政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35817

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35817

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | 全文筆數/總筆數 : 114401/145431 (79%)
造訪人次 : 53105049 線上人數 : 574

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

搜尋範圍

查詢小技巧：

您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果

若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料

進階搜尋

主頁 ‧ 登入 ‧ 上傳 ‧ 說明 ‧ 關於政大典藏 ‧ 管理

到手機版

政大機構典藏 > 社會科學學院 > 經濟學系 > 學位論文 > Item 140.119/35817

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/35817

題名:	兩國動態隨機一般均衡模型的不對稱資本市場分析 Asymmetric Asset Market Analysis in a Two-Country Dynamic Stochastic General Equilibrium Model
作者:	林伯宏 Lin, Po Hung
貢獻者:	黃俞寧林伯宏 Lin, Po Hung
關鍵詞:	動態隨機一般均衡不對稱資本市場 DSGE incomplete asset market
日期:	2008
上傳時間:	2009-09-18 16:07:01 (UTC+8)
摘要:	本文嘗試利用兩國動態一般模型 (dynamic stochastic general equilibrium, DSGE)架構，分析資本市場存在的不對稱摩擦現象，藉由設定不同兩國債券調整成本的三種形式，模擬兩國總體變數在本國生產力衝擊下的影響分析。本文模型架構主要遵循Bergin et al. (2007)，文中廠商的商品訂價方式採生產者貨幣訂價 (producer currency pricing, PCP)，即廠商的訂價行為依照本國貨幣作為計價單位，透過名目匯率轉換為外國消費者面對的商品價格，單一價格法則 (the law of one price, LOP)在此訂價方式下成立；本文模型的商品訂價方式改採當地貨幣訂價 (local currency pricing, LCP)，本國廠商以當地貨幣作為計價單位訂定其商品價格，該訂價方式廣為近來文獻所採用，並符合已開發國家之訂價行為，故採用此訂價方式。電腦模擬本文資本市場的三種不同設定，在本國生產力具有的外生衝擊下，資本邊際生產力的提高致使本國廠商增加投資，代表性個人資金借貸的管道可透過本國債券與外國債券進行融通，而本國代表性個人在買賣本國債券時無需負擔債券調整成本，在購買外國債券時則需負擔債券調整成本，此一設定即在反映資金借貸的摩擦情形；變數的動態模擬結果顯示，資本市場的不對稱摩擦，將透過兩國間的經常帳變化條件，影響資金借貸的流通，對於兩國總體經濟變數具有顯著影響。
參考文獻:	Bergin, P. R. and I. Tchakarov (2003), “Does Exchange Rate Risk Matter for Welfare?” NBER Working paper. Bergin, P. R., H. C. Shin and I. Tchakarov (2007), “Does Exchange Rate Variability Matter for Welfare? A Quantitative Investigation of Stabilization Policies,” European Economic Review, 51, 1041-58. Betts, C. and M. B. Devereux (1996), “The Exchange Rate in a Model of Pricing-to-market,” European Economic Review, 40, 1007–1021. Blanchard, O. and C. Kahn (1980), “The Solution of Linear Difference Models under Rational Expectations,” Econometrica, 48, 1305-1311. Chari, V. V., Kehoe, P. J. and McGrattan, E. (2002), “Can Sticky-price Models Generate Volatility and Persistent Real Exchange Rate?” Reviews of Economics Studies, 69, 533-563. Devereux, M. and C. Engel (2003), “Monetary Policy in the Open Economy, Revisited: Price Setting and Exchange Rate Flexibility,” Review of Economic Studies, 70, 765–783. Juillard, M. (1996), “DYNARE: A Program for the Resolution and Simulation of Dynamic Models with Forward Variables Through the Use of a Relaxation Algorithm,” CEPREMAP. Kollmann, R. (2002), “Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles,” Journal of Monetary Economics, 49, 989–1015. Krugman, P. R. (1986), “Pricing to Market When the Exchange Rate Changes,” NBER Working paper. Lane, P. R. (2001), “The New Open Macroeconomics: a Survey,” Journal of International Economics, 54, 235-266. McCallum, B. T. (1994), “A Reconsideration of the Uncovered Interest Parity Relationship,” Journal of Monetary Economics, 33, 105-32. Obstfeld, M. and K. Rogoff (2000), “New Directions for Stochastic Open Economy Models,” Journal of International Economics, 50, 117-53. Obstfeld, M. and K. Rogoff (1995), “Exchange Rate Dynamics Redux,” Journal of Political Economy, 103, 624-60. Obstfeld, M. and K. Rogoff (1996), Foundations of International Macroeconomics, the MIT Press. Romer, D. (2001), Advanced Macroeconomics, McGraw-Hill. Sims, C. (2000), “Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models,” Working paper, Princeton University. Sutherland, A., (1996), “Financial Market Integration and Macroeconomic Volatility,” Scandinavian Journal of Economics, 98, 521-539. Tille, C., (1997), “The International Welfare Effect of Monetary Policy under Pricing to Market,” mimeo, Princeton University.
描述:	碩士國立政治大學經濟研究所 95258026 97
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0952580261
資料類型:	thesis
顯示於類別:	[經濟學系] 學位論文

文件中的檔案:

檔案	描述	大小	格式	瀏覽次數
026101.pdf		338Kb	Adobe PDF2	953	檢視/開啟
026102.pdf		351Kb	Adobe PDF2	984	檢視/開啟
026103.pdf		351Kb	Adobe PDF2	1001	檢視/開啟
026104.pdf		353Kb	Adobe PDF2	893	檢視/開啟
026105.pdf		357Kb	Adobe PDF2	1215	檢視/開啟
026106.pdf		282Kb	Adobe PDF2	1427	檢視/開啟
026107.pdf		402Kb	Adobe PDF2	1331	檢視/開啟
026108.pdf		392Kb	Adobe PDF2	3093	檢視/開啟
026109.pdf		379Kb	Adobe PDF2	1275	檢視/開啟
026110.pdf		376Kb	Adobe PDF2	1007	檢視/開啟
026111.pdf		352Kb	Adobe PDF2	972	檢視/開啟
026112.pdf		358Kb	Adobe PDF2	974	檢視/開啟
026113.pdf		716Kb	Adobe PDF2	903	檢視/開啟

在政大典藏中所有的資料項目都受到原著作權保護.

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 © - 回饋