金融摩擦在總體經濟動態所扮演的角色

The Role of Financial Frictions in Explaining Macroeconomic Dynamics

林世揚(Shih-Yang Lin)

指導教授 ： 蔡宜展

國立臺灣大學/社會科學院/經濟學系/博士(2024年)

https://doi.org/10.6342/NTU202404597

摘要

這篇論文分為兩個章節，探討金融摩擦（特別是信貸限制）如何影響總體經濟動態。第一章在景氣循環的架構下，研究了基於抵押品的信貸限制，在不確定性衝擊傳遞過程中扮演的角色。透過引入異質性個體以及基於抵押品的信貸限制，此模型成功解決了標準景氣循環模型無法解釋的共移性難題 (co-movement puzzle)，並產生出實證資料中，不確定衝擊後，產出、消費、投資以及勞動皆下降的衝擊反應。在模型中，經濟體系由兩類家計單位和企業家組成。時間偏好率較低的家計單位和企業家可以使用房屋或實體資本作為抵押，向時間偏好率較高的家計單位借款。當不確定性上升時，時間偏好率較高的家計單位面臨的放貸風險隨之增加，因此其放貸意願降低，進而收緊信貸條件——在相同的抵押品預期折現價值下，借款者需支付更高的頭期款。在此情境下，時間偏好率低的家計單位會減少房屋需求，並增加短期消費和休閒（即減少勞動供給）。當這些家計單位的勞動供給減少的幅度超過高時間偏好率家計單位所增加的勞動供給時，總勞動量下降，進而導致總產出減少。同時，企業家因預期邊際產出下降而減少投資。即使在沒有名目僵固性的情況下，這個機制仍能解決共移性難題。

第二章探討不同信貸限制在解釋美國景氣循環中的相對重要性。我修改了 Iacoviello 和 Neri (2010) 提出的兩部門動態隨機一般均衡模型，使借款者不僅能透過抵押品借貸，也可基於所得條件借貸。我利用此模型探討四種不同情境：完全無法借貸、僅基於抵押品的借貸、僅基於所得條件的借貸，以及結合抵押品與所得條件的混合信貸限制。利用貝氏方法，我使用自1965年至2021年的美國總體資料，分別估計含有上述四種借貸限制的模型。結果顯示混合信貸限制模型最符合實際數據，亦即該模型在後驗邊際對數概似（posterior marginal log-likelihood）上表現最佳。混合信貸限制模型能夠產生貼近實際數據的順景氣循環表現，即消費、住宅投資、非住宅投資和產出之間呈現正相關。相較於其他模型，混合信貸限制模型在產出、非住宅投資和通貨膨脹率的相關性上也與實際資料最為貼近。最後，我們發現成本推動衝擊是總體經濟波動的主要驅動因素，解釋了總體變數大部分的波動。

本研究闡明了基於抵押品的借貸限制在傳遞不確定性衝擊過程中的作用機制，並運用貝氏方法評估不同信貸限制解釋美國景氣循環的表現。

關鍵字

金融摩擦 ； 信貸限制 ； 不確定性衝擊 ； 共移性難題 ； 景氣循環

並列摘要

This dissertation consists of two chapters, examining how financial frictions, particularly credit constraints, shape macroeconomic dynamics. The first chapter investigates how collateral-based credit constraints propagate uncertainty shocks within a business cycle framework. By introducing heterogeneous agents and collateral-based credit constraints, this model resolves the co-movement puzzle that standard business cycle models fail to explain, and generates a simultaneous fall in output, consumption, investment, and labor following an uncertainty shock. In the model, there are two types of households and an entrepreneur. The household and the entrepreneur with low time preferences can borrow from the household with a high time preference using housing or physical capital as collateral. The key mechanism operates through the following channel: When uncertainty rises, the high-time-preference household faces heightened recovery rate risks, reducing her willingness to lend and tightening credit conditions. Therefore, economic agents with low time preferences are required to make higher down payments on collateral with identical expected discounted value. In response, the low-time-preference household reduces her housing demand while increasing consumption and leisure (i.e., reduces labor supply). When the reduction in labor supply from this household exceeds the increase from the high-time-preference household, total labor decreases, resulting in a decline in output. Meanwhile, the entrepreneur reduces investments in response to lower expected marginal products. This mechanism resolves the co-movement puzzle without resorting to nominal rigidities.

The second chapter assesses the impact of different credit constraints on U.S. business cycles by expanding the two-sector DSGE model of Iacoviello and Neri (2010) to include both collateral- and income-based credit constraints. Using a Bayesian approach, the study examines four scenarios: no borrowing, collateral-based constraints only, income-based constraints only, and a hybrid model that combines both. Analysis of U.S. data from 1965 to 2021 shows that the hybrid model has the highest posterior marginal log-likelihood, accurately reflecting procyclical patterns observed in the data. This model better captures the relationships among output, non-residential investment, and inflation compared to other specifications. Additionally, cost-push shocks are identified as the primary source of economic fluctuations, accounting for significant variations in key economic indicators.

Together, these chapters enhance our understanding of how financial frictions affect macroeconomic dynamics. I introduce a new transmission mechanism for uncertainty shocks through collateral-based borrowing constraints and use Bayesian methods to evaluate the effectiveness of different credit constraints in explaining U.S. business cycles.

並列關鍵字

Financial Friction ； Credit Constraints ； Uncertainty Shocks ； Co-Movement Puzzle ； Business Cycles

參考文獻

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