以動態隨機一般均衡模型分析臺灣最適總體審慎政策

Optimal Macro-prudential Policies in a DSGE Model: The Case of Taiwan

李宗憲(Tsung-Hsien Li)

指導教授 ： 陳南光

共同指導教授 ： 王泓仁(Hung-Jen Wang)

國立臺灣大學/社會科學院/經濟學研究所/碩士(2014年)

https://doi.org/10.6342/NTU.2014.00679

摘要

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。

關鍵字

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

並列摘要

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.

並列關鍵字

Dynamic Stochastic General Equilibrium Model ； Collateral Constraint ； Monetary Policy ； Macro-prudential Policy ； Loan-to-value Ratio

參考文獻

Hwang, Yu-Ning and Pei-Ying Ho (2012), “Optimal Monetary Policy for Taiwan: A Dynamic Stochastic General Equilibrium Framework,” Academia Economic Papers, 40,

Adolfson, Malin, Stefan Laséen, Jesper Lindé, and Mattias Villani (2007), “Bayesian Estimation of an Open Economy DSGE Model with Incomplete Pass-Trough,” Journal of International Economics, 72, 481–511.

Angelini, Paolo, Stefano Neri, and Fabio Panetta (2012), “Monetary and Macroprudential Policies,” ECB Working Paper Series No. 1449.

Bernanke, Ben and Mark Gertler (1989), “Agency Costs, Net Worth, and Business Fluctuations,” American Economic Review, 79, 14–31.

Bernanke, Ben, Mark Gertler, and Simon Gilchrist (1999), “The Financial Accelerator in a Quantitative Business Cycle Framework,” in John B. Taylor and Michael Woodford