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    题名: 貨幣同盟的三個議題
    Three essays on monetary union
    作者: 劉世夫
    Liu, Shih Fu
    贡献者: 賴景昌
    黃俞寧
    Lai, Ching Chong
    Hwang, Yu Ning
    劉世夫
    Liu, Shih Fu
    关键词: 貨幣同盟
    貨幣政策
    非傳統貨幣政策
    零利率下限
    量化寬鬆
    貿易開放程度
    Monetary union
    Monetary policy
    Unconventional monetary policy
    Zero lower bound
    Quantitative easing
    Trade openness
    日期: 2017
    上传时间: 2017-08-31 12:21:28 (UTC+8)
    摘要: 自從2008年全球經濟衰退以來，歐元區經濟顯著的衰退，特別是歐元區各成員國的經濟表現有明顯的差異。在本文中，我們試就成員國「貿易開放程度」和「財政基本面」這兩個重要特徵，來詮釋歐元區經濟穩定這個議題。在第二章中，我們在貿易開放程度不同的國家下，比較貨幣同盟制度與浮動匯率制度對於負向衝擊產生的影響。我們發現當貨幣當局愈重視產出穩定時，相較於浮動匯率制度，貨幣同盟制度將使產出下降的更多。在第三章中，我們將短期私人債券及長期政府債券引入貨幣同盟的兩國DSGE模型。我們推斷，歐洲央行(ECB)的公共部門債券購買計劃（PSPP），對於不同財政狀況的成員國，有著不對稱的總體經濟影響。在第四章中，我們建立貨幣同盟經濟的最適貨幣政策模型。我們發現成員國間經濟差異，將影響貨幣同盟的整體福利水準。相較於傳統零利率最適貨幣政策文獻，本研究的結果顯示不論是權衡或承諾制度，增加公共部門債券購買將緩和貨幣同盟的經濟波動。
    Since the global recession in 2008, the economic performance of the Euro area has declined significantly. In particular, there have been great differences in the economic performance among member states in the Euro area. In this dissertation, we attempt to address the issue of economic stability by focusing on two key features: the trade openness and the fiscal fundamentals among member states. In Chapter 2, we compare the impacts of the adverse shocks on countries with different degrees of openness under the monetary union regime, and our finding shows that the monetary union will result in a greater decline in output if the monetary authority attaches a higher weight to output stabilization. In Chapter 3, we build a two-country DSGE model representing a monetary union with both short-term and long-term government bonds. We deduce that the ECB’s public sector purchase programme (PSPP) has asymmetric macroeconomic effects on member states under different fiscal fundamentals. In Chapter 4, we set up an optimal monetary policy model of a monetary union. We find that the differences in the economic performance of individual member states will influence the union-wide welfare. Comparing our results with classical literature of optimal monetary policy at zero lower bound, by adding the PSPP, our study indeed reflects lower volatility of the union-wide economy under either discretion or commitment.
    參考文獻: Chapter 1
    Afonso, A., Arghyrou, M. G. and Kontonikas, A. (2014), “Pricing Sovereign Bond Risk in the European Monetary Union Area: An Empirical Investigation,” International Journal of Finance and Economics 19, 49-56.
    Andrés, J., López-Salido, J. D. and Nelson, E. (2004), “Tobin`s Imperfect Asset Substitution in Optimizing General Equilibrium,” Journal of Money, Credit, and Banking 36, 665-690.
    Beirne, J. and Fratzscher, M. (2013), “The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis,” Journal of International Money and Finance 34, 60-82.
    Bernoth, K. and Erdogan, B. (2012), “Sovereign Bond Yield Spreads: A Time-varying Coefficient Approach,” Journal of International Money and Finance 31, 639-656.
    Busetti, F., Forni, L., Harvey, A. and VendittiInflation, F. (2007), “Convergence and Divergence within the European Monetary Union,” International Journal of Central Banking 3, 95-121.
    Chen, H., Cúrdia, V. and Ferrero, A. (2012), “The Macroeconomic Effects of Large-scale Asset Purchase Programmes,” Economic Journal 122, 289-315.
    De Grauwe, P. (2012), The Economics of Monetary Union, 9th Edition, Oxford: Oxford University Press.
    Eggertsson, G. B., Ferrero, A. and Raffo, A. (2014), “Can Structural Reforms Help Europe?,” Journal of Monetary Economics, 61, 2-22.
    Eggertsson, G. B. and Woodford, M. (2003), “The Zero Bound on Interest Rates and Optimal Monetary Policy,” Brookings Papers on Economic Activity 1, 139-211.
    Haan, J. D., Inklaar, R. and Jong-A-Pin, R. (2008), “Will Business Cycles in the Euro Area Converge? A Critical Survey of Empirical Research,” Journal of Economic Surveys 22, 234-273.
    Jung. T., Teranishi, Y. and Watanabe, T. (2003), “Optimal Monetary Policy at the Zero-Interest-Rate Bonund,” Journal of Money, Credit and Banking 37, 813-836.
    Lombardo, G. and Ravenna, F. (2014), “Openness and Optimal Monetary Policy,” Journal of International Economics 93, 153-172.
    Lopez, C. and Papell, D. H. (2012), “Convergence of Euro Area Inflation Rates,” Journal of International Money and Finance 31, 1440-1458.

    Chapter 2
    Altissimo, F., Benigno, P. and Palenzuela, D. R. (2011), “Inflation Differentials in a Currency Area: Facts, Explanation and Policy,” Open Economies Review 22, 189-233.
    Amisano, G. and Tristani, O. (2010), “Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model,” Journal of Economic Dynamics and Control 34, 1837-1858.
    Beetsma, R. M. W. J. and Jensen, H. (2005), “Monetary and Fiscal Policy Interactions in a Micro-Founded Model of a Monetary Union,” Journal of International Economics 67, 320-352.
    Belke, A. and Dreger, C. (2013), “Current Account Imbalances in the Euro Area: Does Catching up Explain the Development?,” Review of International Economics 21, 6-17.
    Benchimol, J. and Fourçans, A. (2012), “Money and Risk in a DSGE Framework: A Bayesian Application to the Eurozone,” Journal of Macroeconomics 34, 95-111.
    Benigno, G. and Thoenissen, C. (2003), “Equilibrium Exchange Rates and Supply-Side Performance,” Economic Journal 113, 103-124.
    Benigno, P. (2001), “Price Stability with Imperfect Financial Integration,” CEPR Paper No. 2854.
    Benigno, P. (2004), “Optimal Monetary Policy in a Currency Area,” Journal of International Economics 63, 293-320.
    Bergin, P. R., Shin, H. C. and Tchakarov, I. (2007), “Does Exchange Rate Variability Matter for Welfare? A Quantitative Investigation of Stabilization Policies,” European Economic Review 51, 1041-1058.
    Calvo, G. A. (1983), “Staggered Prices in a Utility-maximizing Framework,” Journal of Monetary Economics 12, 383-398.
    Corsetti, G. (2006), “Openness and the Case for Flexible Exchange Rates,” Research in Economics 60, 1-21.
    Corsetti, G., Dedola, L. and Leduc, S. (2008), “International Risk Sharing and the Transmission of Productivity Shocks,” Review of Economic Studies 75, 443-473
    Duarte, M. and Obstfeld, M. (2008), “Monetary Policy in the Open Economy Revisited: The Case for Exchange-Rate Flexibility Restored,” Journal of International Money and Finance 27, 949-957.
    Duarte, M. and Wolman, A. L. (2008), “Fiscal Policy and Regional Inflation in a Currency Union,” Journal of International Economics 4, 384-401.
    Eggertsson, G. B., Ferrero, A. and Raffo, A. (2014), “Can Structural Reforms Help Europe?,” Journal of Monetary Economics 61, 2-22.
    Erceg, C., Guerrieri, L. and Gust, C. (2006), “SIGMA: A New Open Economy Model for Policy Analysis,” International Journal of Central Banking 2, 1-50.
    Faia, E. and Monacelli, T. (2008), “Optimal Monetary Policy in a Small Open Economy with Home Bias,” Journal of Money, Credit and Banking 40, 721-750.
    Ferrero, A. (2009), “Fiscal and Monetary Rules for a Currency Union,” Journal of International Economics 77, 1-10.
    Forni, L., Gerali, A. and Pisani, M. (2010), “Macroeconomic Effects of Greater Competition in the Service Sector: The Case of Italy,” Macroeconomic Dynamics 14, 677-708.
    Gali, J. and Monacelli, T. (2008), “Optimal Monetary and Fiscal Policy in a Currency Union,” Journal of International Economics 76, 116-132.
    Gerali, A., Neri, S., Sessa, L. and Signoretti, F. M. (2010), “Credit and Banking in a DSGE Model of the Euro Area,” Journal of Money, Credit and Banking 42, 107-141.
    Hansen, L. P. and Singleton, K. (1983), “Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns,” Journal of Political Economy 91, 249-265.
    in’t Veld, J., Kollmann, R., Pataracchia, B., Ratto, M. and Roeger, W. (2015), “International Capital Flows and the Boom-Bust Cycle in Spain,” Journal of International Money and Finance 48, 314-335.
    Kollmann, R. (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics 49, 989-1015.
    Lama, R. and Rabanal, P. (2014), “Deciding to Enter a Monetary Union: The Role of Trade and Financial Linkages,” European Economic Review 72, 138-165.
    Leith, C. and Wren-Lewis, S. (2011), “Discretionary Policy in a Monetary Union with Sovereign Debt,” European Economic Review 55, 93-117.
    Lombardo, G. and Ravenna, F. (2014), “Openness and Optimal Monetary Policy,” Journal of International Economics 93, 153-172.
    McKinnon, R. I. (1963), “Optimum Currency Areas,” American Economic Review 53, 717-725.
    Mendoza, E. (1991), “Real Business Cycles in a Small Open Economy,” American Economic Review 81, 797-818.
    Mundell, R. A. (1961), “A Theory of Optimum Currency Areas,” American Economic Review 51, 657-675.
    Poutineau, J. and Vermandel, G. (2015), “Cross-Border Banking Flows Spillovers in the Eurozone: Evidence from an Estimated DSGE Model,” Journal of Economic Dynamics and Control 51, 378-403.
    Quint, D. and Rabanal, P. (2014), “Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area,” International Journal of Central Banking 10, 169-236.
    Rabanal, P. (2009), “Inflation Differentials Between Spain and the EMU: A DSGE Perspective,” Journal of Money, Credit, and Banking 41, 1142-1166.
    Schmitt-Grohé, S. and Uribe, M. (2007), “Optimal Simple and Implementable Monetary and Fiscal Rules,” Journal of Monetary Economics 54, 1702–1725.
    Schmitz, B. and Jürgen Von Hagen, J. (2011), “Current Account Imbalances and Financial Integration in the Euro Area,” Journal of International Money and Finance 30, 1676‐1695.

    Chapter 3
    Afonso, A., Arghyrou, M. G. and Kontonikas, A. (2014), “Pricing Sovereign Bond Risk in the European Monetary Union Area: An Empirical Investigation,” International Journal of Finance and Economics 19, 49-56.
    Andrés, J., López-Salido, J. D. and Nelson, E. (2004), “Tobin`s Imperfect Asset Substitution in Optimizing General Equilibrium,” Journal of Money, Credit, and Banking 36, 665-690.
    Arellano, C. and Ramanarayanan, A. (2012), “Default and the Maturity Structure in Sovereign Bonds,” Journal of Political Economy 120, 187-232.
    Beirne, J. and Fratzscher, M. (2013), “The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis,” Journal of International Money and Finance 34, 60-82.
    Bernoth, K. and Erdogan, B. (2012), “Sovereign Bond Yield Spreads: A Time-varying Coefficient Approach,” Journal of International Money and Finance 31, 639-656.
    Calvo, G. A. (1983), “Staggered Prices in a Utility-maximizing Framework,” Journal of Monetary Economics 12, 383-398.
    Chari, V.V., Kehoe, P. J. and McGrattan, E. (2002), “Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates,” Review of Economic Studies 69, 533-563.
    Chen, H., Cúrdia, V. and Ferrero, A. (2012), “The Macroeconomic Effects of Large-scale Asset Purchase Programmes,” Economic Journal 122, 289-315.
    Corsetti, G., Kuester, K., Meier, A. and Müller, G. J. (2013), “Sovereign Risk, Fiscal Policy, and Macroeconomic Stability,” Economic Journal 123, 99-132.
    Corsetti, G., Kuester, K., Meier, A. and Müller, G. J. (2014), “Sovereign Risk and Belief-driven Fluctuations in the Euro Area,” Journal of Monetary Economics 61, 53-73.
    Duarte, M. and Wolman, A. L. (2008), “Fiscal Policy and Regional Inflation in a Currency Union,” Journal of International Economics 4, 384-401.
    Ellison, M. and Tischbirek, A. (2014), “Unconventional Government Debt Purchases as a Supplement to Conventional Monetary Policy,” Journal of Economic Dynamics and Control 43, 199-217.
    Eggertsson, G. B., Ferrero, A. and Raffo, A. (2014), “Can Structural Reforms Help Europe?,” Journal of Monetary Economics 61, 2-22.
    Fontana, A. and Scheicher, M. (2016), “An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds,” Journal of Banking and Finance 62, 126-140.
    Gertler, M. and Karadi, P. (2011), “A Model of Unconventional Monetary Policy,” Journal of Monetary Economics 58, 17-34.
    Gertler, M. and Karadi, P. (2013), “Qe 1 vs. 2 vs. 3...: A Framework for Analyzing Large-scale Asset Purchases as a Monetary Policy Tool,” International Journal of Central Banking 9, 5-53.
    Lama, R. and Rabanal, P. (2014). “Deciding to Enter a Monetary Union: The Role of Trade and Financial Linkages,” European Economic Review 72, 138-165.
    Poutineau, J. and Vermandel, G. (2015), “Cross-border Banking Flows Spillovers in the Eurozone: Evidence from an Estimated DSGE Model,” Journal of Economic Dynamics and Control 51, 378-403.
    Rabanal, P. (2009), “Inflation Differentials Between Spain and the EMU: A DSGE Perspective,” Journal of Money, Credit, and Banking 41, 1142-1166.
    Smets, F. and Wouters, R. (2003), “An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area,” Journal of the European Economic Association 1, 1123-1175.
    Woodford, M. (2001), “Fiscal Requirements for Price Stability,” Journal of Money, Credit, and Banking 33, 669-728.

    Chapter 4
    Adam, K. and Roberto, B. (2006), “Optimal Monetary Policy under Commitment with a Zero Bound on Nominal Interest Rates,” Journal of Money, Credit and Banking 38, 1877-1905.
    Albanesi, S. (2002), “The Time Consistency of Optimal Monetary Policy with Heterogeneous Agents,” CEPR Paper No. 3713.
    Alter, A. and Beyer, A. (2014), “The Dynamics of Spillover Effects During the European Sovereign Debt Turmoil,” Journal of Banking and Finance 42, 134-153.
    Araújo, A., Schommer, S. and Woodford, M. (2015), “Conventional and Unconventional Monetary Policy with Endogenous Collateral Constraints,” American Economic Journal: Macroeconomics 7, 1-43.
    Beirne, J. and Fratzscher, M. (2013), “The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis,” Journal of International Money and Finance 34, 60-82.
    Bhattarai, S., Lee, J. W. and Park, W. Y. (2015), “Optimal Monetary Policy in a Currency Union with Interest Rate Spreads,” Journal of International Economics 96, 375-397.
    Benigno, P., Eggertsson, G. B. and Romei, F. (2016), “Dynamic Debt Deleveraging and Optimal Monetary Policy,” NBER Paper No. w20556.
    Benigno, P. and Nistico, S. (2017), “Safe Assets, Liquidity and Monetary Policy,” American Economic Journal: Macroeconomics 9, 182-227.
    Borrallo, F., Hernando, I. and Valles, J. (2016), “The effects of US unconventional monetary policies in Latin Amercica,” Banco De Espana Paper No. 1606.
    Bruyckere, V. D., Gerhardt, M., Schepens, G. and Vennet R. V. (2013), “Bank/Sovereign Risk Spillovers in the European Debt Crisis,” Journal of Banking and Finance 37, 4793-4809.
    Calvo, G. A. (1983), “Staggered Prices in a Utility-maximizing Framework,” Journal of Monetary Economics 12, 383-398.
    Campbell, J., Evans, C. L. and Fisher, J. D. M. and Justiniano, A. (2012), “Macroeconomic Effects of Federal Reserve Forward Guidance,” Brookings Papers on Economic Activity, Spring, 1-80.
    Corsetti, G., Kuester, K., Meier, A. and Müller, G. J. (2013), “Sovereign Risk, Fiscal Policy, and Macroeconomic Stability,” Economic Journal 123, 99-132.
    Corsetti, G., Kuester, K., Meier, A. and Müller, G. J. (2014), “Sovereign Risk and Belief-driven Fluctuations in the Euro Area,” Journal of Monetary Economics 61, 53-73.
    Curdia, V. and Woodford, M. (2016), “Credit Frictions and Optimal Monetary Policy,” Journal of Monetary Economics 84,30-65.
    Duarte, M. and Wolman, A. L. (2008). “Fiscal Policy and Regional Inflation in a Currency Union,” Journal of International Economics, 4, 384-401.
    Eggertsson, G. B., Ferrero, A. and Raffo, A. (2014). “Can Structural Reforms Help Europe?,” Journal of Monetary Economics, 61, 2-22.
    Eggertsson, G. B. and Krugman, P. (2012), “Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach,” Quarterly Journal of Economics 127, 1469-1513.
    Eggertsson, G. B. and Woodford, M. (2003), “The Zero Bound on Interest Rates and Optimal Monetary Policy,” Brookings Papers on Economic Activity 1, 139-211.
    Gali, J. (2015), Monetary Policy, Inflation, and the Business Cycle, 2nd Edition, Princeton and Oxford: Princeton University Press.
    Harjes, T. (2011), “Financial Integration and Corporate Funding Costs in Europe After the Financial and Sovereign Debt Crisis. IMF No. 11/186.
    Jung, T., Teranishi, Y. and Watanabe, T. (2003), “Optimal Monetary Policy at the Zero-Interest-Rate Bound,” Journal of Money, Credit and Banking 37, 813-836.
    Poutineau, J. C. and Vermandel, G. (2015), “A Primer on Macroprudential Policy,” Journal of Economic Education 46, 68-82.
    Sheedy, K. D. (2016), “Conventional and Unconventional Monetary Policy Rules,” Working Paper, London School of Economics and Political Science.
    Siddhartha, C. and Betty C. D. (2015), “The Inflation Target at the Zero Lower Bound,” MPRA No. 66096.
    Smets, F. and Wouters, R. (2003), “An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area,” Journal of the European Economic Association 1, 1123-1175.
    Tischbirek, A. (2016), “Unconventional Monetary Policy in a Currency Union with Segmentation in the Market for Government Debt,” Working Paper, Faculty of Business and Economics, University of Lausanne.
    Woodford, M. (2001), “Fiscal Requirements for Price Stability,” Journal of Money, Credit, and Banking 33, 669-728.
    Woodford, M. (2003), Interest and Prices, Princeton and Oxford: Princeton University Press.
    Woodford, M. (2012), “Methods of Policy Accommodation at the Interest-rate Lower Bound.” Jackson Hole symposium, August, Federal Reserve Bank of Kansas City.
    Woodford, M. (2016), “Quantitative Easing and Financial Stability.” NBER Papers No. 22285.

    Chapter 5
    De Grauwe, P. (2012), The Economics of Monetary Union, 9th Edition, Oxford: Oxford University Press.
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