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研究生:李宗憲
研究生(外文):Tsung-Hsien Li
論文名稱:以動態隨機一般均衡模型分析臺灣最適總體審慎政策
論文名稱(外文):Optimal Macro-prudential Policies in a DSGE Model: The Case of Taiwan
指導教授:陳南光陳南光引用關係
指導教授(外文):Nan-Kuang Chen
口試委員:黃朝熙徐之強李怡庭
口試日期:2014-07-14
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
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:2014
畢業學年度:103
語文別:英文
論文頁數:61
中文關鍵詞:動態隨機一般均衡模型擔保品借貸限制貨幣政策總體審慎政策貸款成數
外文關鍵詞:Dynamic Stochastic General Equilibrium ModelCollateral ConstraintMonetary PolicyMacro-prudential PolicyLoan-to-value Ratio
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本文主要根據 Iacoviello and Neri (2010) 的模型架構,以及 Kollmann (2002) 外國市場的設定,建構一小型開放經濟的動態隨機一般均衡 (Dynamic Stochastic General Equilibrium, DSGE) 模型。為了找出臺灣的最適總體審慎政策,本文考慮許多不同種類的利率法
則與貸款成數 (loan-to-value ratio; LTV ratio) 法則。本文發現,當考慮利率法則時,針對房價採取逆風頂立政策,帶來的穩定性與社會福利增進的效果最佳;而當考慮貸款成數法則時,國內信用的表現最佳。

We develop a small open economy dynamic stochastic general equilibrium (DSGE) model featuring collateral constraint following Iacoviello and Neri (2010) and open economy framework à la Kollmann (2002). To investigate the optimal macro-prudential policy of the Taiwanese economy, several versions of interest rate rules and loan-to-value (LTV) ratio rules are discussed. This paper finds that the interest rate rule leaning against the
wind of housing price has the best effect on mitigating the volatility of major macroeconomic variables and improving social welfare function, while the LTV rule responding to domestic credit has the best performance.

口試委員會審定書 . . . . . . . . . . . . . . . . . . . . i
中文摘要 . . . . . . . . . . . . . . . . . . . . . . . ii
Abstract . . . . . . . . . . . . . . . . . . . . . . .iii
Contents . . . . . . . . . . . . . . . . . . . . . . . iv
List of Figures. . . . . . . . . . . . . . . . . . . . vi
List of Tables . . . . . . . . . . . . . . . . . . . .vii
1 Introduction . . . . . . . . . . . . . . . . . . . . 1
2 The Model . . . . . . . . . . . . . . . . . . . . . 6
2.1 Patient Households . . . . . . . . . . . . . . . . 6
2.2 Impatient Households . . . . . . . . . . . . . . . 9
2.3 Intermediate Goods Firms . . . . . . . . . . . . . 11
2.4 Final Goods Firms . . . . . . . . . . . . . . . . 14
2.5 House-producing Firms . . . . . . . . . . . . . . 16
2.6 Labor Unions . . . . . . . . . . . . . . . . . . 17
2.7 The Central Bank . . . . . . . . . . . . . . . . . 18
2.8 Exogenous Processes . . . . . . . . . . . . . . . 18
2.9 Market Clearing Conditions . . . . . . . . . . . . 19
3 Empirical Methodology. . . . . . . . . . . . . . . . 21
3.1 Data . . . . . . . . . . . . . . . . . . . . . . . 21
3.2 Calibration . . . . . . . . . . . . . . . . . . . 22
3.3 Properties of the Model . . . . . . . . . . . . . 25
4 Monetary and Macro-prudential Policies . . . . . . . 29
4.1 Optimal Interest Rate Rules . . . . . . . . . . . 30
4.2 Optimal Counter-cyclical LTV Ratio Rules . . . . . 34
5 Conclusion . . . . . . . . . . . . . . . . . . . . . 37
Bibliography . . . . . . . . . . . . . . . . . . . . . 39
A Equilibrium Conditions . . . . . . . . . . . . . . . 42
B Steady States . . . . . . . . . . . . . . . . . . . 46
C Impulse Responses . . . . . . . . . . . . . . . . . 51

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