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研究生:鄧雅惠
研究生(外文):Ya-Hui Teng
論文名稱:就企業淨值面探討金融加速因子效果-以台灣為例
論文名稱(外文):Investigating Financial Accelerator Effect and Net Worth-The Case of Taiwan.
指導教授:張瑞娟張瑞娟引用關係
指導教授(外文):Jui-Chuan Chang
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:59
中文關鍵詞:金融加速因子淨值代理成本貨幣政策
外文關鍵詞:Financial acceleratorNet worthAgency costMonetary policy
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  本文為貨幣傳遞機制之研究,透過將貨幣法則及國外部門引入 Carlstrom and Fuerst (1997) 所發展的一般均衡模型 (general equilibrium model),將其從封閉型經濟體系模型拓展為一個小型開放經濟體系模型。本模型的主要目的在探討台灣之景氣循環中金融加速因子 (financial accelerator) 效果是否存在。除了理論模型的架構外,本文亦運用台灣資料模擬不全完信用市場的一般動態模型,以分析生產力及貨幣政策變動之衝擊會如何影響總體經濟活動。本實證結果說明金融加速因子的作用,會擴大衝擊對景氣循環影響所帶來的效果。因為經濟體系面臨不利衝擊時,會因為信用市場條件的惡化而加深原有衝擊帶來的影響。本文透過不同角度去分析銀行融資行為,且希望能提供當局在貨幣政策選擇及操作上之參考。
This thesis is to investigate the monetary transmission mechanism, which extends Carlstrom and Fuerst’s (1997) general equilibrium model from a closed economy to a small open economy, by incorporating monetary policy rule and foreign sector. The main purpose of this theoretic model is to investigate whether or not the financial accelerator effects in Taiwan’s business cycle exist. In order to analyze how a productivity shock and monetary policy shock will influence the macro-economy, we use Taiwan’s data to calibrate a dynamic general equilibrium of an imperfect credit market. The empirical results show that the financial accelerator will magnify the shock effects on business cycles when the agency cost increases and when the economy confronts an adverse shock. The effect will be reinforced due to the worsen credit market conditions. This thesis uses an alternative view to analyze, and hopefully provides the implications of monetary authority’s policy instrument choice as well as operation.
第一章 緒論--------------------------------------------------------------------- 1
第一節 研究動機----------------------------------------------------------------- 1
第二節 研究目的----------------------------------------------------------------- 2
第三節 本文架構----------------------------------------------------------------- 3
第二章 文獻回顧--------------------------------------------------------------- 4
第三章 一般均衡模型------------------------------------------------------- 10
 第一節 家計部門------------------------------------------------------------ 11
 第二節 廠商部門------------------------------------------------------------ 15
 第三節 金融契約------------------------------------------------------------ 16
 第四節 企業家部門--------------------------------------------------------- 19
第五節 金融中介--------------------------------------------------------------- 21
 第六節 政府部門及貨幣當局--------------------------------------------- 22
第七節 均衡條件--------------------------------------------------------------- 23
  3.7.1 財貨市場結清條件------------------------------------------------ 23
  3.7.2 勞動市場結清條件------------------------------------------------ 24
  3.7.3 貨幣市場結清條件------------------------------------------------ 24
  3.7.4 國外部門結清條件------------------------------------------------ 24
第四章 刻劃-------------------------------------------------------------------- 27
 第一節 參數設定------------------------------------------------------------- 27
第二節 資料來源及相關處理過程------------------------------------------- 28
第三節 模擬結果與分析------------------------------------------------------- 29
  4.3.1 貨幣政策衝擊------------------------------------------------------ 29
  4.3.2 生產力衝擊--------------------------------------------------------- 33
第五章 結論及未來發展方向------------------------------------------------- 36
第一節 結論---------------------------------------------------------------------- 36
第二節 未來發展方向---------------------------------------------------------- 37
參考文獻-------------------------------------------------------------------------- 38
中文文獻-------------------------------------------------------------------------- 38
英文文獻-------------------------------------------------------------------------- 39
附錄-------------------------------------------------------------------------------- 42


圖 目 錄
圖3-1 各部門時間路徑圖---------------------------------------------------- 49
圖3-2 各市場運作圖---------------------------------------------------------- 51
圖4-1貨幣政策衝擊之動態反應-無代理成本v.s 代理成本----------- 53
圖4-2貨幣政策衝擊之動態反應-低開放程度v.s 高開放程度-------- 54
圖4-3 生產力衝擊之動態反應-無代理成本v.s 代理成本------------- 55
圖4-4 生產力衝擊之動態反應-低開放程度v.s 高開放程度---------- 56


表 目 錄
表3-1 各市場參與者---------------------------------------------------------- 57
表3-2 參數定義表------------------------------------------------------------- 58
表4-1 參數值及其資料來源------------------------------------------------- 59
中文文獻
沈中華、徐千婷 (2000),「權衡性貨幣回法則:以台灣為例」,《經濟論文》,第28輯,第4期,頁339-367。
李秀雲 (1994),「由實質景氣循環看台灣貿易收支的成長與波動」,《經濟論文叢刊》,第22輯,第1期,頁37-62。
李佳勳 (2003),「開放體系下之資本移動性與貨幣政策目標效果」,中央大學產業經濟研究所碩士論文。
吳中書、林金龍 (2003),「通貨膨脹與經濟開放程度關聯性之再探討」,2003開放經濟與總體計量會議。
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吳致寧、王學謙 (1994),「政府支出與實質景氣循環-台灣之實證研究」,《經濟論文》,第22輯,第2期,頁175-209。
吳致寧、陳秀淋 (1993),「戰後台灣之實質景氣循環-動差配適」,《經濟論文》,第21輯,第2期,頁395-423。
許松根、陳玉瓏 (1989),「獎勵投資條例與固定資本形成」,《經濟論文叢刊》,第17輯,第1期,頁77-120。
莊奕琦、李鈞元 (2003),「如何衡量人力資本:理論與台灣實證」,《經濟論文叢刊》,第31輯,第1期,頁51-85。
張淑華 (2004),「貨幣、工資契約與小型開放經濟之景氣循環-台灣之實證研究」,《經濟論文叢刊》,第32輯,第1期,頁25-61。


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