考慮信貸限制與投資調整成本之貨幣政策流動性效果

本文以Christiano(1991)的模型為基礎，主要在探討貨幣政策短期下之流動性效果對於名目利率與實質變數所造成的影響，以及其與景氣波動之間的關係。Christiano(1991)的模型確實能創造出流動性效果，解釋貨幣政策對於實質經濟活動的影響。可惜的是，與實證上的結果相比後，效果卻不夠強，持續時間也過於短暫。本文延伸了Chritiano (1991)的模型，並加入了信貸限制 (Credit Restriction) 與投資的調整成本 (Investment Adjustment Cost)，試圖加強模型的流動性效果。信貸限制是指銀行在進行貸放時，受到外生因素 (例如央行的信用管制或者存款準備率政策) 的影響，無法將所有的資金貸放。加入信貸限制主要是希望探討在市場流動性較差的時候，注入市場流動性是否會有較強的流動性效果。本模型的信貸限制也與產出的波動相關，不同的產出水準將會有不同的信貸限制。調整成本是廠商進行投資時，需要負擔額外的成本。這些成本可能來自運輸成本、組裝成本或保養成本因素。在調整成本較大的世界，投資的需求較低，資金進入市場較容易轉向工資與消費，這些對於貨幣政策的流動性效果也有影響。在加入這兩項因素後，我們發現對於貨幣政策的流動性效果均有影響，尤其是信貸限制的部分，對於總體變數的影響的幅度則與參數設定有關係。一般而言，市場銀行的行為越是滿足「晴天借傘雨天收傘」，則流動性效果越強。但是對於流動性效果的影響，僅限於幅度的大小，對於持續性則沒有明顯的改善。

關鍵字

流動性；貨幣；貨幣政策；調整成本；信貸限制；量化寬鬆

並列摘要

This paper is based on the model of Christiano (1991), which examined the impact of the short term liquidity effect from monetary policy on the nominal interest rate and real variables in dynamic equilibrium model. The model in Christiano (1991) could generate the liquidity effect, explaining the influence of monetary policy on the real variables. However, the effect was not strong and long-lasting enough compared with empirical evidences. The model in this paper extends the model of Christiano (1991), and we add the credit restriction and the investment adjustment cost into our model, trying to enhance the liquidity effect of the model before. The credit restriction means that when banks make a loan, they cannot lend the whole money out because of some exogenous reasons (eg. credit control by the central bank or the reserve requirement ratio policy, etc.). We incorporate the credit restriction and discuss if the liquidity effect can be made stronger in our model. Also, the credit restriction is related to real income fluctuations. Different income levels have different credit restrictions in our model. The investment adjustment cost means that when firms make investments, there are additional costs incurred. These costs may come from transporting costs, assembling costs or maintaining costs. The demand of investment is lower in models with higher investment adjustment cost. This means that when liquidity is injected into the market, it is prone to flowing into wages and consumptions, potentially generating stronger liquidity effect. After incorporating these two factors into our model, we have found that both factors have impacts on the liquidity effect, and the impact of the credit restriction is relatively stronger. In general, if banks make more loan at higher income level and vice versa, the liquidity effect is stronger. However, the impact is only on the size of the liquidity effect. It has no obvious impact on the persistence of the liquidity effect.

並列關鍵字

liquidity ； money ； monetary policy ； adjustment cost ； credit restriction ； quantitative easing

參考文獻

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[6] Christiano, L.J and M. Eichenbaum(1996), "The E ect of Monetary Shocks: Evidence From theFlow of Fund," Review of Economics and Statistics.

[7] Charlotta Groth(2010), "Investment Adjustment Costs: An Empirical Assessment," Journal of Money, Credit and Banking.

[8] Wing-leong Teo(2009), "Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy," Paci c Economic Review.

國際替代計量

考慮信貸限制與投資調整成本之貨幣政策流動性效果

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