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題名 金融摩擦與國際景氣循環
Financial friction and international business cycles
作者 賴柏勳
Lai, Po Hsung
貢獻者 黃俞寧
Hwang, Yu Ning
賴柏勳
Lai, Po Hsung
關鍵詞 放款利差
銀行資本
國際景氣循環
DSGE
loan rate spreads
banking capital
international business cycles
日期 2010
上傳時間 5-Oct-2011 14:52:38 (UTC+8)
摘要 本文建構一個兩國並結合銀行之 DSGE 模型,旨在瞭解銀行資本與放款利差於國際景氣傳遞過程的機制。中間財廠商必須向銀行融通資金以購買資本財。本文假設廠商償還資金時存在違約衝擊,即銀行不一定能完全回收貸放總額。銀行資本水準又會影響放款利差的高低,進而改變廠商生產決策。本文以此機制連結金融與實質部門探討當違約衝擊發生時,除了對本國的影響之外,又會如何衝擊外國經濟體系。本文發現,本國違約衝擊的確會導致兩國景氣同時步入衰退,成功地捕捉兩國之產出、投資與放款呈現下降的現象。此外,本國若採行緊縮性貨幣政策,外國經濟體系也會遭受威脅。
The objective of this study is to investigate the international transmission mechanism of the role of banking sector. We propose a Dynamic Stochastic and General Equilibrium model of a two-country two-bank world with nominal rigidity. Bank lends funds to entrepreneurs to purchase capital. The banking capital position has influence on loan rate spreads which can affect the real economic activities. Financial impact is originated from entrepreneur defaulting on their borrowings. The calibration results show that a country-specific financial shock causes international crisis. Furthermore, a negative monetary policy shock also drives simultaneous recession across countries.
參考文獻 Bergin, Paul R., Hyung-Cheol shin and Ivan Tchakarov (2007), “Does exchange rate variability matter for welfare? A quantitative investigation of stabilization policies”, European Economic Review, 51(4), 1041-1058.
Bernanke, Ben S. and Mark L. Gertler (1995), “Inside the black box: The credit channel of monetary policy transmission”, Journal of Economic Perspectives, 9(4), 27-48.
Bernanke, Ben S., Mark L. Gertler and Simon Gilchrist (1999), “The financial accelerator in a quantitative business cycle framework”, in John B. Taylor and Michael Woodford, (eds.), Handbook of Macroeconomics, Vol. 1C, 1341-1393, Amsterdam: North-Holland.
Buch, Clauidia M. and Katja Neugebauer (2011), “Bank-specific shocks and real economy”, Journal of Banking & Finance, 35(8), 2179-2187.
Christensen, Ian and Ali Dib (2008), “The financial accelerator in an estimated New Keynesian model”, Review of Economic Dynamics, 11(1), 155-178.
Clarida, Richard, Jordi Galí and Mark L. Gertler (2000), “Monetary policy rules and macroeconomics stability: Evidence and some theory”, Quarterly Journal of Economics, 115(1), 147-180.
Dib, Ali (2010), “Banks, credit market frictions, and business cycles”, Working Paper, Bank of Canada.
Gerali, Andrea, Stefano Neri, Luca Sessa and Federico M. Signoretti (2010), “Credit and banking in a DSGE model of the Euro Area”, Journal of Money, Credit and Banking, 42(6), 107-141.
Gertler, Mark L. and Peter Karadi (2011), “A model of unconventional monetary policy”, Journal of Monetary Economics, 58(1), 17-34.
Gertler, Mark L. and Nobuhiro Kiyotaki (2010), “Financial intermediation and credit policy in business cycle analysis”, in Benjamin Friedman and Michael Woodford, (eds.), Handbook of Monetary Economics, Vol. 3, 547-599, Amsterdam: North-Holland.
Iacoviello, Matteo (2005), “House prices, borrowing constraint, and monetary policy in the business cycle”, American Economic Review, 95(3), 739-764.
Iacoviello, Matteo (2011), “Financial business cycles”, Working Paper, Federal Reserve Board.
Kamber, Güneş. and Christoph Thoenissen (2011), “Financial intermediation and the international business cycle”, Working Paper, Reserve Bank of New Zealand and Victoria University of Wellington.
Kashyap, Anil K. and Jeremy C. Stein (2000), “What do a millions observations on banks say about the transmission of monetary policy?”, American Economic Review, 90(3), 407-428.
Kollmann, Robert, Zeno Enders and Gernot J. Müller (2011), “Global banking and international business cycles”, European Economic Review, 55(3), 407-426.
Meh, Césaire A. and Kevin Moran (2010), “The role of bank capital in the propagation of shocks”, Journal of Economic Dynamic & Control, 34(3), 555-576.
Olivero, María Pía (2010), “Market power in banking, countercyclical margins and the international transmission of business cycles”, Journal of International Economics, 80(2), 292-301.
描述 碩士
國立政治大學
財政研究所
98255026
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098255026
資料類型 thesis
dc.contributor.advisor 黃俞寧zh_TW
dc.contributor.advisor Hwang, Yu Ningen_US
dc.contributor.author (Authors) 賴柏勳zh_TW
dc.contributor.author (Authors) Lai, Po Hsungen_US
dc.creator (作者) 賴柏勳zh_TW
dc.creator (作者) Lai, Po Hsungen_US
dc.date (日期) 2010en_US
dc.date.accessioned 5-Oct-2011 14:52:38 (UTC+8)-
dc.date.available 5-Oct-2011 14:52:38 (UTC+8)-
dc.date.issued (上傳時間) 5-Oct-2011 14:52:38 (UTC+8)-
dc.identifier (Other Identifiers) G0098255026en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/51396-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政研究所zh_TW
dc.description (描述) 98255026zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 本文建構一個兩國並結合銀行之 DSGE 模型,旨在瞭解銀行資本與放款利差於國際景氣傳遞過程的機制。中間財廠商必須向銀行融通資金以購買資本財。本文假設廠商償還資金時存在違約衝擊,即銀行不一定能完全回收貸放總額。銀行資本水準又會影響放款利差的高低,進而改變廠商生產決策。本文以此機制連結金融與實質部門探討當違約衝擊發生時,除了對本國的影響之外,又會如何衝擊外國經濟體系。本文發現,本國違約衝擊的確會導致兩國景氣同時步入衰退,成功地捕捉兩國之產出、投資與放款呈現下降的現象。此外,本國若採行緊縮性貨幣政策,外國經濟體系也會遭受威脅。zh_TW
dc.description.abstract (摘要) The objective of this study is to investigate the international transmission mechanism of the role of banking sector. We propose a Dynamic Stochastic and General Equilibrium model of a two-country two-bank world with nominal rigidity. Bank lends funds to entrepreneurs to purchase capital. The banking capital position has influence on loan rate spreads which can affect the real economic activities. Financial impact is originated from entrepreneur defaulting on their borrowings. The calibration results show that a country-specific financial shock causes international crisis. Furthermore, a negative monetary policy shock also drives simultaneous recession across countries.en_US
dc.description.tableofcontents 1 Introduction.........................1
1.1 Motivation........................1
1.2 Literature Review.................3
2 The Model............................6
2.1 Household.........................6
2.2 Retailer..........................8
2.3 Entrepreneur.....................10
2.4 Financial Intermediation.........14
2.5 Government.......................16
2.6 Central Bank.....................16
2.7 Shocks Process...................17
2.8 Market-Clearing Conditions.......17
3 Bank Capital and Spreads............18
4 Calibrated Parameters...............20
4.1 Steady-State.....................20
4.2 Parameter Values.................21
5 Dynamics............................23
5.1 Productivity Shock...............23
5.2 Default Shock....................24
5.3 Monetary Policy Shock............25
6 Concluding Remarks..................25
Reference.............................27
Appendix..............................43
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098255026en_US
dc.subject (關鍵詞) 放款利差zh_TW
dc.subject (關鍵詞) 銀行資本zh_TW
dc.subject (關鍵詞) 國際景氣循環zh_TW
dc.subject (關鍵詞) DSGEen_US
dc.subject (關鍵詞) loan rate spreadsen_US
dc.subject (關鍵詞) banking capitalen_US
dc.subject (關鍵詞) international business cyclesen_US
dc.title (題名) 金融摩擦與國際景氣循環zh_TW
dc.title (題名) Financial friction and international business cyclesen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Bergin, Paul R., Hyung-Cheol shin and Ivan Tchakarov (2007), “Does exchange rate variability matter for welfare? A quantitative investigation of stabilization policies”, European Economic Review, 51(4), 1041-1058.zh_TW
dc.relation.reference (參考文獻) Bernanke, Ben S. and Mark L. 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, Ben S., Mark L. Gertler and Simon Gilchrist (1999), “The financial accelerator in a quantitative business cycle framework”, in John B. Taylor and Michael Woodford, (eds.), Handbook of Macroeconomics, Vol. 1C, 1341-1393, Amsterdam: North-Holland.zh_TW
dc.relation.reference (參考文獻) Buch, Clauidia M. and Katja Neugebauer (2011), “Bank-specific shocks and real economy”, Journal of Banking & Finance, 35(8), 2179-2187.zh_TW
dc.relation.reference (參考文獻) Christensen, Ian and Ali Dib (2008), “The financial accelerator in an estimated New Keynesian model”, Review of Economic Dynamics, 11(1), 155-178.zh_TW
dc.relation.reference (參考文獻) Clarida, Richard, Jordi Galí and Mark L. Gertler (2000), “Monetary policy rules and macroeconomics stability: Evidence and some theory”, Quarterly Journal of Economics, 115(1), 147-180.zh_TW
dc.relation.reference (參考文獻) Dib, Ali (2010), “Banks, credit market frictions, and business cycles”, Working Paper, Bank of Canada.zh_TW
dc.relation.reference (參考文獻) Gerali, Andrea, Stefano Neri, Luca Sessa and Federico M. Signoretti (2010), “Credit and banking in a DSGE model of the Euro Area”, Journal of Money, Credit and Banking, 42(6), 107-141.zh_TW
dc.relation.reference (參考文獻) Gertler, Mark L. and Peter Karadi (2011), “A model of unconventional monetary policy”, Journal of Monetary Economics, 58(1), 17-34.zh_TW
dc.relation.reference (參考文獻) Gertler, Mark L. and Nobuhiro Kiyotaki (2010), “Financial intermediation and credit policy in business cycle analysis”, in Benjamin Friedman and Michael Woodford, (eds.), Handbook of Monetary Economics, Vol. 3, 547-599, Amsterdam: North-Holland.zh_TW
dc.relation.reference (參考文獻) Iacoviello, Matteo (2005), “House prices, borrowing constraint, and monetary policy in the business cycle”, American Economic Review, 95(3), 739-764.zh_TW
dc.relation.reference (參考文獻) Iacoviello, Matteo (2011), “Financial business cycles”, Working Paper, Federal Reserve Board.zh_TW
dc.relation.reference (參考文獻) Kamber, Güneş. and Christoph Thoenissen (2011), “Financial intermediation and the international business cycle”, Working Paper, Reserve Bank of New Zealand and Victoria University of Wellington.zh_TW
dc.relation.reference (參考文獻) Kashyap, Anil K. and Jeremy C. Stein (2000), “What do a millions observations on banks say about the transmission of monetary policy?”, American Economic Review, 90(3), 407-428.zh_TW
dc.relation.reference (參考文獻) Kollmann, Robert, Zeno Enders and Gernot J. Müller (2011), “Global banking and international business cycles”, European Economic Review, 55(3), 407-426.zh_TW
dc.relation.reference (參考文獻) Meh, Césaire A. and Kevin Moran (2010), “The role of bank capital in the propagation of shocks”, Journal of Economic Dynamic & Control, 34(3), 555-576.zh_TW
dc.relation.reference (參考文獻) Olivero, María Pía (2010), “Market power in banking, countercyclical margins and the international transmission of business cycles”, Journal of International Economics, 80(2), 292-301.zh_TW