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題名:總體經濟學中的體制改變-關於貨幣政策、資產價格與實質匯率的論文三篇
作者:周有熙 引用關係
作者(外文):Yu-Hsi Chou
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
指導教授:陳旭昇
學位類別:博士
出版日期:2009
主題關鍵詞:實質匯率泰勒法則生命循環--恆常所得假說信用限制門檻向量自迴歸模型Real Exchange RatesTaylor RuleLife-Cycle Permanent Income Hypothesis (LC-PIH)Collateral ConstraintHouse PricesThreshold Vector Autoregression (TVAR)
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為總體時間序列資料的體制改變現象建構理論模型加以解釋是總體經濟學家的重要工作之一。然和實證研究相較之下,包含體制改變的理論模型在文獻中屬於相對少數。基於此原因,我們研究了幾個總體經濟學中的體制改變現象,並以理論和實證的角度分析之。
在第一章中,我們以一個新興凱因斯學派的小型開放經濟模型來研究當貨幣政策可由利率法則刻劃,且在「強硬」與「溫和」政策體制間
遵循一個二體制馬可夫鏈變換時,預期形成效果對於實質匯率波動的影響。我們發現,在生產力衝擊和成本衝擊下,預期形成效果在給定當期貨幣政策體制為「強硬」時可以穩定實質匯率波動;而在給定當期貨幣政策體制為「溫和」時,會放大實質匯率的波動。在貨幣政策衝擊發生時,預期形成效果在給定當期貨幣政策體制為「強硬」下會放大實質匯率波動;在給定當期貨幣政策體制為「溫和」時,會穩定實質匯率的波動。而預期形成效果在溫和體制下的影響幅度皆大於強硬體制下的影響幅度。最後,我們用一個模擬分析指出,在資料具有體制改變現象時,以假設政策法則為固定常數的前瞻性理性預期線性計量現值模型對實質匯率進行統計分析和推論是不恰當的。我們的結果支持預期形成效果的顯著性,且支持盧卡斯批判的論點。
在第二章中,我們研究了房價對消費支出的不對稱影響。我們首先提出一個考慮抵押借貸限制式的部分均衡的理論模型,並依此模型的意涵討論了房價對消費支出的影響可隨著家計單位的可支用現金的高低而變化。當可支用現金高時,抵押借貸限制式會束緊,我們將其定義為「受限制體制」;反之當可支用現金低時,抵押借貸限制式不具限制力,我們定義為「非受限體制」。我們發現在「非受限體制」下,消費行為會遵從生命循環恆常所得假說,且房價變動對在此體制下對消費變動不具影響。接著我們以可支用現金做為門檻變數,估計了非線性的門檻迴歸,檢驗消費對房價反應是否具不對稱效果。我們使用台灣1991Q3-2007Q2的總體季資料進行估計,我們發現房價變動在受限制體制下會顯著的影響耐久財消費,但對非耐久財和總合消費的影響不論在受限制體制或非受限體制皆不顯著。我們得到的結果和近年以美國和英國資料分析房價對非耐久財消費影響的實證文獻是相反的,我們將其歸因於台灣房地產抵押貸放市場的制度和美國、英國的顯著差異。
第三章中,我們研究了房價對貨幣政策衝擊的不對稱反應。我們首先提出了一個考慮借款者受到信用限制的動態隨機一般均衡模型,討論了在信用限制條件不同下,房價對貨幣政策反應程度的差異。我們接著以英國1993M4至2008M10的月資料進行實證分析,使用門檻向量自迴歸為工具,認定出經濟體系可在「信用擴張」與「正常信用」的體制間轉換。我們計算了門檻向量自迴歸模型的一般化衝擊反應函數分析,在以短期利率衝擊為貨幣政策工具的情況下,實證結果發現,
在「信用擴張」體制時,房價對貨幣政策衝擊的反應在期初時較「正常信用」劇烈,但持續性較低。我們的實證結果和理論模型一致。
It is an indispensable task for macroeconomists to construct the theory, and provide the possible explanation on the evidence of regime change in macroeconomic data. However, comparing with the number of empirical studies, the efforts made in investigating the impact of regime change based upon theoretical framework are relatively small in the literature. For these reasons, we studied several topics in macroeconomics with regime shift is in presence, and associated it with empirical findings.
In Chapter 1, we investigate the quantitative importance of expectation formation effects on real exchange rate volatility using a small open economy New-Keynesian model incorporates with an empirical relevant, Markov-switching monetary policy rule. We find the expectation formation effects can be substantial in explaining the real exchange rate volatility. The impact of the expectation formation effects can be either amplified or stabilized, depending on different types of shock, current regimes, and the changes in expectation formation process. Ignoring these effects and conducting the empirical analyses based on the model with fixed policy rules can be fraught with hazards. This result also resembles the importance of Lucas'' critique when the expectation effect is taken into account.
We explore the asymmetric effect of house prices on various categories of consumption under constrained and unconstrained regimes in Chapter 2. We first present a partial equilibrium Life-Cycle model, explicitly considering the dual role of housing and linking credit
constraints to the behavior of consumption in a pair of aggregate Euler equations. We then estimate a threshold regression model and find that Life-Cycle/Permanent-Income-
Hypothesis (LC-PIH) holds only under the unconstrained regime. More importantly, durable consumption exhibit a very strong asymmetric effect in response to changes in
house prices, while other categories of consumption do not exhibit this asymmetry.
In Chapter 3, we study the possible asymmetric effect of monetary policy on house prices under different credit regimes. We first derive the implications of a simple
general equilibrium model in which agents may be collateral-constrained. Using the threshold vector autoregression (TVAR) model, two different measures of credit market conditions are computed to serve as the threshold
variable. We find that house prices react to a monetary shock initially stronger but less persistent in credit boom regime than in normal credit regime.
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