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研究生:曾楷仁
研究生(外文):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
論文名稱(外文):The Effect of Monetary Policy on Housing Market—A Dynamic Stochastic General Equilibrium Framework
指導教授:黃俞寧黃俞寧引用關係
指導教授(外文):Hwang, Yu Ning
學位類別:碩士
校院名稱:國立政治大學
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
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
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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

1. Aoki, K., J. Proudman, and G. Vlieghe (2002), “House
Prices, Consumption, and Monetary Policy: A Financial
Accelerator Approach”, Bank of England Working Paper,
169-190.

2. Bernanke, B. and M. Getler (1999), “Monetary Policy and
Asset Price Volatility”, Economic Review, 4, 17-51.

3. Bernanke, B., M. Getler, and S. Gilchrist (1999), “The
Financial Accelerator in a Quantitative Business Cycle
Framework”, Handbook of Macroeconomics, 1, 1341-1393.

4. Central Bank of China (Taiwan) (2013), Meeting of Board
of Central Bank Committee (News Announcement No 130),
Retrieved from http://www.cbc.gov.tw/ ct.asp?
xItem=44416&;ctNode=302&;mp=1.

5. Central Bank of China (Taiwan) (2014), The International
Perspective on House Price, Interest Rate and Cautious
Policies, Retrieved from http://www.cbc.gov.tw/
public/Attachment/422416342071.pdf.

6. Chang, C. O., M. C. Chen, H. J. Teng, and C.Y. Yang
(2009), “Is There a Housing Bubble in Taipei? Housing
Price vs. Rent and Housing Price vs. Income”, Journal of
Housing Studies, 18(2), 1-22.

7. Chen, N. K. and H. L. Cheng (2012), “External Finance
Premium, Taiwan’s Housing Market and Business
Fluctuations”, Economic Thesis, Institute of Economics,
Academic Sinica, 40(3), 307–341.



8. Iacoviello, M. (2005), “House Prices, Borrowing
Constraints, and Monetary Policy in the Business Cycle”,
American Economic Review, 95(3), 739-764.


9. Lin, T. Y. (2012), “Monetary Policy and the House Price”
(No. 100-2410-H-004-198), Ministry of Science and
Technology, Taiwan: Taipei City, Retrieved from http://nccur.lib.nccu.edu.tw/bitstream/140.119/52370/1/100-2410-H-004-198.pdf.

10.SinYi Research Center for Real Estate (2014), Taiwanese
House Price Index (Data file). Retrieved from the website
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.

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