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| 研究生： |
林育聖 Lin,Yu-Sheng |
|---|---|
| 論文名稱： |
開放經濟體下納入信用市場之匯率動態 Exchange Rate Dynamics in a Small Open Economy with Credit Market |
| 指導教授： |
朱美麗
Chu,Mei-Lie |
| 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： | 2006 |
| 畢業學年度： | 94 |
| 語文別： | 英文 |
| 論文頁數： | 40 |
| 中文關鍵詞： | 信用管道 、信用市場 、完全資本移動 、匯率動態 、貨幣政策傳導機制 |
| 外文關鍵詞： | credit channel, credit market, perfect capital mobility, exchange rate dynamics, monetary transmission mechanism |
| 相關次數： | 點閱：300 下載：0 |
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In the literature, a considerable theoretical and empirical works have investigated the credit channel of monetary transmission mechanism. This dissertation extends the Bernanke and Blinder (1988) model to an open-economy setting with flexible exchange rate and perfect capital mobility. By means of the framework, we examine the exchange rate dynamics and the adjustment of real output. It turns out that, with a significant credit channel effect, the exchange rate puzzle may occur in the short run and in long run. Moreover, in contrast to Dornbusch (1976), this dissertation shows that, depending upon the strength of the credit channel effect, overshooting, undershooting and counter-shooting impact effect may occur when international capital mobility is perfect.
In the literature, a considerable theoretical and empirical works have investigated the credit channel of monetary transmission mechanism. This dissertation extends the Bernanke and Blinder (1988) model to an open-economy setting with flexible exchange rate and perfect capital mobility. By means of the framework, we examine the exchange rate dynamics and the adjustment of real output. It turns out that, with a significant credit channel effect, the exchange rate puzzle may occur in the short run and in long run. Moreover, in contrast to Dornbusch (1976), this dissertation shows that, depending upon the strength of the credit channel effect, overshooting, undershooting and counter-shooting impact effect may occur when international capital mobility is perfect.
CHAPTER 1 INTRODUCTION 1
CHAPTER 2 LITERATURE REVIEW 3
CHAPTER 3 THE MODEL 7
3.1 THE ANALYTICAL FRAMEWORK 7
3.2 THE LONG-RUN EQUILIBRIUM AND COMPARATIVE STATICS 9
3.3 THE DYNAMICS 15
CHAPTER 4 AN EXPANSIONARY MONETARY POLICY ON EXCHANGE RATE DYNAMICS 18
4.1 WEAK CREDIT CHANNEL EFFECT AND OVERSHOOTING 19
4.2 STRONG CREDIT CHANNEL EFFECT AND COUNTERSHOOTING OR UNDERSHOOTING 20
4.3 POLICY IMPLICATIONS 22
CHAPTER 5 CONCLUSION 24
REFERENCES 25
APPENDIX A 27
APPENDIX B 29
APPENDIX C 32
APPENDIX D 35
APPENDIX E 38
Figures
FIGURE 1: THE CC-LM-BP SCHEME 11
FIGURE 2: THREE POSSIBILITIES OF IS-FA SCHEME 12
FIGURE 3: PHASE DIAGRAM 17
FIGURE 4: OVERSHOOTING 23
FIGURE 5: UNDERSHOOTING AND COUNTERSHOOTING 23
Tables
TABLE 1: THE MEANING OF VARIABLES 8
TABLE 2: CONDITIONS FOR SLOPES OF IS AND FA SCHEME 12
TABLE 3: CREDIT CHNNEL AND COMPARATIVE STATICS 14
TABLE 4: CREDIT CHANNEL AND IMPACT EFFECTS 19
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Bernanke, B. S. (1983), “Nonmonetary Effects of the Financial Crisis in the Propagation of the Great Depression,” American Economic Review, Vol. 73, No. 3, pp. 257-276.
Bernanke, B. S. and S. A. Blinder (1988), “Credit, Money, and Aggregate Demand,” American Economic Review, Vol. 78, No. 2, pp. 435-439.
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Dornbusch, R. (1976), “Expectations and Exchange Rate Dynamics,” Journal of Political Economy, Vol. 84, No. 6, pp. 1161-1176.
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Liu, C. L. (2005), “The Effects of Credit Channel in a Small Open Economy with Perfect Capital Mobility,” Master Thesis, National Chengchi University Department of Economics.
Mishkin, F. S. (1995), “Symposium on the Monetary Transmission Mechanism,” Journal of Economic Perspectives, Vol. 9, No. 4, pp. 3-10.
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