流動性、資產價格與生產力

Three Essays on Liquidity, Asset Prices and Productivity

李映萱(Ying-Syuan Li)

指導教授 ： 李怡庭

國立臺灣大學/社會科學院/經濟學研究所/博士(2010年)

https://doi.org/10.6342/NTU.2010.00418

摘要

本論文包括三個部份。在第二章裡，我們提出一個資產作爲銀行借貸抵押品的貨幣模型，討論資產價格、流動性與總產出的關係。在銀行實施信用分配的均衡中，資產作爲抵押品的功能導致其價格高於基本面價值而具有流動性貼水，且信用分配越嚴重，流動性貼水越高。貨幣政策的效果取決於銀行能夠對倒帳者採取的懲罰。除了沒收抵押品外，若銀行能拒絕倒帳者未來的貸款，使得倒帳者必需自己攜帶貨幣以支應其消費需求。由於通膨率上升將提高攜帶貨幣的成本，使人們的倒帳成本增加，因此銀行願意提高貸款成數，使總體流動性與產出增加。
在第三章裡，我們探討貨幣政策如何影響銀行對生產力不同的借貸者進行信用分配及其福利效果。由於人們的生產力決定他們賺取貨幣以償還貸款的能力以及倒帳的成本，銀行爲了使人們自願還款，會根據他們的生產能力設定不同的借貸限制。由於低生產力者籌措資金的能力、消費與交易利得都較高生產力者低，其因倒帳而未來無法貸款的損失較小，銀行將給予他們較低的貸款額度以降低其倒帳誘因。當人們的貸款受限於信用分配時，由於低生產力者的交易利得較低，通膨增加其倒帳成本及減低其倒帳誘因的程度較小，使得銀行放寬其借貸限制的幅度較小，因此對生產力不同者信用分配不均的情況更爲嚴重，結果導致通膨有利於高生產力者，而不利於低生產力者。
在第四章裡，我們討論當資產具有抵押品與支付工具兩種功能時，支付工具的選擇、資產價格、流動性與總產出的關係。人們抵押資產獲得的貸款數量受限於銀行的信用分配，或是市場上流通的交易媒介數量不足時，資產的價格都會高於基本面價值而具有流動性貼水。

關鍵字

流動性 ； 資產價格 ； 借貸限制 ； 抵押品 ； 生產力 ； 貨幣政策

並列摘要

The thesis consists of three parts. We first consider an economy in which lenders cannot force borrowers to repay their debts, and borrowers are required to pledge some assets to secure loans. From deriving the asset pricing equations we illustrate the interactions between asset prices, liquidity, and credit constraints. The asset commands a liquidity premium when credit constraints bind, and the premium is higher when credit rationing is more severe. Monetary policies influence macroeconomic outcomes through the channel of endogenous credit constraints, and the effects depend on the technology to deter default. If exclusion is feasible, aggregate liquidity and output rise because inflation raises the cost of losing the access to future credit. While the asset price is reduced by policy, liquidity may be increased via a higher loan-to-value ratio.
In chapter 3, we develop a model with heterogenous agents to study credit rationing, allocations and the distributional effects of monetary policy. Since productivity differentiates the ability for repayment and gains from trade, to induce voluntary repayment, banks would set the credit limit based on the type. The cost of default -- being excluded from the banking system - is smaller for agents with lower productivity, so banks offer them less credit when borrowing constraints bind. Inflation has distributional effects on the credit constraints and welfare, and leads to more severe credit rationing across heterogeneous agents. If credit rationing occurs, high-type agents gain but low-type agents suffer, in an environment with higher inflation.
In chapter 4, we develop a model to highlight the dual role of the real asset in generating liquidity from being used as a means of payment and as collateral. The asset commands a liquidity premium if the amounts of means of payments are not sufficient to achieve the first-best allocation, or credit constraints bind.

並列關鍵字

Liquidity ； Asset prices ； Credit Constraints ； Collateral ； Heterogeneity ； Banking ； Monetary Policy

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