學術產出-Theses
Article View/Open
Publication Export
-
題名 貨幣政策對房屋市場的影響之探討 —動態隨機一般均衡模型分析
The Effect of Monetary Policy on Housing Market—A Dynamic Stochastic General Equilibrium Framework作者 曾楷仁
Tzeng, Kai Ren貢獻者 黃俞寧
Hwang, Yu Ning
曾楷仁
Tzeng, Kai Ren關鍵詞 動態隨機一般均衡模型
房價
貨幣政策
泰勒法則
房價目標
通膨目標日期 2013 上傳時間 29-Jul-2014 16:14:12 (UTC+8) 摘要 本文的研究目的是在動態隨機一般均衡模型的架構中,比較不同貨幣政策之下,外生衝擊對房價及總體變數的衝擊反應;本文建立一個封閉經濟體系,其中包含家計單位、房屋擁有者、房屋建商及商品生產部門,並且由一個貨幣當局制訂利率政策;本文探討三種利率法則:傳統的泰勒法則、加入房價目標的利率法則、通貨膨脹目標的利率法則及一個激進的通貨膨脹目標利率法則,我們分別在這四種利率政策下模擬成本衝擊、技術衝擊、貨幣衝擊及家計單位對房屋的偏好衝擊,比較這三種政策下房價和其他變數的衝擊反應函數;本文發現加入房價目標對房價穩定沒有顯著的影響,而傳統的泰勒法則相對於通貨膨脹目標的利率政策對房價穩定比較有幫助。
The main purpose of this paper is to compare the effect of various shocks on house price and other macroeconomic variables under different monetary policies using micro-based dynamic stochastic general equilibrium (DSGE) analysis. We construct a closed economy with a representative household, a representative house owner, a house producer, a producer of goods and a monetary authority that implements monetary policies. We discuss three interest rate policy settings, which include traditional Taylor’s Rule, Taylor’s Rule with house price targeting and an inflationary targeting monetary policy followed by an aggressive inflationary targeting rule. We compare the impulse response function with an inflationary shock, a technology shock, a monetary shock and a household’s preference shock under these monetary policies. We discover that adding house price targeting into traditional Taylor’s Rule does not work better in house price stabilization. Our results show the apparent importance of Taylor’s rule in house price stabilization.參考文獻 1. Aoki, K., J. Proudman, and G. Vlieghe (2002), “House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach”, Bank of England Working Paper, 169-190.2. Bernanke, B. and M. Getler (1999), “Monetary Policy and Asset Price Volatility”, Economic Review, 4, 17-51.3. Bernanke, B., M. Getler, and S. Gilchrist (1999), “The Financial Accelerator in a Quantitative Business Cycle Framework”, Handbook of Macroeconomics, 1, 1341-1393.4. Central Bank of China (Taiwan) (2013), Meeting of Board of Central Bank Committee (News Announcement No 130), Retrieved from http://www.cbc.gov.tw/ ct.asp? xItem=44416&ctNode=302&mp=1.5. Central Bank of China (Taiwan) (2014), The International Perspective on House Price, Interest Rate and Cautious Policies, Retrieved from http://www.cbc.gov.tw/ public/Attachment/422416342071.pdf.6. Chang, C. O., M. C. Chen, H. J. Teng, and C.Y. Yang (2009), “Is There a Housing Bubble in Taipei? Housing Price vs. Rent and Housing Price vs. Income”, Journal of Housing Studies, 18(2), 1-22.7. Chen, N. K. and H. L. Cheng (2012), “External Finance Premium, Taiwan’s Housing Market and Business Fluctuations”, Economic Thesis, Institute of Economics, Academic Sinica, 40(3), 307–341. 8. Iacoviello, M. (2005), “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle”, American Economic Review, 95(3), 739-764.9. Lin, T. Y. (2012), “Monetary Policy and the House Price” (No. 100-2410-H-004-198), Ministry of Science and Technology, Taiwan: Taipei City, Retrieved from http://nccur.lib.nccu.edu.tw/bitstream/140.119/52370/1/100-2410-H-004-198.pdf.10.SinYi Research Center for Real Estate (2014), Taiwanese House Price Index (Data file). Retrieved from the website of National ChengChi University College of Commerce: https://www.ncscre.nccu.edu.tw/webroot/xponent/exponent_ 1314260174.docx.11.Taiwanese Economic Journal (2014), Taiwanese House Price to Income Ratio (Database). Retrieved from Taiwanese Economic Journal Database. 描述 碩士
國立政治大學
經濟學系
101258004
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G1012580041 資料類型 thesis dc.contributor.advisor 黃俞寧 zh_TW dc.contributor.advisor Hwang, Yu Ning en_US dc.contributor.author (Authors) 曾楷仁 zh_TW dc.contributor.author (Authors) Tzeng, Kai Ren en_US dc.creator (作者) 曾楷仁 zh_TW dc.creator (作者) Tzeng, Kai Ren en_US dc.date (日期) 2013 en_US dc.date.accessioned 29-Jul-2014 16:14:12 (UTC+8) - dc.date.available 29-Jul-2014 16:14:12 (UTC+8) - dc.date.issued (上傳時間) 29-Jul-2014 16:14:12 (UTC+8) - dc.identifier (Other Identifiers) G1012580041 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67915 - 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) 101258004 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) 本文的研究目的是在動態隨機一般均衡模型的架構中,比較不同貨幣政策之下,外生衝擊對房價及總體變數的衝擊反應;本文建立一個封閉經濟體系,其中包含家計單位、房屋擁有者、房屋建商及商品生產部門,並且由一個貨幣當局制訂利率政策;本文探討三種利率法則:傳統的泰勒法則、加入房價目標的利率法則、通貨膨脹目標的利率法則及一個激進的通貨膨脹目標利率法則,我們分別在這四種利率政策下模擬成本衝擊、技術衝擊、貨幣衝擊及家計單位對房屋的偏好衝擊,比較這三種政策下房價和其他變數的衝擊反應函數;本文發現加入房價目標對房價穩定沒有顯著的影響,而傳統的泰勒法則相對於通貨膨脹目標的利率政策對房價穩定比較有幫助。 zh_TW dc.description.abstract (摘要) The main purpose of this paper is to compare the effect of various shocks on house price and other macroeconomic variables under different monetary policies using micro-based dynamic stochastic general equilibrium (DSGE) analysis. We construct a closed economy with a representative household, a representative house owner, a house producer, a producer of goods and a monetary authority that implements monetary policies. We discuss three interest rate policy settings, which include traditional Taylor’s Rule, Taylor’s Rule with house price targeting and an inflationary targeting monetary policy followed by an aggressive inflationary targeting rule. We compare the impulse response function with an inflationary shock, a technology shock, a monetary shock and a household’s preference shock under these monetary policies. We discover that adding house price targeting into traditional Taylor’s Rule does not work better in house price stabilization. Our results show the apparent importance of Taylor’s rule in house price stabilization. en_US dc.description.tableofcontents 1. Introduction.............................1 1.1 Motivation..........................1 1.2 Literature Review...................42. The Model................................8 2.1 Household...........................8 2.2 House owner.........................9 2.3 The House Producer..................11 2.4 Good Firm...........................12 2.5 Monetary Policies...................13 2.6 Exogenous Variables.................13 2.7 Market Clearing and Equilibrium.....143. Calibration..............................15 3.1 Parameters Setting..................15 3.2 Calibration Results.................17 3.2.1 Calibration under Taylor’s Rule.17 3.2.2 Calibration under Taylor’s Rule with House Price Targeting.....18 3.2.3 Calibration under Interest Rate Rule with Inflation Targeting..214. Conclusion...............................28Reference...................................29Appendix 31 zh_TW dc.format.extent 506359 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1012580041 en_US dc.subject (關鍵詞) 動態隨機一般均衡模型 zh_TW dc.subject (關鍵詞) 房價 zh_TW dc.subject (關鍵詞) 貨幣政策 zh_TW dc.subject (關鍵詞) 泰勒法則 zh_TW dc.subject (關鍵詞) 房價目標 zh_TW dc.subject (關鍵詞) 通膨目標 zh_TW dc.title (題名) 貨幣政策對房屋市場的影響之探討 —動態隨機一般均衡模型分析 zh_TW dc.title (題名) The Effect of Monetary Policy on Housing Market—A Dynamic Stochastic General Equilibrium Framework en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Aoki, K., J. Proudman, and G. Vlieghe (2002), “House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach”, Bank of England Working Paper, 169-190.2. Bernanke, B. and M. Getler (1999), “Monetary Policy and Asset Price Volatility”, Economic Review, 4, 17-51.3. Bernanke, B., M. Getler, and S. Gilchrist (1999), “The Financial Accelerator in a Quantitative Business Cycle Framework”, Handbook of Macroeconomics, 1, 1341-1393.4. Central Bank of China (Taiwan) (2013), Meeting of Board of Central Bank Committee (News Announcement No 130), Retrieved from http://www.cbc.gov.tw/ ct.asp? xItem=44416&ctNode=302&mp=1.5. Central Bank of China (Taiwan) (2014), The International Perspective on House Price, Interest Rate and Cautious Policies, Retrieved from http://www.cbc.gov.tw/ public/Attachment/422416342071.pdf.6. Chang, C. O., M. C. Chen, H. J. Teng, and C.Y. Yang (2009), “Is There a Housing Bubble in Taipei? Housing Price vs. Rent and Housing Price vs. Income”, Journal of Housing Studies, 18(2), 1-22.7. Chen, N. K. and H. L. Cheng (2012), “External Finance Premium, Taiwan’s Housing Market and Business Fluctuations”, Economic Thesis, Institute of Economics, Academic Sinica, 40(3), 307–341. 8. Iacoviello, M. (2005), “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle”, American Economic Review, 95(3), 739-764.9. Lin, T. Y. (2012), “Monetary Policy and the House Price” (No. 100-2410-H-004-198), Ministry of Science and Technology, Taiwan: Taipei City, Retrieved from http://nccur.lib.nccu.edu.tw/bitstream/140.119/52370/1/100-2410-H-004-198.pdf.10.SinYi Research Center for Real Estate (2014), Taiwanese House Price Index (Data file). Retrieved from the website of National ChengChi University College of Commerce: https://www.ncscre.nccu.edu.tw/webroot/xponent/exponent_ 1314260174.docx.11.Taiwanese Economic Journal (2014), Taiwanese House Price to Income Ratio (Database). Retrieved from Taiwanese Economic Journal Database. zh_TW