以結構式向量自我回歸模型推估信用、資產價格、消費受彼此之結構衝擊之影響

Using SVAR to deduce credit,asset price,consumption their movement made by their structure shocks

陳培志(Pei-Chich Chen)

指導教授 ： 陳俊志

國立臺北大學/社會科學學院/經濟學系/碩士(2010年)

摘要

2007年底到2009年初的金融海嘯對於經濟成長帶來實際且巨大的影響迫使世界各國政府紛紛祭出擴張性貨幣與財政政策來穩定經濟，但問題是當下的擴張性政策可能將產生新的待破滅的資產泡沫。
本文藉助20世紀幾場金融風暴的演變綜合Hyman P. Minsky所提出的金融不穩定假說，描述政府擴張性的貨幣和財政政策是促使資產價格上漲的重要因素之一後，再計算信用、資產價格、消費受到不同結構衝擊後的反應。
本文結合拔靴法 (Bootstrapping) 與自建結構式向量自我回歸 (Structure Vector Autoregression) 透過衝擊反應函數 (Impulse Response Function) 來描繪房屋與股票結構衝擊對於實體經消費的影響路徑；房屋與股票市場之間遭到彼此結構衝擊後的影響路徑；信用結構衝擊對於資產價格扮演的角色。

關鍵字

結構式向量自我回歸模型 信用 資產價格 明斯基 金融不穩定假說

並列摘要

The financial crisis from end of 2007 to 2009 had influenced economy seriously and it forced government and central bank to conduct expansion fiscal and monetary policy to smooth the economy variation. But those policies might cause another asset bubble waiting for bursting.

This paper use the development of financial crisis in twentieth century combining the theorem Hyman P. Minsky
brining up to describe the expansion fiscal and monetary policies are key factors to cause financial crisis,then try to depict credit, asset price, consumption their reaction when they face structure shocks.

using bootstrapping and self-constructing structure VAR’s impulse response function help saying story. First, the path of stock market’s shock and house market’s shock to consumption. Second, the path of stock market’s shock and house market’s shock to each other. Third, the role credit plays regard to asset price.

並列關鍵字

SVAR credit asset price minsky

參考文獻

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Friedman, M. (1969). "The Optimum Quantity of Money." The Optimum Quantity of Money and Other Essays: 4~5.

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