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題名 通貨膨脹，資產價格波動與信用膨脹
A Theoretical Examination of Inflation, Asset Prices, and Credit Expansion
作者 李孟威
Lee,Meng-Wui
貢獻者 江永裕
Chiang,Yeong-Yuh
李孟威
Lee,Meng-Wui
關鍵詞 資產價格
通貨膨脹
貨幣供給
信用
資產泡沫
Asset prices
Inflation
Money expansion
Credit
Asset bubbles
日期 2007
上傳時間 17-Sep-2009 19:07:49 (UTC+8)
摘要 在很多資產泡沫的案例中，我們發現貨幣供給與信用皆伴隨資產價格飆漲而增加；但其通貨膨脹問題卻不嚴重。這似乎與傳統貨幣理論之概念─高貨幣成長刺激通膨─有所抵觸。我們推論在資產價格飆升時，民眾會增加其持有之貨幣以待適當時機購買資產，此種融通金融商品的貨幣即為俗稱之「游資」。游資增加將吸收部份貨幣擴張，因而減少最終流入商品市場的貨幣，緩和通貨膨漲。本論文建立一個Cash-in-Advance模型，發現當經濟體之貸款利率遠高於存款利率，及人民預期未來經濟持續進步時，確實可能發生上述現象。
While some bubble economies, in which asset prices rise, experience exaggerated
money and credit expansion, they often face merely moderate
inflationary problems. It is likely that the increased money supply does
not fully enter the commodity market and result in hyper-inflation; some
of that increase may become investors’ money that waits for future investment
opportunities and finally goes into the equity market. By utilizing
a cash-in-advance model with a banking system and heterogeneous
household expectations, this paper demonstrates the existence of this special
phenomenon under the necessary condition by which, the loan rate is
significantly higher than the deposit rate, and what the public believes in
requires a persistent economic growth.
參考文獻 Allen, F. (2005), “Modeling Financial Instability,” National Institute Economic
Review, 192(1), 57-67.
and D. Gale (2000), “Bubbles and Crisis,” The Economic Journal,
110, 236-255.
Balduzzi, P. (1996), “Inflation and Asset Prices in a Monetary Economy”
Economics Letters, 53, 67-74.
Bernanke, B. and M. Gertler (1995), “Inside the Black Box: The Credit
Channel of Monetary Policy,” Journal of Economic Perspectives, 9(4),
27-48.
Boyle, G. W. and J. D. Peterson (1995), “Monetary Policy, Aggregate Uncertainty,
and the Stock Market,” Journal of Money, Credit and Banking,
27(2), 570-582.
Boyle, G. W. and L. Young (1988), “Asset Prices, Commodity Prices, and
Money: A General Equilibrium, Rational Expectations Model,” American
Economic Review, 78(1), 24-45.
Cecchetti, S. G. (1995), “Distinguishing Theories of the Monetary Transmission
Mechanism,” Federal Reserve Bank of St. Louis Review, 77,
83-97.
Collyns, C. and A. Senhadji (2002), “Lending Booms, Real Estate Bubbles
and the Asian Crisis,” IMF working paper 02/20, Washington.
Corsetti, G., P. Pesenti and N. Roubini (1999), “Paper Tigers? A Model of the Asian Crisis,” European Economic Review, 43, 1211-1236.
Danthine, J. P. and J. B. Donaldson (1986), “Inflation and Asset Prices in
an Exchange Economy,” Econometrica, 54(3), 585-606.
Diamond, P. A. (1965), “National Debt in a Neoclassical Growth Model,”
American Economic Review, 55(5), 1126-1150.
Diba, B. T. and H. I. Grossman (1988), “The Theory of Rational Bubbles
in Stock Prices,” The Economic Journal, 98, 746-754.
Englund P. and L. E. O. Svensson (1988), “Money and Banking in a Cashin-
Advance Economy,” International Economic Review, 29(4), 681-
705.
Fama, E. F. (1981), “Stock Returns, Real Activity Inflation and Money,”
American Economic Review, 69, 639-649.
Geske, R. and R. Roll (1983), “The Fiscal and Monetary Linkage Between
Stock Returns and Inflation,” The Journal of Finance, 38(1), 1-33.
Herrera, S. and G. E. Perry (2003), “Tropical Bubbles: Asset Prices in
Latin America, 1980-2001,” in William Hunter, George Kaufman and
Michael Pomerleano (eds.), Asset price bubbles: implications for monetary,
regulatory, and international policies, MIT Press, Cambridge,
Massachusetts.
Kindleberger, C. P. (1978), Manias, Panics, and Crashes: A History of
Financial Crises, New York: Basic Books.
Lee, B. (2003), “Asset Returns and Inflation in Response to Supply, Monetary,
and Fiscal Disturbances,” Review of Quantitative Finance and
Accounting, 21(3), 207-231.
LeRoy, S.F. (1984), “Nominal Prices and Interest Rates in General Equilibrium:
Money Shocks,” The Journal of Business, 57(2), 177-195.
Lucas, R. E. (1982), “Interest Rates and Currency Prices in a Two-Country World,” Journal of Monetary Economics, 10, 335-359.
and N. L. Stokey (1985), “Money and Interest in a Cash-in-Advance
Economy.” Journal of Monetary Economics, 12, 55-93.
Meltzer, A. H. (2002), “Rational and Irrational Bubbles,”World Bank Conference
on Asset Price Bubbles, Chicago.
Mundell, R. (1963), “Inflation and Real Interest,” The Journal of Political
Economy, 71(3), 280-283.
Obstfeld, M. and K. Rogoff (1983), “Speculative Hyperinflations in Maximizing
Models: Can We Rule Them Out?” The Journal of Political
Economy, 91(4), 675-687.
Okina, K., M. Shirakawa and S. Shiratsuka (2000), “Asset Price Bubble
and Monetary Policy: Japan’s Experience in the Late 1980s and the
Lessons,” IMES Discussion Paper No 2000-E-12, Institute for Monetary
and Economic Studies, Bank of Japan.
Okina, K. and S. Shiratsuka (2003), “Japan’s Experience with Asset Price
Bubbles: Is It a Case for Inflation Targeting?”, in William Hunter,
George Kaufman and Michael Pomerleano (eds.), Asset price bubbles:
implications for monetary, regulatory, and international policies, MIT
Press, Cambridge, Massachusetts.
Oliner, S. D. and G. D. Rudebusch (1995), “Is there a bank lending channel
for monetary policy?” Federal Reserve Bank of San Francisco Economic
Review, 3-20.
Stulz, R.M (1986), “Asset Pricing and Expected Inflation,” The Journal of
Finance, 41(1), 209-223.
Svensson, L. E. O. (1985), “Money and Asset Prices in a Cash-in-Advance
Economy,” The Journal of Political Economy, 93(5), 919-944.
Tirole, J. (1985), “Asset Bubbles and Overlapping Generations,” Econometrica, 53(5), 1071-1100.
Tobin, J. (1965), “Money and Economic Growth,” Econometrica, 33(4), 671-684.
描述 碩士
國立政治大學
金融研究所
94352019
96
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0943520191
資料類型 thesis
dc.contributor.advisor 江永裕zh_TW
dc.contributor.advisor Chiang,Yeong-Yuhen_US
dc.contributor.author (Authors) 李孟威zh_TW
dc.contributor.author (Authors) Lee,Meng-Wuien_US
dc.creator (作者) 李孟威zh_TW
dc.creator (作者) Lee,Meng-Wuien_US
dc.date (日期) 2007en_US
dc.date.accessioned 17-Sep-2009 19:07:49 (UTC+8)-
dc.date.available 17-Sep-2009 19:07:49 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:07:49 (UTC+8)-
dc.identifier (Other Identifiers) G0943520191en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34027-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 94352019zh_TW
dc.description (描述) 96zh_TW
dc.description.abstract (摘要) 在很多資產泡沫的案例中，我們發現貨幣供給與信用皆伴隨資產價格飆漲而增加；但其通貨膨脹問題卻不嚴重。這似乎與傳統貨幣理論之概念─高貨幣成長刺激通膨─有所抵觸。我們推論在資產價格飆升時，民眾會增加其持有之貨幣以待適當時機購買資產，此種融通金融商品的貨幣即為俗稱之「游資」。游資增加將吸收部份貨幣擴張，因而減少最終流入商品市場的貨幣，緩和通貨膨漲。本論文建立一個Cash-in-Advance模型，發現當經濟體之貸款利率遠高於存款利率，及人民預期未來經濟持續進步時，確實可能發生上述現象。zh_TW
dc.description.abstract (摘要) While some bubble economies, in which asset prices rise, experience exaggerated
money and credit expansion, they often face merely moderate
inflationary problems. It is likely that the increased money supply does
not fully enter the commodity market and result in hyper-inflation; some
of that increase may become investors’ money that waits for future investment
opportunities and finally goes into the equity market. By utilizing
a cash-in-advance model with a banking system and heterogeneous
household expectations, this paper demonstrates the existence of this special
phenomenon under the necessary condition by which, the loan rate is
significantly higher than the deposit rate, and what the public believes in
requires a persistent economic growth.		en_US
dc.description.tableofcontents 1 Introduction 1
2 Literature Review 9
3 The Model 13
3.1 Timing of Economic Events . . . . . . . . . . . . . . . . 13
3.2 Heterogeneous Expectations of Outputs . . . . . . . . . . 15
3.3 Equity Market . . . . . . . . . . . . . . . . . . . . . . . . 16
3.4 Banking System . . . . . . . . . . . . . . . . . . . . . . . 21
3.5 Household Maximization Problem . . . . . . . . . . . . . 23
3.6 Market Equilibrium . . . . . . . . . . . . . . . . . . . . . 26
4 The Impacts of Changes in Expectations 31
4.1 A Temporary Shock . . . . . . . . . . . . . . . . . . . . 31
4.2 A Permanent Shock . . . . . . . . . . . . . . . . . . . . . 38
4.3 Monetary Policy . . . . . . . . . . . . . . . . . . . . . . . 42
5 Conclusion 48
Appendix 49
Appendix 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
Appendix 2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Appendix 3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
Appendix 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
References 56		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0943520191en_US
dc.subject (關鍵詞) 資產價格zh_TW
dc.subject (關鍵詞) 通貨膨脹zh_TW
dc.subject (關鍵詞) 貨幣供給zh_TW
dc.subject (關鍵詞) 信用zh_TW
dc.subject (關鍵詞) 資產泡沫zh_TW
dc.subject (關鍵詞) Asset pricesen_US
dc.subject (關鍵詞) Inflationen_US
dc.subject (關鍵詞) Money expansionen_US
dc.subject (關鍵詞) Crediten_US
dc.subject (關鍵詞) Asset bubblesen_US
dc.title (題名) 通貨膨脹，資產價格波動與信用膨脹zh_TW
dc.title (題名) A Theoretical Examination of Inflation, Asset Prices, and Credit Expansionen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Allen, F. (2005), “Modeling Financial Instability,” National Institute Economiczh_TW
dc.relation.reference (參考文獻) Review, 192(1), 57-67.zh_TW
dc.relation.reference (參考文獻) and D. Gale (2000), “Bubbles and Crisis,” The Economic Journal,zh_TW
dc.relation.reference (參考文獻) 110, 236-255.zh_TW
dc.relation.reference (參考文獻) Balduzzi, P. (1996), “Inflation and Asset Prices in a Monetary Economy”zh_TW
dc.relation.reference (參考文獻) Economics Letters, 53, 67-74.zh_TW
dc.relation.reference (參考文獻) Bernanke, B. and M. Gertler (1995), “Inside the Black Box: The Creditzh_TW
dc.relation.reference (參考文獻) Channel of Monetary Policy,” Journal of Economic Perspectives, 9(4),zh_TW
dc.relation.reference (參考文獻) 27-48.zh_TW
dc.relation.reference (參考文獻) Boyle, G. W. and J. D. Peterson (1995), “Monetary Policy, Aggregate Uncertainty,zh_TW
dc.relation.reference (參考文獻) and the Stock Market,” Journal of Money, Credit and Banking,zh_TW
dc.relation.reference (參考文獻) 27(2), 570-582.zh_TW
dc.relation.reference (參考文獻) Boyle, G. W. and L. Young (1988), “Asset Prices, Commodity Prices, andzh_TW
dc.relation.reference (參考文獻) Money: A General Equilibrium, Rational Expectations Model,” Americanzh_TW
dc.relation.reference (參考文獻) Economic Review, 78(1), 24-45.zh_TW
dc.relation.reference (參考文獻) Cecchetti, S. G. (1995), “Distinguishing Theories of the Monetary Transmissionzh_TW
dc.relation.reference (參考文獻) Mechanism,” Federal Reserve Bank of St. Louis Review, 77,zh_TW
dc.relation.reference (參考文獻) 83-97.zh_TW
dc.relation.reference (參考文獻) Collyns, C. and A. Senhadji (2002), “Lending Booms, Real Estate Bubbleszh_TW
dc.relation.reference (參考文獻) and the Asian Crisis,” IMF working paper 02/20, Washington.zh_TW
dc.relation.reference (參考文獻) Corsetti, G., P. Pesenti and N. Roubini (1999), “Paper Tigers? A Model of the Asian Crisis,” European Economic Review, 43, 1211-1236.zh_TW
dc.relation.reference (參考文獻) Danthine, J. P. and J. B. Donaldson (1986), “Inflation and Asset Prices inzh_TW
dc.relation.reference (參考文獻) an Exchange Economy,” Econometrica, 54(3), 585-606.zh_TW
dc.relation.reference (參考文獻) Diamond, P. A. (1965), “National Debt in a Neoclassical Growth Model,”zh_TW
dc.relation.reference (參考文獻) American Economic Review, 55(5), 1126-1150.zh_TW
dc.relation.reference (參考文獻) Diba, B. T. and H. I. Grossman (1988), “The Theory of Rational Bubbleszh_TW
dc.relation.reference (參考文獻) in Stock Prices,” The Economic Journal, 98, 746-754.zh_TW
dc.relation.reference (參考文獻) Englund P. and L. E. O. Svensson (1988), “Money and Banking in a Cashin-zh_TW
dc.relation.reference (參考文獻) Advance Economy,” International Economic Review, 29(4), 681-zh_TW
dc.relation.reference (參考文獻) 705.zh_TW
dc.relation.reference (參考文獻) Fama, E. F. (1981), “Stock Returns, Real Activity Inflation and Money,”zh_TW
dc.relation.reference (參考文獻) American Economic Review, 69, 639-649.zh_TW
dc.relation.reference (參考文獻) Geske, R. and R. Roll (1983), “The Fiscal and Monetary Linkage Betweenzh_TW
dc.relation.reference (參考文獻) Stock Returns and Inflation,” The Journal of Finance, 38(1), 1-33.zh_TW
dc.relation.reference (參考文獻) Herrera, S. and G. E. Perry (2003), “Tropical Bubbles: Asset Prices inzh_TW
dc.relation.reference (參考文獻) Latin America, 1980-2001,” in William Hunter, George Kaufman andzh_TW
dc.relation.reference (參考文獻) Michael Pomerleano (eds.), Asset price bubbles: implications for monetary,zh_TW
dc.relation.reference (參考文獻) regulatory, and international policies, MIT Press, Cambridge,zh_TW
dc.relation.reference (參考文獻) Massachusetts.zh_TW
dc.relation.reference (參考文獻) Kindleberger, C. P. (1978), Manias, Panics, and Crashes: A History ofzh_TW
dc.relation.reference (參考文獻) Financial Crises, New York: Basic Books.zh_TW
dc.relation.reference (參考文獻) Lee, B. (2003), “Asset Returns and Inflation in Response to Supply, Monetary,zh_TW
dc.relation.reference (參考文獻) and Fiscal Disturbances,” Review of Quantitative Finance andzh_TW
dc.relation.reference (參考文獻) Accounting, 21(3), 207-231.zh_TW
dc.relation.reference (參考文獻) LeRoy, S.F. (1984), “Nominal Prices and Interest Rates in General Equilibrium:zh_TW
dc.relation.reference (參考文獻) Money Shocks,” The Journal of Business, 57(2), 177-195.zh_TW
dc.relation.reference (參考文獻) Lucas, R. E. (1982), “Interest Rates and Currency Prices in a Two-Country World,” Journal of Monetary Economics, 10, 335-359.zh_TW
dc.relation.reference (參考文獻) and N. L. Stokey (1985), “Money and Interest in a Cash-in-Advancezh_TW
dc.relation.reference (參考文獻) Economy.” Journal of Monetary Economics, 12, 55-93.zh_TW
dc.relation.reference (參考文獻) Meltzer, A. H. (2002), “Rational and Irrational Bubbles,”World Bank Conferencezh_TW
dc.relation.reference (參考文獻) on Asset Price Bubbles, Chicago.zh_TW
dc.relation.reference (參考文獻) Mundell, R. (1963), “Inflation and Real Interest,” The Journal of Politicalzh_TW
dc.relation.reference (參考文獻) Economy, 71(3), 280-283.zh_TW
dc.relation.reference (參考文獻) Obstfeld, M. and K. Rogoff (1983), “Speculative Hyperinflations in Maximizingzh_TW
dc.relation.reference (參考文獻) Models: Can We Rule Them Out?” The Journal of Politicalzh_TW
dc.relation.reference (參考文獻) Economy, 91(4), 675-687.zh_TW
dc.relation.reference (參考文獻) Okina, K., M. Shirakawa and S. Shiratsuka (2000), “Asset Price Bubblezh_TW
dc.relation.reference (參考文獻) and Monetary Policy: Japan’s Experience in the Late 1980s and thezh_TW
dc.relation.reference (參考文獻) Lessons,” IMES Discussion Paper No 2000-E-12, Institute for Monetaryzh_TW
dc.relation.reference (參考文獻) and Economic Studies, Bank of Japan.zh_TW
dc.relation.reference (參考文獻) Okina, K. and S. Shiratsuka (2003), “Japan’s Experience with Asset Pricezh_TW
dc.relation.reference (參考文獻) Bubbles: Is It a Case for Inflation Targeting?”, in William Hunter,zh_TW
dc.relation.reference (參考文獻) George Kaufman and Michael Pomerleano (eds.), Asset price bubbles:zh_TW
dc.relation.reference (參考文獻) implications for monetary, regulatory, and international policies, MITzh_TW
dc.relation.reference (參考文獻) Press, Cambridge, Massachusetts.zh_TW
dc.relation.reference (參考文獻) Oliner, S. D. and G. D. Rudebusch (1995), “Is there a bank lending channelzh_TW
dc.relation.reference (參考文獻) for monetary policy?” Federal Reserve Bank of San Francisco Economiczh_TW
dc.relation.reference (參考文獻) Review, 3-20.zh_TW
dc.relation.reference (參考文獻) Stulz, R.M (1986), “Asset Pricing and Expected Inflation,” The Journal ofzh_TW
dc.relation.reference (參考文獻) Finance, 41(1), 209-223.zh_TW
dc.relation.reference (參考文獻) Svensson, L. E. O. (1985), “Money and Asset Prices in a Cash-in-Advancezh_TW
dc.relation.reference (參考文獻) Economy,” The Journal of Political Economy, 93(5), 919-944.zh_TW
dc.relation.reference (參考文獻) Tirole, J. (1985), “Asset Bubbles and Overlapping Generations,” Econometrica, 53(5), 1071-1100.zh_TW
dc.relation.reference (參考文獻) Tobin, J. (1965), “Money and Economic Growth,” Econometrica, 33(4), 671-684.zh_TW