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題名 小型開放經濟體系下信用機制對於貨幣政策和浮動匯率的影響
The credit channel of monetary policy and exchange rate flexibility in a small open economy
作者 楊馥珉
Yang, Fu Min
貢獻者 黃俞寧
Hwang, Yu Ning
楊馥珉
Yang, Fu Min
關鍵詞 信用機制
外部成本溢酬
浮動匯率
金融風暴
Credit Channels
External Finance Premium
Flexible Exchange Rate
Financial Crisis
日期 2008
上傳時間 9-Dec-2010 14:47:18 (UTC+8)
摘要 The objective of this study is to consider the credit channel operation under a small open economy by including the banking sector and money in a dynamic stochastic general equilibrium (DSGE) model. This study examines the role of the banking sector in a small open economy and the impact of the degree of economic openness. In the steady state analysis, we find that the banking sector’s efficiency and the degree of the openness of an economy will affect the equilibrium. The dynamic analyses show the exchange rate movement amplifies the responses of the economy to exogenous shocks.
參考文獻 Aoki, K., J. Proudman, and G. Vlieghe (2004), “House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach,” Journal of Financial Intermediation, 13(4), 414-435.
Bernanke, B. S. and A. S. Blinder (1988), “Credit, Money and Aggregate Demand,” American Economic Review, 78(2), 435-439.
Bernanke, B. S. and M. Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79(1), 14-31.
Bernanke, B. S. and M. Gertler (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission,” Journal of Economic Perspectives, 9(4), 27-48.
Bernanke, B., M. Gertler, and S. Gilchrist (1998), “The Financial Accelerator in a Quantitative Business Cycle Framework,” NBER Working Papers, No.6455.
Calvo, G. A. (1983), “Staggered Price in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12(3), 383-398.
Carlstrom, C. and T. Fuerst (1997), “Agency Cost, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis,” American Economic Review, 87(5), 893-910.
Chang, J.-C. (2008), “The Credit Channel of Monetary Transmission in a Small Open Economy,” International Economic Journal, 22(2), 215-230.
Cooley, T., R. Marimon, and V. Quadrini (2004), “Aggregate consequences of limited contract enforceability,” Journal of Political Economy, 112(4), 817-847.
Diamond, D. and R. Rajan (2006), “Money in a Theory of Banking,” American Economic Review, 96(1), 30-53.
Edwards, S. and C. A. Végh (1997), “Banks and Macroeconomic Disturbances under Predetermined Exchange Rates,” Journal of Monetary Economics, 40(2), 239-278.
Favero, C. A. (2001), Applied Macroeconometrics, Oxford and New York, Oxford University Press
Goodfriend, M. (2005), “Narrow Money, Broad Money, and the Transmission of Monetary Policy,” In: Faust, J., Orphanides, A., Reifschneider, D. (Eds.), Models and Monetary Policy: Research in the Tradition of Dale Henderson, Richard Porter, and Peter Tinsley, (pp. 277-303): Washington, D.C.: Board of Governors of Federal Reserve System.
Goodfriend, M. and B. T. McCallum (2007), “Banking and Interest Rate in Monetary Policy Analysis: A Quantitative Exploration,” Journal of Monetary Economics, 54(5), 1480-1507.
Kiyotaki, N. and J. Moore (1997), “Credit Cycles,” Journal of Political Economy, 105(2), 211-248.
Kocherlakota, N. (2000), “Creating Business Cycles through Credit Constraints,” Federal Reserve Bank of Minneapolis Quarterly Review, 24(3), 2-10.
Kollmann, R. (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics, 49(5), 989-1015.
Lane, P. R. and G. M. Milesi-Ferretti (2001), “Long-Term Capital Movements,” Working Paper, Trinity College Dublin and IMF.
Obstfeld, M. and K. Rogoff (1995), “Exchange Rate Dynamics Redux,” Journal of Political Economy, 103(3), 624-660.
Obstfeld, M. and K. Rogoff (1996), Foundations of International Macroeconomics, Cambridge, Mass. and London, the MIT Press.
Obstfeld, M. and K. Rogoff (2000), “New Directions for Stochastic Open Economy Models,” Journal of International Economics, 50(1), 117-153.
Taylor, L. B. (1993), “Discretion versus Policy Rules in Practice,” Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.
描述 碩士
國立政治大學
經濟研究所
96258015
97
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096258015
資料類型 thesis
dc.contributor.advisor 黃俞寧zh_TW
dc.contributor.advisor Hwang, Yu Ningen_US
dc.contributor.author (Authors) 楊馥珉zh_TW
dc.contributor.author (Authors) Yang, Fu Minen_US
dc.creator (作者) 楊馥珉zh_TW
dc.creator (作者) Yang, Fu Minen_US
dc.date (日期) 2008en_US
dc.date.accessioned 9-Dec-2010 14:47:18 (UTC+8)-
dc.date.available 9-Dec-2010 14:47:18 (UTC+8)-
dc.date.issued (上傳時間) 9-Dec-2010 14:47:18 (UTC+8)-
dc.identifier (Other Identifiers) G0096258015en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/49960-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟研究所zh_TW
dc.description (描述) 96258015zh_TW
dc.description (描述) 97zh_TW
dc.description.abstract (摘要) The objective of this study is to consider the credit channel operation under a small open economy by including the banking sector and money in a dynamic stochastic general equilibrium (DSGE) model. This study examines the role of the banking sector in a small open economy and the impact of the degree of economic openness. In the steady state analysis, we find that the banking sector’s efficiency and the degree of the openness of an economy will affect the equilibrium. The dynamic analyses show the exchange rate movement amplifies the responses of the economy to exogenous shocks.zh_TW
dc.description.tableofcontents 1. Introduction 1
1.1 Motivation 1
1.2 Literature review 2
2. The model 7
2.1 Core model 7
2.1.1 Goods market 7
2.1.2 The representative household 8
2.1.3 Banks 10
2.2 First-order conditions 12
2.3 Exogenous variables 13
3. Interest rate 15
3.1 interest rate relationship 15
3.2 External Finance Premium 17
4. Steady state 18
4.1 Steady-state solution 18
4.2 Model Parameterization 19
4.3 Results 20
5. Log-linearization 24
6. Dynamic analysis 28
7. Conclusion 35
References 36		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/#G0096258015en_US
dc.subject (關鍵詞) 信用機制zh_TW
dc.subject (關鍵詞) 外部成本溢酬zh_TW
dc.subject (關鍵詞) 浮動匯率zh_TW
dc.subject (關鍵詞) 金融風暴zh_TW
dc.subject (關鍵詞) Credit Channelsen_US
dc.subject (關鍵詞) External Finance Premiumen_US
dc.subject (關鍵詞) Flexible Exchange Rateen_US
dc.subject (關鍵詞) Financial Crisisen_US
dc.title (題名) 小型開放經濟體系下信用機制對於貨幣政策和浮動匯率的影響zh_TW
dc.title (題名) The credit channel of monetary policy and exchange rate flexibility in a small open economyen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Aoki, K., J. Proudman, and G. Vlieghe (2004), “House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach,” Journal of Financial Intermediation, 13(4), 414-435.zh_TW
dc.relation.reference (參考文獻) Bernanke, B. S. and A. S. Blinder (1988), “Credit, Money and Aggregate Demand,” American Economic Review, 78(2), 435-439.zh_TW
dc.relation.reference (參考文獻) Bernanke, B. S. and M. Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79(1), 14-31.zh_TW
dc.relation.reference (參考文獻) Bernanke, B. S. and M. Gertler (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission,” Journal of Economic Perspectives, 9(4), 27-48.zh_TW
dc.relation.reference (參考文獻) Bernanke, B., M. Gertler, and S. Gilchrist (1998), “The Financial Accelerator in a Quantitative Business Cycle Framework,” NBER Working Papers, No.6455.zh_TW
dc.relation.reference (參考文獻) Calvo, G. A. (1983), “Staggered Price in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12(3), 383-398.zh_TW
dc.relation.reference (參考文獻) Carlstrom, C. and T. Fuerst (1997), “Agency Cost, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis,” American Economic Review, 87(5), 893-910.zh_TW
dc.relation.reference (參考文獻) Chang, J.-C. (2008), “The Credit Channel of Monetary Transmission in a Small Open Economy,” International Economic Journal, 22(2), 215-230.zh_TW
dc.relation.reference (參考文獻) Cooley, T., R. Marimon, and V. Quadrini (2004), “Aggregate consequences of limited contract enforceability,” Journal of Political Economy, 112(4), 817-847.zh_TW
dc.relation.reference (參考文獻) Diamond, D. and R. Rajan (2006), “Money in a Theory of Banking,” American Economic Review, 96(1), 30-53.zh_TW
dc.relation.reference (參考文獻) Edwards, S. and C. A. Végh (1997), “Banks and Macroeconomic Disturbances under Predetermined Exchange Rates,” Journal of Monetary Economics, 40(2), 239-278.zh_TW
dc.relation.reference (參考文獻) Favero, C. A. (2001), Applied Macroeconometrics, Oxford and New York, Oxford University Presszh_TW
dc.relation.reference (參考文獻) Goodfriend, M. (2005), “Narrow Money, Broad Money, and the Transmission of Monetary Policy,” In: Faust, J., Orphanides, A., Reifschneider, D. (Eds.), Models and Monetary Policy: Research in the Tradition of Dale Henderson, Richard Porter, and Peter Tinsley, (pp. 277-303): Washington, D.C.: Board of Governors of Federal Reserve System.zh_TW
dc.relation.reference (參考文獻) Goodfriend, M. and B. T. McCallum (2007), “Banking and Interest Rate in Monetary Policy Analysis: A Quantitative Exploration,” Journal of Monetary Economics, 54(5), 1480-1507.zh_TW
dc.relation.reference (參考文獻) Kiyotaki, N. and J. Moore (1997), “Credit Cycles,” Journal of Political Economy, 105(2), 211-248.zh_TW
dc.relation.reference (參考文獻) Kocherlakota, N. (2000), “Creating Business Cycles through Credit Constraints,” Federal Reserve Bank of Minneapolis Quarterly Review, 24(3), 2-10.zh_TW
dc.relation.reference (參考文獻) Kollmann, R. (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics, 49(5), 989-1015.zh_TW
dc.relation.reference (參考文獻) Lane, P. R. and G. M. Milesi-Ferretti (2001), “Long-Term Capital Movements,” Working Paper, Trinity College Dublin and IMF.zh_TW
dc.relation.reference (參考文獻) Obstfeld, M. and K. Rogoff (1995), “Exchange Rate Dynamics Redux,” Journal of Political Economy, 103(3), 624-660.zh_TW
dc.relation.reference (參考文獻) Obstfeld, M. and K. Rogoff (1996), Foundations of International Macroeconomics, Cambridge, Mass. and London, the MIT Press.zh_TW
dc.relation.reference (參考文獻) Obstfeld, M. and K. Rogoff (2000), “New Directions for Stochastic Open Economy Models,” Journal of International Economics, 50(1), 117-153.zh_TW
dc.relation.reference (參考文獻) Taylor, L. B. (1993), “Discretion versus Policy Rules in Practice,” Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.zh_TW