政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/151989
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113324/144300 (79%)
Visitors : 51124181      Online Users : 893
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/151989


    Title: 貸款限制與景氣循環：異質個人模型
    Collateral Constraints and Business Cycles : A Heterogeneous Agent Model
    Authors: 賴政澤
    Lai, Zheng-Ze
    Contributors: 陳明郎
    李文傑
    Chen, Been-Lon
    Lee, Wen-Chieh
    賴政澤
    Lai, Zheng-Ze
    Keywords: 房價
    住宅需求衝擊
    CES效用函數
    抵押品限制式
    金融中介
    限制式非經常性束縛
    違約衝擊
    貸款成數衝擊
    不確定性衝擊
    land prices
    housing demand shocks
    CES preference function
    collateral constraints
    financial intermediaries
    occasionally binding constraints
    default shocks
    loan-to-value shocks
    uncertainty shocks
    Date: 2024
    Issue Date: 2024-07-01 12:18:04 (UTC+8)
    Abstract: 本篇論文包含三篇關於金融摩擦以及金融中介的文章。第一篇文章延伸Liu等人(2013)的研究。透過考慮企業家的擔保品渠道 (collateral channel)，Liu等人(2013)文中的正向住房需求衝擊提高了土地價格和商業投資，但消費卻於衝擊開始時減少，這一理論結果與實證研究相異。Liu等人(2013)的模型假設同期、不同商品(非耐久財與耐久財)與跨期、同一商品組合的替代彈性均為一，本文則放寬這一假設，並於模型中以貝氏方法估計此兩參數。結構模型中，基於美國總體經濟數據的貝氏估計表明，同期不同商品間的替代彈性大於一，而跨期同一組商品組合的替代彈性小於一。本文的衝擊反應函數顯示，在放寬了替代彈性的假設後，正向住房需求衝擊同時提高了土地價格、商業投資和消費，從而解決Liu等人(2013)一文中，理論結果與實證結果相異的問題。若以邊際數據密度(marginal data density)作為模型適配度的度量，我們的模型能更好地解釋美國的經濟數據。
    第二篇文章聚焦於以下主題：在具有異質性家計單位和擔保品限制式的實質景氣循環模型中，既有模型因金融危機而考慮了兩種外生衝擊：違約衝擊和貸款成數(loan-to-value ratio)衝擊。Iacoviello(2015)一文中，考慮金融中介但假設借款人永遠借至貸款上限；發現廠商違約率上升後產出增加，而家計單位的貸款成數上升後產出減少。這兩理論結果皆與實證證據不一致。Jensen等人(2018)一文中，允許借款人不必借至貸款上限但未考慮銀行體系的金融中介效果；發現當家計單位的貸款成數上升後，總和消費減少。這一理論結果亦與實證證據不一致。本文透過於模型中同時考慮金融中介並允許借款人並不總是借至貸款上限，解決了Iacoviello(2015)以及Jensen等人(2018)兩篇文章中，理論結果與實證證據不一致的問題。突顯了在實質景氣循環模型中，同時考慮金融中介及限制式非經常成立(occasionally binding constraints)的重要性。
    第三篇文章著重金融中介如何在景氣循環模型中傳遞信用供給的不確定性衝擊。實證分析顯示在歷經信用供給不確定性衝擊後，美國的產出、消費、投資和房價將同時下降。然而既有假設直接金融的理論模型難以得出此一實證結果。在本文中，我們放寬直接金融的假設，將銀行部門納入了一考慮異質性家計單位的實質景氣循環模型中，且借款人的借款上限由其擔保品的價值決定。研究結果表明，模型中的異質性家計單位和金融中介都是使理論模型與實證結果相匹配所不可或缺的要素。本文亦探討了銀行的角色，發現存款利率和貸款利率之間的利差是重要的傳遞機制。
    This dissertation contains three articles about financial frictions and financial intermediaries. The first paper extends Liu et al. (2013)’s work. Through the collateral channel for entrepreneurs, a positive housing demand shock in Liu et al. (2013) increases land prices and business investment, but consumption decreases on impact thus comovement problem arises. First chapter extends Liu et al. (2013) by considering a generalized utility function with flexible intratemporal and intertemporal elasticity of substitutions. Based on aggregate U.S. data, Bayesian estimation of structural model suggests that the intratemporal substitution is larger than unity and the intertemporal substitution is smaller than unity. Our impulse responses show that a positive housing demand shock increases land prices, business investment, and consumption, which resolves the comovement problem in Liu et al, (2013). Using the marginal data density as the measure of fit for models, we find that our model can better explain the same U.S. aggregate data.
    The second paper focus on the following topic: in a real business cycle model with heterogeneous agents and collateral constraints, previous models study impulse responses to two financial shocks: default-redistribution and loan-to-value shocks. With banks and always binding collateral constraints as in Iacoviello (2015), output increases after entrepreneur defaults and decreases after positive household loan-to-value (LTV) shocks, inconsistent with evidence. Without banks but with occasionally binding collateral constraints as in Jensen et al. (2018), consumption decreases under positive LTV shocks, also inconsistent. In contrast, in the model with banks and occasionally binding collateral constraints, consumption, investment, and output decrease together under entrepreneur defaults while increasing together after positive household loan-to-value shocks. This matches the empirical results. The model with banks and occasionally binding collateral constraints resolves the inconsistencies of previous models by allowing constrained optimization with shocks to shift regimes between binding and non-binding collateral constraints. This highlights the importance of including occasionally binding collateral constraints in models with the financial sector to accurately represent financial business cycles.
    The third paper investigates how financial intermediaries propagate credit supply uncertainty shocks within a business cycle model. When discussing credit supply uncertainty shocks, current research assumes direct finance and focuses on the effect of these shocks on entrepreneurs. How uncertainty shocks affect borrowing-constrained households and how these shocks propagate through the economy when financial intermediation is considered remains unexplored. In this paper, we incorporate banking sectors into a dynamic stochastic general equilibrium (DSGE) model with patient savers and impatient borrowers where the latter’s’ borrowing constraints are restricted by the value of their collateral assets. Our result shows that both heterogeneous agents and financial intermediaries are critical for matching empirical evidence. Uncertainty targeting entrepreneurs still induces countercyclical dynamics via precautionary motives. However, when volatility hits constrained households’ collateral constraints, their pullback triggers spillovers to banks, patient households and entrepreneurs, generating comovements on output, consumption and investment. We also explore the role of banks and find that the spread between saving rates and lending rates is an important mechanism to deliver comovements.
    Reference: Adam, K. and Billi, R.M. (2007). Discretionary monetary policy and the zero lower bound on nominal interest rates. Journal of Monetary Economics, 54 (3), 728-752.
    Adelino, M., A. Schoar, and F. Severino (2015). House prices, collateral, and self-employment. Journal of Financial Economics 117(2): 288–306.
    Adjemian, S., Bastani, H., Juillard, M., Karamé, F., Mihoubi, F., Mutschler, W., Perendia, G., Pfeifer, J., Ratto, M., Rion, N., and Villemot, S. (2022). Dynare: Reference manual, version 5.
    Akinci, O. and Queralto, A. (2022). Credit spreads, financial crises, and macroprudential policy. American Economic Journal: Macroeconomics, 14(2), 469-507.
    Alessandri, P., and Mumtaz, H. (2019). Financial regimes and uncertainty shocks. Journal of Monetary Economics, 101, 31-46.
    Alpanda, S., and Zubairy, S. (2017). Addressing household indebtedness: Monetary, fiscal or macroprudential policy? European Economic Review, 92, 47-73.
    Andreasen, M. M., Caggiano, G., Castelnuovo, E., and Pellegrino, G. (2024). Does risk matter more in recessions than in expansions? Implications for monetary policy. Journal of Monetary Economics, 143, 103533.
    Andreasen, M. M., Fernández-Villaverde, J., and Rubio-Ramírez, J. F. (2018). The pruned state-space system for non-linear DSGE models: Theory and empirical applications. The Review of Economic Studies, 85(1), 1-49.
    Angelini, G., Bacchiocchi, E., Caggiano, G., and Fanelli, L. (2019). Uncertainty across volatility regimes. Journal of Applied Econometrics, 34(3), 437-455.
    Angelini, P., Neri, S., and Panetta, F. (2014). The interaction between capital requirements and monetary policy. Journal of Money, Credit and Banking, 46(6), 1073-1112.
    Bacchetta, P. and Gerlach, S. (1997). Consumption and credit constraints: International evidence. Journal of Monetary Economics, 40(2), 207-238.
    Bachmann, R. and Rüth, S.K. (2020). Systematic monetary policy and the macroeconomic effects of shifts in residential loan‐to‐value ratios. International Economic Review, 61(2), 503-530.
    Bahaj, S., A. Foulis, G. Pinter and P. Surico (2019), Employment and the collateral channel of monetary policy, Staff Working Paper No. 827, Bank of England.
    Bajari, P., P. Chan, D. Krueger, and D. Miller (2013). A dynamic model of housing demand: Estimation and policy implications. International Economic Review 54(2): 409-442.
    Baker, S. R., Bloom, N., and Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
    Barsky, R.B., C.L. House, and M.S. Kimball (2003). Do flexible durable goods prices undermine sticky price models? National Bureau of Economic Research Working Paper 9832.
    Barsky, R.B., C.L. House, and M.S. Kimball (2007). Sticky price models and durable goods. American Economic Review 97: 984–998.
    Basu, S., and Bundick, B. (2017). Uncertainty shocks in a model of effective demand. Econometrica, 85(3), 937-958.
    Ben Zeev, N. (2023). The TFP channel of credit supply shocks. Review of Economics and Statistics, 105(2), 425-441.
    Berger, D., V. Guerrieri, G. Lorenzoni, and J. Vavra (2018). House prices and consumer spending. Review of Economic Studies 85(3): 1502–1542.
    Bernanke, B. S., Gertler, M., and Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics, 1, 1341-1393.
    Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685.
    Bloom, N., Floetotto, M., Jaimovich, N., Saporta-Eksten, I., and Terry, S. J. (2018). Really uncertain business cycles. Econometrica, 86(3), 1031-1065.
    Bodenstein, M., Hebden, J., and Nunes, R. (2012). Imperfect credibility and the zero lower bound. Journal of Monetary Economics, 59(2), 135-149.
    Brunnermeier, M. K., and Sannikov, Y. (2014). A macroeconomic model with a financial sector. American Economic Review, 104(2), 379-421.
    Caldara, D., Fuentes-Albero, C., Gilchrist, S., and Zakrajšek, E. (2016). The macroeconomic impact of financial and uncertainty shocks. European Economic Review, 88, 185-207.
    Campbell, J.Y., and Joao Cocco (2007). How do house prices affect consumption? Evidence from micro data. Journal of Monetary Economics 54: 591–621.
    Cao, D. and G.Y. Nie (2017). Amplification and asymmetric effects without collateral constraints. American Economic Journal: Macroeconomics 9(3): 222–266.
    Carlstrom, C. T., and Fuerst, T. S. (1997). Agency costs, net worth, and business fluctuations: A computable general equilibrium analysis. The American Economic Review, 893-910.
    Chatterjee, P., Gunawan, D., and Kohn, R. (2024). The interaction between credit constraints and uncertainty shocks. Journal of Money Credit and Banking, 1-31.
    Chen, B. L., Lai, Z. Z., and Liao, S. Y. (2023). Land-price dynamics and macroeconomic fluctuations with general household preferences. Macroeconomic Dynamics, 1-25.
    Chen, B.-L. and S.-Y. Liao (2014). Capital, credit constraints and the comovement between consumer durables and nondurables. Journal of Economic Dynamics and Control 39: 127–139.
    Christiano, L. J., Eichenbaum, M., and Evans, C. L. (2005). Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy, 113(1), 1-45.
    Christiano, L.J. and Fisher, J.D. (2000). Algorithms for solving dynamic models with occasionally binding constraints. Journal of Economic Dynamics and Control, 24(8), 1179-1232.
    Coibion, O., Georgarakos, D., Gorodnichenko, Y., Kenny, G., and Weber, M. (2024). The effect of macroeconomic uncertainty on household spending. American Economic Review, 114(3), 645-677.
    Cordoba, J.C. and M. Ripoll (2004). Credit cycles redux. International Economic Review 45(4), 1011-1046.
    Cuba-Borda, P., Guerrieri, L., Iacoviello, M., and Zhong, M. (2019). Likelihood evaluation of models with occasionally binding constraints. Journal of Applied Econometrics, 34(7), 1073-1085.
    Cummins, J.G. and G.L. Violante (2002). Investment-specific technical change in the United States (1947-2000): Measurement and macroeconomic consequences, Revie of Economic Dynamics 5, 243-284.
    Davis, M.A. and J. Heathcote (2007). The price and quantity of residential land in the United States, Journal of Monetary Economics 54, 2595–2620.
    Davis, S., K. X.D. Huang, and A. Sapci (2022), Land price dynamics and macroeconomic fluctuations with imperfect substitution in real estate markets, Journal of Economic Dynamics and Control 134 (2022) 104274.
    Del Negro, M. and F. Schorfheide (2004). Priors from general equilibrium models for VARs. International Economic Review 45(2): 643-673.
    Del Negro, M., F. Schorfheide, F. Smets, and R. Wouters (2007). On the fit of new Keynesian models. Journal of Business and Economic Statistics 25(2): 123-143.
    Eggertsson, G.B. and Woodford, M. (2003). Zero bound on interest rates and optimal monetary policy. Brookings Papers on Economic Activity, 2003(1), 139-233.
    Farhi, E., and Werning, I. (2016). A theory of macroprudential policies in the presence of nominal rigidities. Econometrica, 84(5), 1645-1704.
    Faria-e-Castro, M. (2022). Fiscal multipliers and financial crises. Review of Economics and Statistics, 1-45.
    Favilukis, J., S.C. Ludvigson, and S. Van Nieuwerburgh (2017). The macroeconomic effects of housing wealth, housing finance, and limited risk sharing in general equilibrium. Journal of Political Economy 125(1): 140-223.
    Fernandez-Gallardo, A. (2023). Preventing financial disasters: Macroprudential policy and financial crises. European Economic Review, 151, 104350.
    Fernández-Villaverde, J., and Guerrón-Quintana, P. A. (2020). Uncertainty shocks and business cycle research. Review of Economic Dynamics, 37, S118-S146.
    Fernández-Villaverde, J., Guerrón-Quintana, P., Kuester, K., and Rubio-Ramírez, J. (2015). Fiscal volatility shocks and economic activity. American Economic Review, 105(11), 3352-3384.
    Fernández-Villaverde, J., Guerrón-Quintana, P., Rubio-Ramirez, J. F., and Uribe, M. (2011). Risk matters: The real effects of volatility shocks. American Economic Review, 101(6), 2530-2561.
    Flavin, M. and S. Nakagawa (2008). A model of housing in the presence of adjustment costs: A structural interpretation of habit persistence. American Economic Review 98(1): 474-495.
    Gambetti, L., and Musso, A. (2017). Loan supply shocks and the business cycle. Journal of Applied Econometrics, 32(4), 764-782.
    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.
    Gertler, M., and Gilchrist, S. (2018). What happened: Financial factors in the great recession. Journal of Economic Perspectives, 32(3), 3-30.
    Gertler, M., and Kiyotaki, N. (2010). Financial intermediation and credit policy in business cycle analysis. In Handbook of Monetary Economics (Vol. 3, pp. 547-599). Elsevier.
    Giesecke, K., Longstaff, F. A., Schaefer, S., and Strebulaev, I. (2011). Corporate bond default risk: A 150-year perspective. Journal of Financial Economics, 102(2), 233-250.
    Giesecke, K., Longstaff, F. A., Schaefer, S., and Strebulaev, I. (2014). Macroeconomic effects of corporate default crisis: A long-term perspective. Journal of Financial Economics, 111(2), 297-310.
    Gong, L., C. Wang, F. Zhao, and H.-f. Zou (2017). Land-price dynamics and macroeconomic fluctuations with nonseparable preferences. Journal of Economic Dynamics and Control 83: 149-161.
    Greenwood, J., Z. Hercowitz, and P. Krusell (1997). Long-run implications of investment-specific technological change, American Economic Review, 87, 342-362.
    Guerrieri, L., and Iacoviello, M. (2015). OccBin: A toolkit for solving dynamic models with occasionally binding constraints easily. Journal of Monetary Economics, 70, 22-38.
    Guerrieri, L. and Iacoviello, M. (2017). Collateral constraints and macroeconomic asymmetries. Journal of Monetary Economics, 90, 28-49.
    Gulen, H., and Ion, M. (2016). Policy uncertainty and corporate investment. The Review of Financial Studies, 29(3), 523-564.
    Hall, R.E. (1988). Intertemporal substitution in consumption. Journal of Political Economy 96(2): 339-357.
    Handley, K., and Limão, N. (2017). Policy uncertainty, trade, and welfare: Theory and evidence for China and the United States. American Economic Review, 107(9), 2731-83.
    Haque, Q., Magnusson, L. M., and Tomioka, K. (2021). Empirical evidence on the dynamics of investment under uncertainty in the US. Oxford Bulletin of Economics and Statistics, 83(5), 1193-1217.
    Harding, M. and Klein, M. (2022). Monetary policy and household net worth. Review of Economic Dynamics, 44, 125-151.
    Higgins, C. R., and Sapci, A. (2024). Time-varying volatility and the housing market. Macroeconomic Dynamics, 28(2), 426-461.
    Iacoviello, M. (2005). House prices, borrowing constraints, and monetary policy in the business cycle. American Economic Review 95(3): 739-764.
    Iacoviello, M. (2015). Financial business cycles. Review of Economic Dynamics, 18(1), 140-163.
    Iacoviello, M. and S. Neri (2010). Housing market spillovers: evidence from an estimated DSGE model. American Economic Journal: Macroeconomics 2(2): 125-164.
    Jensen, H., Petrella, I., Ravn, S. H., and Santoro, E. (2020). Leverage and deepening business-cycle skewness. American Economic Journal: Macroeconomics, 12(1), 245-281.
    Jensen, H., Ravn, S.H., and Santoro, E. (2018). Changing credit limits, changing business cycles. European Economic Review, 102, 211-239.
    Jermann, U. and Quadrini, V., (2012). Macroeconomic effects of financial shocks. American Economic Review 102(1), 238-271.
    Jentsch, C., and Lunsford, K. G. (2022). Asymptotically valid bootstrap inference for proxy SVARs. Journal of Business and Economic Statistics, 40(4), 1876-1891.
    Jones, C., Midrigan, V., and Philippon, T. (2022). Household leverage and the recession. Econometrica, 90(5), 2471-2505.
    Jurado, K., Ludvigson, S. C., and Ng, S. (2015). Measuring uncertainty. American Economic Review, 105(3), 1177-1216.
    Justiniano, A., Primiceri, G. E., and Tambalotti, A. (2015). Household leveraging and deleveraging. Review of Economic Dynamics, 18(1), 3-20.
    Justiniano, A., Primiceri, G. E., and Tambalotti, A. (2019). Credit supply and the housing boom. Journal of Political Economy, 127(3), 1317-1350.
    Kaplan, G., K. Mitman and G.L. Violante (2020). The housing boom and bust: Model meets evidence. Journal of Political Economy 128(9): 3285-3345.
    Karadi, P. and Nakov, A. (2021). Effectiveness and addictiveness of quantitative easing. Journal of Monetary Economics, 117, 1096-1117.
    Katayama, M., and Kim, K. H. (2018). Uncertainty shocks and the relative price of investment goods. Review of Economic Dynamics, 30, 163-178.
    Kiyotaki, N. and J. Moore (1997). Credit cycles. Journal of Political Economy 105(2): 211-248.
    Kocherlakota, N. (2000). Creating business cycles through credit constraints. Fed. Reserve Bank Minneapolis Quarterly Review 24 (3), 2-10.
    Koop, G., Pesaran, M. H., and Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147.
    Lenza, M., and Primiceri, G. E. (2022). How to estimate a vector autoregression after March 2020. Journal of Applied Econometrics, 37(4), 688-699.
    Li, W., H. Liu, F. Yang, and R. Yao (2016). Housing over time and over the life cycle: a structural estimation. International Economic Review 57(4): 1237-1260.
    Liao, S. Y., and Chen, B. L. (2023). News shocks to investment-specific technology in business cycles. European Economic Review, 152, 104363.
    Liu, Z., J. Miao, and T. Zha (2016). Land prices and unemployment. Journal of Monetary Economics 80: 86-105.
    Liu, Z., D.F. Waggoner, and T. Zha (2011). Sources of macroeconomic fluctuations: A regime-switching DSGE approach. Quantitative Economics 2(2): 251-301.
    Liu, Z., P. Wang, and T. Zha (2011). Land-price dynamics and macroeconomic fluctuations. NBER Working Paper No. 17045.
    Liu, Z., P. Wang, and T. Zha (2013). Land-price dynamics and macroeconomic fluctuations. Econometrica 81(3): 1147-1184.
    Ludvigson, S. C., Ma, S., and Ng, S. (2021). Uncertainty and business cycles: exogenous impulse or endogenous response. American Economic Journal: Macroeconomics, 13(4), 369-410.
    McManus, R., Gulcin Ozkan, F., and Trzeciakiewicz, D. (2021). Why are fiscal multipliers asymmetric? The role of credit constraints. Economica, 88(349), 32-69.
    Mendoza, E.G. and Smith, K.A. (2006). Quantitative implications of a debt-deflation theory of sudden stops and asset prices. Journal of International Economics, 70(1), 82-114.
    Meng, X.-L. and W.H. Wong (1996). Simulating ratios of normalizing constants via a simple identity: a theoretical exploration. Statistica Sinica 6: 831-860.
    Mian, A. and Sufi, A. (2009). The consequences of mortgage credit expansion: Evidence from the US mortgage default crisis. The Quarterly Journal of Economics, 124(4), 1449-1496.
    Mian, A., K. Rao, and A. Sufi. (2013). Household balance sheets, consumption, and the economic slump. Quarterly Journal of Economics 128(4): 1687–1726.
    Monacelli, T. (2009). New Keynesian models, durable goods, and collateral constraints, Journal of Monetary Economics 56: 242-254.
    Muellbauer, J. and A. Murphy (1997). Booms and busts in the UK housing market. Economic Journal, 107: 1701–1727.
    Mumtaz, H., Pinter, G., and Theodoridis, K. (2018). What do VARs tell us about the impact of a credit supply shock? International Economic Review, 59(2), 625-646.
    Mumtaz, H., and Theodoridis, K. (2020). Dynamic effects of monetary policy shocks on macroeconomic volatility. Journal of Monetary Economics, 114, 262-282.
    Neumeyer, P.A. and Perri, F. (2005). Business cycles in emerging economies: the role of interest rates. Journal of Monetary Economics, 52(2), 345-380.
    Nodari, G. (2014). Financial regulation policy uncertainty and credit spreads in the US. Journal of Macroeconomics, 41, 122-132.
    Ogaki, M. and C.M. Reinhart (1998). Measuring intertemporal substitution: the role of durable goods. Journal of Political Economy 106(5): 1078-1098.
    Pellegrino, G., Castelnuovo, E., and Caggiano, G. (2023). Uncertainty and monetary policy during the great recession. International Economic Review, 64(2), 577-606.
    Piazzesi, M., M. Schneider, and S. Tuzel (2007). Housing, consumption and asset pricing. Journal of Financial Economics 83(3): 531-569.
    Piffer, M., and Podstawski, M. (2018). Identifying uncertainty shocks using the price of gold. The Economic Journal, 128(616), 3266-3284.
    Reinhart, C. M., and Rogoff, K. S. (2009). This time is different: Eight centuries of financial folly. Princeton university press.
    Richter, B., Schularick, M., and Shim, I. (2019). The costs of macroprudential policy. Journal of International Economics, 118, 263-282.
    Rubio, M. and Carrasco-Gallego, J. A. (2014). Macroprudential and monetary policies: Implications for financial stability and welfare. Journal of Banking and Finance, 49, 326-336.
    Schmidt, S. (2013). An optimal monetary and fiscal policy with a zero bound on nominal interest rates. Journal of Money, Credit and Banking, 45(7), 1335-1350.
    Schmitt-Grohé, S., and Uribe, M. (2004). Solving dynamic general equilibrium models using a second-order approximation to the policy function. Journal of Economic Dynamics and Control, 28(4), 755-775.
    Schularick, M. and Taylor, A. M. (2012). Credit booms gone bust: Monetary policy, leverage cycles, and financial crises, 1870-2008. American Economic Review, 102(2), 1029-1061.
    Shin, M., and Zhong, M. (2020). A new approach to identifying the real effects of uncertainty shocks. Journal of Business and Economic Statistics, 38(2), 367-379.
    Sims, C., D.F. Waggoner and T. Zha (2008). Methods for inference in large multiple-equation Markov-switching models. Journal of Econometrics 146(2): 255–274.
    Stokey, N. L. (2016). Wait-and-see: Investment options under policy uncertainty. Review of Economic Dynamics, 21, 246-265.
    Wu, J. C., and Xia, F. D. (2016). Measuring the macroeconomic impact of monetary policy at the zero lower bound. Journal of Money, Credit and Banking, 48(2-3), 253-291.
    Yogo, M. (2006). A consumption-based explanation of expected stock returns. Journal of Finance 61(2): 539-580.
    Description: 博士
    國立政治大學
    經濟學系
    105258501
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105258501
    Data Type: thesis
    Appears in Collections:[Department of Economics] Theses

    Files in This Item:

    File Description SizeFormat
    850101.pdf5374KbAdobe PDF1View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback