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| 研究生： |
吳奕信 Wu, Yi-Xin |
|---|---|
| 論文名稱： |
總體審慎政策－流動性覆蓋比率－之動態隨機一般均衡分析 Examination of Liquidity Coverage Regulation with A DSGE Framework |
| 指導教授： |
黃俞寧
Hwang, Yu-Ning |
| 口試委員: |
陳旭昇
Chen, Shiu-Sheng 蕭明福 Shaw, Ming-Fu |
| 學位類別： |
碩士
Master |
| 系所名稱： |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2017 |
| 畢業學年度： | 105 |
| 語文別： | 中文 |
| 論文頁數： | 30 |
| 中文關鍵詞： | 動態隨機一般均衡模型 、總體審慎政策 、流動性覆蓋比率 、貨幣政策 |
| 外文關鍵詞： | Dynamic stochastic general equilibrium (DSGE) model, Macroprudential policy, Monetary policy, Liquidity coverage ratio (LCR) |
| 相關次數： | 點閱：220 下載：10 |
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本文的研究目的為，在一個包含銀行部門的動態隨機一般均衡模型的架構中，探討流動性覆蓋比率限制在利率的信用管道中所扮演的角色以及其對政體經濟的影響為何。在銀行的資產配置決策內生的情形下，加入流動性覆蓋比率的限制，透過放款的勞動成本與抵押品價值來刻畫金融摩擦；本文發現當經濟體系遭受生產與放款的外生衝擊時，流動性覆蓋比率的限制會增強政策利率的信用管道效果，並且相較於無流動性覆蓋比率限制之模型而言，具流動性覆蓋比率限制的模型，其銀行資產配置的變動幅度與金融摩擦的程度皆較大。
The main purpose of this paper is to explore the role of the liquidity coverage ratio (LCR) in the credit channel and how it influences the overall economy in a dynamic stochastic general equilibrium (DSGE) model with banking sector. Commercial banks endogenously choose their optimal portfolio of assets under the liquidity coverage ratio restriction. On the other hand, we describe the financial friction through the labor cost of making loans and collateral value. We find that when the economy is exposed to exogenous shocks in production and lending, the liquidity coverage ratio will enhance the effect of credit channel. Compared with the model with no LCR restriction, the degree of change of the bank asset allocation and the financial friction are larger in the model with LCR restriction.
1. 導論 1
1.1. 研究動機 1
1.2. 文獻回顧 3
2. 模型設定 4
2.1. 家計部門 5
2.2. 生產廠商 6
2.3. 銀行部門 6
2.3.1. 銀行放款管理方程式 8
2.3.2. 利率與外部融資溢酬 8
2.3.3. 銀行資產管理 10
2.4. 政府部門 12
2.5. 貨幣政策 12
2.6. 外生衝擊 13
2.7. 一階條件 14
3. 靜態均衡分析 15
4. 線性化 18
4.1. 物價僵固性 18
4.2. 對數線性化 18
5. 動態分析 20
5.1. 生產勞動力衝擊 21
5.2. 審查放款勞動力衝擊 22
5.3. 擔保品價值衝擊 23
5.4. 貨幣政策衝擊 23
6. 結論 24
參考文獻 29
附錄 30
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