跳到主要內容

簡易檢索 / 詳目顯示

研究生: 楊馥珉
Yang, Fu Min
論文名稱: 小型開放經濟體系下信用機制對於貨幣政策和浮動匯率的影響
The credit channel of monetary policy and exchange rate flexibility in a small open economy
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: 2009
畢業學年度: 97
語文別: 英文
論文頁數: 41
中文關鍵詞: 信用機制外部成本溢酬浮動匯率金融風暴
外文關鍵詞: Credit Channels, External Finance Premium, Flexible Exchange Rate, Financial Crisis
相關次數: 點閱:131下載:138
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報
  • The objective of this study is to consider the credit channel operation under a small open economy by including the banking sector and money in a dynamic stochastic general equilibrium (DSGE) model. This study examines the role of the banking sector in a small open economy and the impact of the degree of economic openness. In the steady state analysis, we find that the banking sector’s efficiency and the degree of the openness of an economy will affect the equilibrium. The dynamic analyses show the exchange rate movement amplifies the responses of the economy to exogenous shocks.


    1. Introduction 1
    1.1 Motivation 1
    1.2 Literature review 2
    2. The model 7
    2.1 Core model 7
    2.1.1 Goods market 7
    2.1.2 The representative household 8
    2.1.3 Banks 10
    2.2 First-order conditions 12
    2.3 Exogenous variables 13
    3. Interest rate 15
    3.1 interest rate relationship 15
    3.2 External Finance Premium 17
    4. Steady state 18
    4.1 Steady-state solution 18
    4.2 Model Parameterization 19
    4.3 Results 20
    5. Log-linearization 24
    6. Dynamic analysis 28
    7. Conclusion 35
    References 36

    Aoki, K., J. Proudman, and G. Vlieghe (2004), “House Prices, Consumption, and Monetary Policy: A Financial Accelerator Approach,” Journal of Financial Intermediation, 13(4), 414-435.

    Bernanke, B. S. and A. S. Blinder (1988), “Credit, Money and Aggregate Demand,” American Economic Review, 78(2), 435-439.

    Bernanke, B. S. and M. Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79(1), 14-31.

    Bernanke, B. S. and M. Gertler (1995), “Inside the Black Box: The Credit Channel of Monetary Policy Transmission,” Journal of Economic Perspectives, 9(4), 27-48.

    Bernanke, B., M. Gertler, and S. Gilchrist (1998), “The Financial Accelerator in a Quantitative Business Cycle Framework,” NBER Working Papers, No.6455.

    Calvo, G. A. (1983), “Staggered Price in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12(3), 383-398.

    Carlstrom, C. and T. Fuerst (1997), “Agency Cost, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis,” American Economic Review, 87(5), 893-910.

    Chang, J.-C. (2008), “The Credit Channel of Monetary Transmission in a Small Open Economy,” International Economic Journal, 22(2), 215-230.

    Cooley, T., R. Marimon, and V. Quadrini (2004), “Aggregate consequences of limited contract enforceability,” Journal of Political Economy, 112(4), 817-847.

    Diamond, D. and R. Rajan (2006), “Money in a Theory of Banking,” American Economic Review, 96(1), 30-53.

    Edwards, S. and C. A. Végh (1997), “Banks and Macroeconomic Disturbances under Predetermined Exchange Rates,” Journal of Monetary Economics, 40(2), 239-278.

    Favero, C. A. (2001), Applied Macroeconometrics, Oxford and New York, Oxford University Press

    Goodfriend, M. (2005), “Narrow Money, Broad Money, and the Transmission of Monetary Policy,” In: Faust, J., Orphanides, A., Reifschneider, D. (Eds.), Models and Monetary Policy: Research in the Tradition of Dale Henderson, Richard Porter, and Peter Tinsley, (pp. 277-303): Washington, D.C.: Board of Governors of Federal Reserve System.

    Goodfriend, M. and B. T. McCallum (2007), “Banking and Interest Rate in Monetary Policy Analysis: A Quantitative Exploration,” Journal of Monetary Economics, 54(5), 1480-1507.

    Kiyotaki, N. and J. Moore (1997), “Credit Cycles,” Journal of Political Economy, 105(2), 211-248.

    Kocherlakota, N. (2000), “Creating Business Cycles through Credit Constraints,” Federal Reserve Bank of Minneapolis Quarterly Review, 24(3), 2-10.

    Kollmann, R. (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics, 49(5), 989-1015.

    Lane, P. R. and G. M. Milesi-Ferretti (2001), “Long-Term Capital Movements,” Working Paper, Trinity College Dublin and IMF.

    Obstfeld, M. and K. Rogoff (1995), “Exchange Rate Dynamics Redux,” Journal of Political Economy, 103(3), 624-660.

    Obstfeld, M. and K. Rogoff (1996), Foundations of International Macroeconomics, Cambridge, Mass. and London, the MIT Press.

    Obstfeld, M. and K. Rogoff (2000), “New Directions for Stochastic Open Economy Models,” Journal of International Economics, 50(1), 117-153.

    Taylor, L. B. (1993), “Discretion versus Policy Rules in Practice,” Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.

    QR CODE
    :::