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研究生:鍾欣倍
研究生(外文):Chung, Hsinpei
論文名稱:歐債危機、信用風險與國際金融政策穩定性
論文名稱(外文):European Sovereign Debt Crisis, Credit Risk And The Stability Of International Finance Policy
指導教授:林佑龍林佑龍引用關係
指導教授(外文):Lin, Yolong
口試委員:張德存李映萱
口試委員(外文):Chang, TetsunLi, Yingsyuan
口試日期:2012-06-22
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:2012
畢業學年度:100
語文別:中文
論文頁數:50
中文關鍵詞:信用風險貨幣危機適應性學習動態匯率政策預期穩定性
外文關鍵詞:credit riskcurrency crisisadaptive learning dynamicsexchange rateexpectational stability
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  • 收藏至我的研究室書目清單書目收藏:0
2010年歐洲爆發主權債務危機,導致歐元貶值,追溯危機發生的原因,主要是希臘債券市場發生信用風險危機所致。為探究此匯率與物價的波動是否為長期現象,本文設定一個經濟架構完全對稱的兩國模型,在假設民眾採取適應性學習(Adaptive learning)路徑的基礎下,本研究乃探討民眾對均衡實質匯率與物價的預期,在債券市場存在信用風險的波動下,是否能準確預料到政府的決策行為,進而使民眾的預期和政府的決策達成長期穩定之狀態;進一步地,本文將分析信用風險具蔓延性(傳染性)與否,對兩國政府國際金融政策穩定性之影響。
由本文模型推導可知,當本國債券市場不存在信用風險時,在民眾採取適應性學習過程下,實質匯率與物價在長期會收斂至穩定的狀態;相同地, 當本國債券市場存在信用風險時,不論本國信用風險是否具傳染性,本國與外國長期實質匯率與物價仍會收斂至穩定的狀態。因此本文發現,不論債券市場信用風險的存在與否,均衡實質匯率與物價,在長期時均能準確地被民眾預期,而達成長期穩定之狀態。
最後,在比較靜態分析部分,本文分析外國債券為無風險性資產和有風險性資產兩種情況。當外國債券為無風險性資產且本國債券信用風險不具外溢效果時,其風險程度的大小對外國物價與匯率不會產生影響;然而,若本國債券的信用風險蔓延至外國債券市場,外國的物價將會因本國債券信用風險而產生變動。因此,一國政府在對匯率與物價政策的決策上,必須考慮他國之信用風險與外溢效果程度的高低,由於政府的政策在長期會被民眾準確地預期到,因此,當外國債券信用風險會蔓延至本國債券市場時,在長期時將會導致本國通膨上升。
European sovereign debt crisis occurred since 2010, which arose from the Greek government credit risks as well as led Euro to depreciate.To explore the long-run effect of credit risks in government debt market on the equilibrium real exchange rate and price levels, this study purposes to construct a symmetric two-country model
by assuming that agents take adaptive learning process. That is, the paper studies the role of the credit risks in the relationships between agents’ expectations and the stability of government’s international finance policy. Moreover, this paper attempts to study the impacts of the contagion(or, the spillover effect)of credit risks on the agents’ expectations of the design of government policy.
By deriving from my two-country model, this research obtains expectational stability conditions under three phenomena: no credit risks exist in both countries, one country has credit risks without contagion and, and one country has contagious credit risks. I find that, no matter the credit risks in government debt market exist or not, the steady state real exchange rate and price levels would be achieved by the employing agents’ adaptive learning processes. This implies that government’s policy will be perfectly predicted by agents in the long-run such that the real exchange rate and price levels will converge to the long-term steady state levels, even though the credit risks are contagious.
Also, I analyze the spillover effect of domestic credit risks by assuming that foreign assets are risk-free. This paper claims that domestic credit risks do not affect the long-run steady state equilibrium real exchange rate and price levels in the foreign if the domestic credit risk is not contagious, while in the long-run foreign real exchange rate and price levels would be influenced by domestic credit risks if the risk is contagious. This paper demonstrates that, therefore, governments should consider the strength of
credit risks arisen from the abroad to avoid the permanent increase in real exchange rate and price levels. That is because their policy decisions would be forecasted by agents’ adaptive learning processes.
目錄
一. 緒論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1. 研究動機 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2. 研究目的 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
1.3. 本文架構 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
二. 文獻回顧 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
三. 模型設定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.1. 模型介紹 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.2. 長期均衡實質匯率 . . . . . . . . . . . . . . . . . . . . . . . . 18
四. 無信用風險下的預期穩定性分析 . . . . . . . . . . . . . . . . . . . . . 22
4.1. 最小狀態變數之理性預期解 (minimum-state-variable rational
equilibrium ; MSVREE) . . . . . . . . . . . . . . . . . . . . . . 22
4.2. 預期穩定性 (E-stability) . . . . . . . . . . . . . . . . . . . . 25
五. 考慮信用風險下的預期穩定性分析 . . . . . . . . . . . . . . . . . . . . 28
5.1. 信用風險下之長期均衡實質匯率 . . . . . . . . . . . . . . . . 28
5.2. 本國債券風險不具傳染性之政策穩定性 . . . . . . . . . . . . . 32
5.3. 存在外溢效果之政策穩定性 . . . . . . . . . . . . . . . . . . . 36
六. 比較靜態分析 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
6.1. 長期均衡實質匯率 . . . . . . . . . . . . . . . . . . . . . . . . 41
6.2. 全域 (Global) 之實質匯率與物價矩陣的 MSVREE . . . . . . 43
七. 結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
參考文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48

表目錄
1 2012年歐豬五國總到期債務 . . . . . . . . . . . . . . . . . . . . . . . . . 3
2 第一代貨幣危機文獻整理(按時間順序排列) . . . . . . . . . . . . . . . . . 8
3 第二代貨幣危機文獻整理(按時間順序排列) . . . . . . . . . . . . . . . . . 9
4 第三代貨幣危機文獻整理(按時間順序排列) . . . . . . . . . . . . . . . . . 12
5 適應性學習文獻整理(按時間順序排列) . . . . . . . . . . . . . . . . . . . . 14
6 外國之長期均衡實質匯率與物價 . . . . . . . . . . . . . . . . . . . . . . . 43
7 兩國實質匯率與物價之MSVREE . . . . . . . . . . . . . . . . . . . . . . 45
(一) 中文部分
余永定 , 2011 , 「歐洲主權債務危機和歐元的前景」 , 外交諮詢政策委員會。
林柏君 , 2002 , 「央行官員薪資設計與第二代匯率制度變革」 , 政治大學經濟學系碩士論文。
金志婷 , 2009 , 「政府是否應採取透明化政策阻止貨幣危機的發生」 , 《經濟論文》 , 587–623。
黃得豐 , 2010 , 「追蹤希臘債信危機之原委、 發展、 及影響」 , 國家政策委員會。
(二) 英文部分
Aghion, Ph., Ph. Bacchetta and A. Banerjee (2000), “A simple model of monetary
policy and currency crises,” European Economic Review, 44, 728–738.
Aghion, Ph., Ph. Bacchetta and A. Banerjee (2001), “Currency crises and monetary
policy in an economy with credit constraints,” European Economic Review, 45(7),
1121–1150.
Aghion, Ph., Ph. Bacchetta and A. Banerjee (2004), “A corporate balance-sheet
approach to currency crises,” Journal of Economic Theory, 119(1), 6–30.
Branch, W. A. and G.W. Evans (2010), “Learning about risk and return : a simple
model of bubbles and crashes,” Working Paper.
Bullard, J. and K. Mitra (2002), “Learning about monetary policy rules” Journal of
Monetary Economics, 49(6), 1105–1129.
Cho, I. K. and K. Kasa (2005), “Model validation dynamics and endogenous currency
crises,” Manuscript, Uninersity of Illinonis.
Cho, I. K. and K. Kasa (2008), “Learning dynamics and endogenous currency crises,”
Macroeconomic Dynamics, 12(2), 257–285.
Ellison, M., L. Graham and J. Vilmunen (2006), “Strong contagion with weak spillovers,”
Review of Economic Dynamics, 9(2), 263–283.
Evans, G. W. and S. Honkapohja (1999), “Learning dynamics,” Handbook of Macroe-
conomics.
Evans, G. W. and S. Honkapohja (2001), “Learning and expectation in macroeco-
nomics,” Princeton University Press.
Flood, R. P. and P. M. Peter (1984a), “Collapsing exchange-rate regimes : some linear
examples,” Journal of International Economics, 17, 1–13.
Flood, R. P. and N. P. Marion (2000), “Self-fulfilling risk predictions : an application
to speculative attacks,” Journal of International Economics, 50(1), 245–268.
Krugman, P. (1979), “A model of balance-of-payments crises,” Journal of Money,
Credit and Banking, 11(3), 311–325.
Krugman, P. (1999), “Balance sheets, the transfer problem, and financial crises,”
International Tax and Public Finance, 6(4), 459–472.
Masson, P. (1999), “Contagion : macroeconomic models with multiple equilibria,”
Journal of International Money and Finance, 18(4), 587–602.
McCallum, B. T. (1983), “On non-uniqueness in rational expectations models : an
attempt at perspective,” Journal of Monetary Economics, 11(2), 139–168.
McCallum, B. T. (1999), “Role of the minimal state variable criterion in rational
expectations models,” International Tax and Public Finance, 6(4), 621–639.
McCallum, B. T. (2002), “The unique minimum state variable RE solution is E-stable
in all vell Fformulated linear models,” Working Paper.
Morris, S. and H.S. Shin (1998), “Unique equilibrium in a model of self-fulfilling
currency attacks” The American Economic Review, 88(3), 587–597.
Obstfeld, M. (1983), “Balance-of-payments crises and devaluation,” NBER Working
Paper No. 1103.
Obstfeld, M. (1986), “Rational and self-fulfilling balance-of-payment crises,” The
American Economic Review, 76(1), 72–81.
Obstfeld, M. (1994), “The Logic of Currency,” NBER Working Paper No. 4640.
Obstfeld, M. (1996), “Models of currency crises with self-fulfilling features,” European
Economic Review, 40, 1037–1047.
Rangvid, J. (2001), “Second Generation Models of Currency Crises,” Journal of Eco-
nomic Surveys, 15(5), 613–646.
Sargent, T.J. (1999),The Conquest of American Iflation, Princeton Univ.Press.
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