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| Title | 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 |
| Creator | 胡凱翔 Hu, Kai-Xiang |
| Contributor | 吳致謙 胡凱翔 Hu, Kai-Xiang |
| Key Words | 動態隨機一般均衡模型 金融摩擦 抵押限制 DSGE Financial Friction Collateral Constraint(CC) |
| Date | 2020 |
| Date Issued | 2-Sep-2020 14:32:22 (UTC+8) |
| Summary | 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, 2012 2.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, 289-323 3.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, 33-59 4.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 2012 5.Bernanke, B. & Gertler, M. Agency Costs, Net Worth, and Business Fluctuations The American Economic Review, American Economic Association, 1989, 79, 14-31 6.Brzoza-Brzezina, M. & Kolasa, M. Bayesian Evaluation of DSGE Models with Financial Frictions Journal of Money, Credit and Banking, 2013, 45, 1451-1476 7.Christiano, L.; Eichenbaum, M. & Evans, C. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy Journal of Political Economy, The University of Chicago Press, 2005, 113, 1-45 8.Christiano, L.; Motto, R. & Rostagno, M. Financial Factors in Economic Fluctuations European Central Bank, European Central Bank, 2010 9.Christiano, L. J.; Eichenbaum, M. S. & Trabandt, M. On DSGE Models Journal of Economic Perspectives, 2018, 32, 113-40 10.Guerrieri, L. & Iacoviello, M. Collateral Constraints and Macroeconomic Asymmetries Journal of Monetary Economics, 2017, 90, 28 - 49 11.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, 447-482 12.Iacoviello, M. House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle American Economic Review, 2005, 95, 739-764 13.Jermann, U. & Quadrini, V. Macroeconomic Effects of Financial Shocks American Economic Review, 2012, 102, 238-71 14.Kiyotaki, N. & Moore, J. Credit Cycles Journal of Political Economy, The University of Chicago Press, 1997, 105, 211-248 15.Smets, F. & Wouters, R. An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area Journal of the European Economic Association, 2003, 1, 1123-1175 16.Smets, F. & Wouters, R. Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach American Economic Review, 2007, 97, 586-606 17.Teo, W. L. Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy Pacific Economic Review, 2009, 14, 194-231 |
| Description | 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 |
| Type | 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..........................................iii 1 緒論..........................................1 2 模型..........................................2 2.1 商品廠商..........................................2 2.2 勞動廠商..........................................5 2.3 家計單位..........................................6 2.4 政府和貨幣機構.....................................8 2.5 企業與銀行機構.....................................8 2.6 市場結清條件......................................10 3.對數線性化.............................................10 3.1 NK 模型.........................................11 3.2 CC 模型.........................................12 4.參數估計...............................................14 4.1 校對.............................................14 4.2 貝氏估計.........................................15 5.動差分析..............................................18 6.脈衝反應分析..........................................20 7.結論.................................................22 參考文獻................................................23 附錄A 資料處理.........................................25 A.1 原始資料.........................................25 A.2 資料處理-校對....................................25 A.3 資料處理-貝氏估計................................25 附錄B 校對過程.........................................26 B.1 NK 模型.........................................26 B.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, 2012 2.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, 289-323 3.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, 33-59 4.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 2012 5.Bernanke, B. & Gertler, M. Agency Costs, Net Worth, and Business Fluctuations The American Economic Review, American Economic Association, 1989, 79, 14-31 6.Brzoza-Brzezina, M. & Kolasa, M. Bayesian Evaluation of DSGE Models with Financial Frictions Journal of Money, Credit and Banking, 2013, 45, 1451-1476 7.Christiano, L.; Eichenbaum, M. & Evans, C. Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy Journal of Political Economy, The University of Chicago Press, 2005, 113, 1-45 8.Christiano, L.; Motto, R. & Rostagno, M. Financial Factors in Economic Fluctuations European Central Bank, European Central Bank, 2010 9.Christiano, L. J.; Eichenbaum, M. S. & Trabandt, M. On DSGE Models Journal of Economic Perspectives, 2018, 32, 113-40 10.Guerrieri, L. & Iacoviello, M. Collateral Constraints and Macroeconomic Asymmetries Journal of Monetary Economics, 2017, 90, 28 - 49 11.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, 447-482 12.Iacoviello, M. House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle American Economic Review, 2005, 95, 739-764 13.Jermann, U. & Quadrini, V. Macroeconomic Effects of Financial Shocks American Economic Review, 2012, 102, 238-71 14.Kiyotaki, N. & Moore, J. Credit Cycles Journal of Political Economy, The University of Chicago Press, 1997, 105, 211-248 15.Smets, F. & Wouters, R. An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area Journal of the European Economic Association, 2003, 1, 1123-1175 16.Smets, F. & Wouters, R. Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach American Economic Review, 2007, 97, 586-606 17.Teo, W. L. Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy Pacific Economic Review, 2009, 14, 194-231 | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU202001384 | en_US |