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| 研究生： |
曾楷仁 Tzeng, Kai Ren |
|---|---|
| 論文名稱： |
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 |
| 指導教授： |
黃俞寧
Hwang, Yu Ning |
| 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： | 2014 |
| 畢業學年度： | 102 |
| 語文別： | 英文 |
| 論文頁數： | 31 |
| 中文關鍵詞： | 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 |
| 相關次數： | 點閱：359 下載：70 |
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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.
1. Introduction.............................1
1.1 Motivation..........................1
1.2 Literature Review...................4
2. 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.....14
3. 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..21
4. Conclusion...............................28
Reference...................................29
Appendix 31
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(No. 100-2410-H-004-198), Ministry of Science and
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10.SinYi Research Center for Real Estate (2014), Taiwanese
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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.
