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題名 在金融摩擦下外部融資溢酬之分析─以台灣DSGE實證為例
External finance premium under financial frictions─a DSGE analysis for Taiwan
作者 張蓁昀
貢獻者 毛維凌<br>許志義
張蓁昀
關鍵詞 金融摩擦
外部融資溢酬
動態隨機一般均衡模型
日期 2012
上傳時間 2-一月-2013 13:27:49 (UTC+8)
摘要 本文以Paolo Gelain(2010)所建構的SWBGG模型，結合Smets & Wouters(2003,2005,2007)及Bernanke,Gertler and Gilchrist(1999)，建構具有金融摩擦(financial frictions)的動態隨機一般均衡模型，用台灣的總體時間序列1980Q3-2011Q4的季資料，拱用七種觀察值：分別為實質GDP成長率、實質投資成長率、實質消費成長率、實質工資成長率、GDP平減指數成長率、工時和金融業隔夜拆款利率利用貝氏估計做參數估計，主要分析分析不同衝擊下對於台灣景氣循環波動影響，及外部融資溢酬與景氣波動的相關性。
參考文獻 1. Bernanke, B. S.; Gertler, M. & Gilchrist, S. (1999).The
financial accerlerator in a quantitative business cycle
framework. Taylor, J. B. & Woodford, M. (Eds.) Handbook
of Macroeconomics,Amsterdam: North-Holland.
2. Christiano, L. J.; Eichenbaum, M. & Evans, C. L. (2005).
Nominal Rigidities and the Dynamic Effects of a Shock to
Monetary Policy.Journal of Political Economy,113(1),1-45.
3. De Graeve, F. (2008).The external finance premium and the
macroeconomy: US post-WWII evidence.Journal of Economic
Dynamics and Control,32,3415-3440.
4. Gelain Paolo, Rodriguez-Palenzuela, D. & Vilagi, B.
(2009).An Estimated Euro-area DSGE Model with Financial
Frictions: Empirical Investigation of the Financial
Accelerator Mechanism.European Central Bank,mimeo.
5. Gelain Paolo (2010).The External Finance Premium in the
Euro Area: a Useful Indicator for Monetary
Policy?.European Central Bank Working paper No 1171.
6. Michal Brzoza-Brzezina, M. K. (2012).Bayesian evaluation
of DSGE models with financial frictions. Natinal Bank of
Poland Working Paper No 109.
7. Smets, F. & Wouters, R. (2003).An estimated stochastic
dynamic general equilibrium model of the Euro Area.
Journal of the European Economic Association,1(5),1123-
1175.
8. Smets, F. & Wouters, R. (2007).Comparing shocks and
frictions in US and euro area business cycles: a Bayesian
DSGE Approach.Journal of Applied Econometrics,20,161-183.
9. Smets, F. & Wouters, R. (2007).Shocks and frictions in US
business cycles: a Bayesian DSGE approach.American
Economic Review,97,586-606.
10.Wing Leong Teo (2009).Estimated dynamic stochastic
general equilibrium model of the Taiwanese economy.
Pacific Economic Review,14:2,194-231.
11.劉斌(2010)，動態隨機一般均衡模型及其應用，北京：中國金融出版社。
12.林依伶(2008)，跨期替代彈性-台灣實證研究，國立台灣大學經濟學研究所碩
士論文。
13.蔡依恬(2009)，台灣動態隨機一般均衡模型之實證研究，國立中央大學經濟
學研究所碩士論文。
14.陳宏鈞(2009)，在動態隨機一般均衡模型下台灣消費習慣形成之估計，國立
政治大學經濟學研究所碩士論文。
描述 碩士
國立政治大學
經濟學系
99258033
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099258033
資料類型 thesis
dc.contributor.advisor 毛維凌<br>許志義zh_TW
dc.contributor.author (作者) 張蓁昀zh_TW
dc.creator (作者) 張蓁昀zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 2-一月-2013 13:27:49 (UTC+8)-
dc.date.available 2-一月-2013 13:27:49 (UTC+8)-
dc.date.issued (上傳時間) 2-一月-2013 13:27:49 (UTC+8)-
dc.identifier (其他 識別碼) G0099258033en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/56540-
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) 99258033zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 本文以Paolo Gelain(2010)所建構的SWBGG模型，結合Smets & Wouters(2003,2005,2007)及Bernanke,Gertler and Gilchrist(1999)，建構具有金融摩擦(financial frictions)的動態隨機一般均衡模型，用台灣的總體時間序列1980Q3-2011Q4的季資料，拱用七種觀察值：分別為實質GDP成長率、實質投資成長率、實質消費成長率、實質工資成長率、GDP平減指數成長率、工時和金融業隔夜拆款利率利用貝氏估計做參數估計，主要分析分析不同衝擊下對於台灣景氣循環波動影響，及外部融資溢酬與景氣波動的相關性。zh_TW
dc.description.tableofcontents 中文摘要..........................................I
英文摘要..........................................II
致謝.............................................III
1 緒論...........................................1
1.1 研究目的.....................................1
1.2 文獻回顧.....................................2
2 模型...........................................3
2.1 家計單位.....................................5
2.2 勞動供給與工資僵固.............................6
2.3 最終財生產者..................................7
2.4 資本財生產者..................................8
2.5 企業家.......................................9
2.6 貨幣政策.....................................16
2.7 政府........................................16
2.8 商品市場結清..................................16
3 實證方法........................................16
3.1 實證軟體.....................................17
3.2 資料來源與處理................................17
3.3 參數設定.....................................18
4 實證結果........................................21
4.1 後驗分配.....................................21
4.2 衝擊反應.....................................23
5 結論...........................................31
參考文獻..........................................33
A. Steady state..................................35
B. The log-linearized model......................37
C. Prior and posterior distributions.............41		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099258033en_US
dc.subject (關鍵詞) 金融摩擦zh_TW
dc.subject (關鍵詞) 外部融資溢酬zh_TW
dc.subject (關鍵詞) 動態隨機一般均衡模型zh_TW
dc.title (題名) 在金融摩擦下外部融資溢酬之分析─以台灣DSGE實證為例zh_TW
dc.title (題名) External finance premium under financial frictions─a DSGE analysis for Taiwanen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 1. Bernanke, B. S.; Gertler, M. & Gilchrist, S. (1999).The
financial accerlerator in a quantitative business cycle
framework. Taylor, J. B. & Woodford, M. (Eds.) Handbook
of Macroeconomics,Amsterdam: North-Holland.
2. Christiano, L. J.; Eichenbaum, M. & Evans, C. L. (2005).
Nominal Rigidities and the Dynamic Effects of a Shock to
Monetary Policy.Journal of Political Economy,113(1),1-45.
3. De Graeve, F. (2008).The external finance premium and the
macroeconomy: US post-WWII evidence.Journal of Economic
Dynamics and Control,32,3415-3440.
4. Gelain Paolo, Rodriguez-Palenzuela, D. & Vilagi, B.
(2009).An Estimated Euro-area DSGE Model with Financial
Frictions: Empirical Investigation of the Financial
Accelerator Mechanism.European Central Bank,mimeo.
5. Gelain Paolo (2010).The External Finance Premium in the
Euro Area: a Useful Indicator for Monetary
Policy?.European Central Bank Working paper No 1171.
6. Michal Brzoza-Brzezina, M. K. (2012).Bayesian evaluation
of DSGE models with financial frictions. Natinal Bank of
Poland Working Paper No 109.
7. Smets, F. & Wouters, R. (2003).An estimated stochastic
dynamic general equilibrium model of the Euro Area.
Journal of the European Economic Association,1(5),1123-
1175.
8. Smets, F. & Wouters, R. (2007).Comparing shocks and
frictions in US and euro area business cycles: a Bayesian
DSGE Approach.Journal of Applied Econometrics,20,161-183.
9. Smets, F. & Wouters, R. (2007).Shocks and frictions in US
business cycles: a Bayesian DSGE approach.American
Economic Review,97,586-606.
10.Wing Leong Teo (2009).Estimated dynamic stochastic
general equilibrium model of the Taiwanese economy.
Pacific Economic Review,14:2,194-231.
11.劉斌(2010)，動態隨機一般均衡模型及其應用，北京：中國金融出版社。
12.林依伶(2008)，跨期替代彈性-台灣實證研究，國立台灣大學經濟學研究所碩
士論文。
13.蔡依恬(2009)，台灣動態隨機一般均衡模型之實證研究，國立中央大學經濟
學研究所碩士論文。
14.陳宏鈞(2009)，在動態隨機一般均衡模型下台灣消費習慣形成之估計，國立
政治大學經濟學研究所碩士論文。		zh_TW