資產配置與貨幣供給

本篇論文的研究目的在於探討中央銀行如何運用利率政策，藉由人們對貨幣資產投資組合的選擇而影響貨幣供給。其中將相對風險趨避水準視為動態而非如多數文獻視為固定不變。本文的分析結構分為三步驟：首先探討資產配置模型裡的參數，其中包含風險偏好係數；其次，建構資產配置模型，而此模型應考慮風險偏好的波動。第三，推導貨幣供給模型，分析人們如何決定資產配置而影響貨幣供給。分析結果指出，如果人們調整貨幣資產配置比例，會使貨幣基礎減少，而對貨幣乘數影響甚微。此負向關係存在且顯著，因此可以部份解釋在原始M2定義之下，貨幣減少的原因。

關鍵字

跨期替代彈性；資產配置；貨幣供給

並列摘要

The purpose of this paper is to study how the interest rate policy of central bank to affect money supply by way of people’s portfolio choice on monetary assets, such as time deposits and bond fund, taking into account their relative risk aversion fluctuates rather than taking constant overtime. The analysis of this paper is structured on three steps. First of all, specifying the parameters of asset allocation model, including the parameter about people’s preference to risk. Secondly, constructing asset allocation model which should consider the volatility of the preference to risk. Finally, deriving money supply model, and to analyze how people’s decision on asset allocation to affect money supply. The findings show that if people want to adjust their allocation ratios of monetary assets, the outcome may cause monetary base changing. But it is examined with little effect to the multiplier. The negative relationships show that some money, especially under the definition of M2, is vanished by this process. This effect exists but not strong, so it can explain a part of variation of monetary base.

並列關鍵字

Elasticity of intertemporal substitution ； Asset allocation ； Money supply

參考文獻

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國際替代計量

資產配置與貨幣供給

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