8) 摘要 本文使用台灣資料，探討考慮金融摩擦的情況下，是否能增進新凱因斯動態隨機一般均衡模型(New Keynesian dynamic stochastic general equilibrium model, DSGE) 對於台灣總體資料的配適度。具體來說，我選用抵押限制 (Collateral Constraint) 捕捉金融摩擦；我使用台灣資料，重新對模型參數進行校對 (Calibration) 與貝氏估計(Bayesian estimation)，並在文末比較是否考慮金融摩擦會提升無金融摩擦模型的解釋能力。最後我發現無金融摩擦的模型在相關性、自我相關性的資料配適能力均優於考慮金融摩擦的模型。因此考慮金融摩擦並無法有效增進新凱因斯動態隨機一般均衡模型對台灣資料的配適能力。
This paper investigates whether the New Keynesian Dynamic Stochastic General Equilibrium model(DSGE) will improve its fitness to Taiwan macroeconomic data in the case of considering financial friction. In particular, I consider the Collateral Constraint as the financial friction. I estimate model parameters by using Taiwan data with Calibration and Bayesian Estimation, and compare the fitness to moments of Taiwan data with and without thefinancial friction. I find that the frictionless DSGE model has a better fitness to Taiwan data in terms of correlation and autocorrelation. To conclude, considering the credit constraint cannot boost the fitness to Taiwan macroeconomic data for New Keynesian DSGE model.參考文獻 1.黃俞寧,動態隨機一般均衡架構在台灣貨幣政策制定上之應用,計畫編號,101cbc-經1, 20122.陳旭昇與湯茹茵動態隨機一般均衡（DSGE）模型在貨幣政策制定上的應用：一個帶有批判性的回顧與展望經濟論文叢刊, 臺灣大學經濟學系, 2012, 40, 289-3233.陳旭昇與吳聰敏台灣貨幣政策法則之檢視經濟論文, 中央研究院經濟研究所, 2010, 38, 33-594.張蓁昀在金融摩擦下外部融資溢酬之分析─以台灣DSGE實證為例20125.Bernanke, B. & Gertler, M.Agency Costs, Net Worth, and Business FluctuationsThe American Economic Review, American Economic Association, 1989, 79, 14-316.Brzoza-Brzezina, M. & Kolasa, M.Bayesian Evaluation of DSGE Models with Financial FrictionsJournal of Money, Credit and Banking, 2013, 45, 1451-14767.Christiano, L.; Eichenbaum, M. & Evans, C.Nominal Rigidities and the Dynamic Effects of a Shock to Monetary PolicyJournal of Political Economy, The University of Chicago Press, 2005, 113, 1-458.Christiano, L.; Motto, R. & Rostagno, M.Financial Factors in Economic FluctuationsEuropean Central Bank, European Central Bank, 20109.Christiano, L. J.; Eichenbaum, M. S. & Trabandt, M.On DSGE ModelsJournal of Economic Perspectives, 2018, 32, 113-4010.Guerrieri, L. & Iacoviello, M.Collateral Constraints and Macroeconomic AsymmetriesJournal of Monetary Economics, 2017, 90, 28 - 4911.Hwang, Y.-N. & Ho, P.-Y.Optimal Monetary Policy for Taiwan: A Dynamic Stochastic General Equilibrium Framework經濟論文, 中央研究院經濟研究所, 2012, 40, 447-48212.Iacoviello, M.House Prices, Borrowing Constraints, and Monetary Policy in the Business CycleAmerican Economic Review, 2005, 95, 739-76413.Jermann, U. & Quadrini, V.Macroeconomic Effects of Financial ShocksAmerican Economic Review, 2012, 102, 238-7114.Kiyotaki, N. & Moore, J.Credit CyclesJournal of Political Economy, The University of Chicago Press, 1997, 105, 211-24815.Smets, F. & Wouters, R.An Estimated Dynamic Stochastic General Equilibrium Model of the Euro AreaJournal of the European Economic Association, 2003, 1, 1123-117516.Smets, F. & Wouters, R.Shocks and Frictions in US Business Cycles: A Bayesian DSGE ApproachAmerican Economic Review, 2007, 97, 586-60617.Teo, W. L.Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese EconomyPacific Economic Review, 2009, 14, 194-231 描述 碩士
國立政治大學
經濟學系
108258003資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108258003 資料類型 thesis dc.contributor.advisor 吳致謙 zh_TW dc.contributor.author (Authors) 胡凱翔 zh_TW dc.contributor.author (Authors) Hu, Kai-Xiang en_US dc.creator (作者) 胡凱翔 zh_TW dc.creator (作者) Hu, Kai-Xiang en_US dc.date (日期) 2020 en_US dc.date.accessioned 2-Sep-2020 14:32:22 (UTC+8) - dc.date.available 2-Sep-2020 14:32:22 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2020 14:32:22 (UTC+8) - dc.identifier (Other Identifiers) G0108258003 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131980 - 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) 108258003 zh_TW dc.description.abstract (摘要) 本文使用台灣資料，探討考慮金融摩擦的情況下，是否能增進新凱因斯動態隨機一般均衡模型(New Keynesian dynamic stochastic general equilibrium model, DSGE) 對於台灣總體資料的配適度。具體來說，我選用抵押限制 (Collateral Constraint) 捕捉金融摩擦；我使用台灣資料，重新對模型參數進行校對 (Calibration) 與貝氏估計(Bayesian estimation)，並在文末比較是否考慮金融摩擦會提升無金融摩擦模型的解釋能力。最後我發現無金融摩擦的模型在相關性、自我相關性的資料配適能力均優於考慮金融摩擦的模型。因此考慮金融摩擦並無法有效增進新凱因斯動態隨機一般均衡模型對台灣資料的配適能力。 zh_TW dc.description.abstract (摘要) This paper investigates whether the New Keynesian Dynamic Stochastic General Equilibrium model(DSGE) will improve its fitness to Taiwan macroeconomic data in the case of considering financial friction. In particular, I consider the Collateral Constraint as the financial friction. I estimate model parameters by using Taiwan data with Calibration and Bayesian Estimation, and compare the fitness to moments of Taiwan data with and without thefinancial friction. I find that the frictionless DSGE model has a better fitness to Taiwan data in terms of correlation and autocorrelation. To conclude, considering the credit constraint cannot boost the fitness to Taiwan macroeconomic data for New Keynesian DSGE model. en_US dc.description.tableofcontents 致謝..............................................i中文摘要..........................................ii英文摘要..........................................iii1 緒論..........................................12 模型..........................................22.1 商品廠商..........................................22.2 勞動廠商..........................................52.3 家計單位..........................................62.4 政府和貨幣機構.....................................82.5 企業與銀行機構.....................................82.6 市場結清條件......................................103.對數線性化.............................................103.1 NK 模型.........................................113.2 CC 模型.........................................124.參數估計...............................................144.1 校對.............................................144.2 貝氏估計.........................................155.動差分析..............................................186.脈衝反應分析..........................................207.結論.................................................22參考文獻................................................23附錄A 資料處理.........................................25A.1 原始資料.........................................25A.2 資料處理-校對....................................25A.3 資料處理-貝氏估計................................25附錄B 校對過程.........................................26B.1 NK 模型.........................................26B.2 CC 模型.........................................27 zh_TW dc.format.extent 1331199 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108258003 en_US dc.subject (關鍵詞) 動態隨機一般均衡模型 zh_TW dc.subject (關鍵詞) 金融摩擦 zh_TW dc.subject (關鍵詞) 抵押限制 zh_TW dc.subject (關鍵詞) DSGE en_US dc.subject (關鍵詞) Financial Friction en_US dc.subject (關鍵詞) Collateral Constraint(CC) en_US dc.title (題名) 考慮帶有金融市場摩擦的新凱因斯動態隨機一般均衡模型於台灣：基於貝式理論分析 zh_TW dc.title (題名) The New Keynesian DSGE Models with Financial Frictions for Taiwan: Based on Bayesian Methods en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.黃俞寧,動態隨機一般均衡架構在台灣貨幣政策制定上之應用,計畫編號,101cbc-經1, 20122.陳旭昇與湯茹茵動態隨機一般均衡（DSGE）模型在貨幣政策制定上的應用：一個帶有批判性的回顧與展望經濟論文叢刊, 臺灣大學經濟學系, 2012, 40, 289-3233.陳旭昇與吳聰敏台灣貨幣政策法則之檢視經濟論文, 中央研究院經濟研究所, 2010, 38, 33-594.張蓁昀在金融摩擦下外部融資溢酬之分析─以台灣DSGE實證為例20125.Bernanke, B. & Gertler, M.Agency Costs, Net Worth, and Business FluctuationsThe American Economic Review, American Economic Association, 1989, 79, 14-316.Brzoza-Brzezina, M. & Kolasa, M.Bayesian Evaluation of DSGE Models with Financial FrictionsJournal of Money, Credit and Banking, 2013, 45, 1451-14767.Christiano, L.; Eichenbaum, M. & Evans, C.Nominal Rigidities and the Dynamic Effects of a Shock to Monetary PolicyJournal of Political Economy, The University of Chicago Press, 2005, 113, 1-458.Christiano, L.; Motto, R. & Rostagno, M.Financial Factors in Economic FluctuationsEuropean Central Bank, European Central Bank, 20109.Christiano, L. J.; Eichenbaum, M. S. & Trabandt, M.On DSGE ModelsJournal of Economic Perspectives, 2018, 32, 113-4010.Guerrieri, L. & Iacoviello, M.Collateral Constraints and Macroeconomic AsymmetriesJournal of Monetary Economics, 2017, 90, 28 - 4911.Hwang, Y.-N. & Ho, P.-Y.Optimal Monetary Policy for Taiwan: A Dynamic Stochastic General Equilibrium Framework經濟論文, 中央研究院經濟研究所, 2012, 40, 447-48212.Iacoviello, M.House Prices, Borrowing Constraints, and Monetary Policy in the Business CycleAmerican Economic Review, 2005, 95, 739-76413.Jermann, U. & Quadrini, V.Macroeconomic Effects of Financial ShocksAmerican Economic Review, 2012, 102, 238-7114.Kiyotaki, N. & Moore, J.Credit CyclesJournal of Political Economy, The University of Chicago Press, 1997, 105, 211-24815.Smets, F. & Wouters, R.An Estimated Dynamic Stochastic General Equilibrium Model of the Euro AreaJournal of the European Economic Association, 2003, 1, 1123-117516.Smets, F. & Wouters, R.Shocks and Frictions in US Business Cycles: A Bayesian DSGE ApproachAmerican Economic Review, 2007, 97, 586-60617.Teo, W. L.Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese EconomyPacific Economic Review, 2009, 14, 194-231 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202001384 en_US
