Does Taiwan Need a Macro-Prudential Policy? How to Do It? How to Coordinate with Monetary Policy?

台灣需要總體審慎政策嗎？如何做？與貨幣政策如何搭配？

王柏元(Po-Yuan Wang)

Dynamic stochastic general equilibrium ； DSGE-VAR ； Monetary policy ； Macro-prudential policy ； Welfare analysis ； 動態隨機一般均衡 ； 動態隨機一般均衡暨向量自我迴歸 ； 貨幣政策 ； 總體審慎政策 ； 福利分析

經濟論文

49卷1期（2021 / 03 / 01）

1 - 40

英文

This paper develops a small open economy dynamic stochastic general equilibrium (DSGE) model with collateral constraints. We estimate the model with data in Taiwan using the Bayesian technique, and assess the fit of the model by the DSGE-vector autoregression (DSGE-VAR) methodology. We demonstrate the welfare implications of the monetary policy and the macro-prudential policy. Our results suggest that an interest rate rule optimally responding to the growth of housing prices or domestic loans could enhance social welfare and make all agents better off. Introducing an optimal loan-to-value (LTV) ratio rule in response to domestic credit or housing price dynamics is also Pareto improving. Furthermore, the optimal deployment of both the monetary and macro-prudential policy could yield more social welfare. The coordination of policies effectively stabilizes the financial system and limits the volatility of inflation. However, because of the heterogeneity of agents, different mixes of policies require customized design for individual welfare optimization.

本文建構了一個包含擔保品借貸限制的小型開放經濟體動態隨機一般均衡（dynamic stochastic general equilibrium, DSGE）模型，透過貝式估計法（Bayesian estimation），將其應用在台灣的經濟環境，並運用動態隨機一般均衡暨向量自我迴歸（DSGE-VAR）架構來評估模型的配適度。我們依此模型來分析貨幣政策與總體審慎政策的福利意涵。研究結果顯示，考慮房價或國內貸款的利率政策，可以增進社會整體與個別成員的福利，而針對房價或國內貸款採取反景氣循環的貸款成數（loan-to-value）限制，亦可以達到柏拉圖改善的效果。除此之外，利率政策適切搭配貨款成數限制政策，則可以獲致較大的社會福利，並有效地維持金融穩定、降低通膨變化。然而，由於個別族群的異質性，需設計不同的政策組合，方能極大化不同族群的福利。

1. Chang, C. O.,Chen, M. C.,Teng, H. J.,Yang, C. Y.(2009).Is There a Housing Bubble in Taipei? Housing Price vs. Rent and Housing Price vs. Income.Journal of Housing Studies,18(2),1-22.
   連結：
2. Chen, N. K.,Cheng, H. L.(2012)。External Finance Premium, Taiwan’s Housing Market, and Business Fluctuations。Academia Economic Papers，40(3)，307-341。
   連結：
3. Huang, Y. J.,Chiang, Y. H.,Chang, C. O.(2017).Impact of Public Housing on Nearby Residential Property Values in Taipei City.Journal of City and Planning,44(3),277-302.
   連結：
4. Lee, C. C.,Liang, C. M.,Chou, H. J.(2008).Identifying Taiwan’s Real Estate Cycle Turning Points: Application of the Two-Variate Markov-Switching Autoregressive Model.Journal of Taiwan Land Research,11(2),155-177.
   連結：
5. Ma, Y. C.,Lin, V. C. C.(2009).Reconfirmation of the Turning Points of Real Estate Cycle Indicators in the Taiwan Real Estate Market: An Application of Markov-Switching Vector Auto-Regression Models.Journal of Housing Studies,18(1),23-37.
   連結：
6. Peng, C.-W.,Tsai, I.-C.(2017).The Effects of Demographic Structure Change on Housing Prices.Taiwan Economic Review,45(1),163-192.
   連結：
7. Peng, C.-W.,Tsai, I.-C.(2017).The Effects of Demographic Structure Change on Housing Prices.Taiwan Economic Review,45(1),163-192.
   連結：
8. Wu, C. S.,Chen, C. F.(2010)。An Analysis of the Credit Channels in Taiwan。Taiwan Economic Forecast and Policy，41(1)，121-153。
   連結：
9. Bahaj, S.,Foulis, A.,Pinter, G.(2016).CFM Discussion PaperCFM Discussion Paper,未出版
10. Bernanke, B. S.,Gertler, M.,Gilchrist, S.(1999).Chapter 21 The Financial Accelerator in a Quantitative Business Cycle Framework.Handbook of Macroeconomics,1(Part C),1341-1393.
11. Bernanke, B.,Gertler, M.(1989).Agency Costs, Net Worth, and Business Fluctuations.The American Economic Review,79(1),14-31.
12. Borio, C.(2003).BIS Working PapersBIS Working Papers,未出版
13. Calvo, G. A.(1983).Staggered Prices in a Utility Maximizing Framework.Journal of Monetary Economics,12(3),383-398.
14. Carlstrom, C. T.,Fuerst, T. S.(1997).Agency Costs, Net Worth, and Business Cycle Fluctuations: A Computable General Equilibrium Analysis.The American Economic Review,87(5),893-910.
15. Central Bank of the Republic of China (Taiwan)(2020).Introduction for Implementing LTV Ratio Policies in Singapore, South Korea, and Hong Kong.Taipei:Central Bank of the Republic of China.
16. Central Bank of the Republic of China (Taiwan)(2020).Minutes of the Monetary Policy Meeting.Taipei:Central Bank of the Republic of China.
17. Chaney, T.,Sraer, D.,Thesmar, D.(2010).The Collateral Channel: How Real Estate Shocks Affect Corporate Investment.The American Economic Review,102(6),2381-2409.
18. Chang, T. H.,Chu, H. P.(2016).Monetary Transmission in Taiwan.Quarterly Bulletin, Central Bank of the Republic of China (Taiwan),38(4),11-41.
19. Chen, N. K.(2001).Bank Net Worth, Asset Prices and Economic Activity.Journal of Monetary Economics,48,415-436.
20. Chen, N. K.,Wang, H. J.(2007).The Procyclical Leverage Effect of Collateral Value on Bank Loans-Evidence from the Transaction Data of Taiwan.Economic Inquiry,45(2),395-406.
21. Chow, H. K. and P. D. McNelis (2010), “Need Singapore Fear Floating? A DSGE-VAR Approach,” Working Paper, Research Collection School of Economics, Singapore Management University.
22. Chu, S. Y.(2018).Macroeconomic Policies and Housing Market in Taiwan.International Review of Economics and Finance,58,404-421.
23. Del Negro, M.,Schorfheide, F.,Smets, F.,Wouters, R.(2007).On the Fit of New Keynesian Models.Journal of Business & Economic Statistics,25(2),123-143.
24. Del Negro, M,Schorfheide, F.(2004).Priors from General Equilibrium Models for VARs.International Economic Review,45(2),643-673.
25. Dib, A.(2011).Monetary Policy in Estimated Models of Small Open and Closed Economies.Open Economies Review,22(5),769-796.
26. Eichengreen, B., R. Rajan, and E. Prasad (2011), “Central Banks Need a Bigger and Bolder Mandate,” Financial Times, October 24, 2011.
27. Fisher, I. (1933), “The Debt-Deflation Theory of Great Depressions,” Econometrica, 1(4), 337–357.
28. Gelain, P.,Ilbas, P.(2017).Monetary and Macroprudential Policies in an Estimated Model with Financial Intermediation.Journal of Economic Dynamics and Control,78,164-189.
29. Guerrieri, L.,Iacoviello, M.(2017).Collateral Constraints and Macroeconomic Asymmetries.Journal of Monetary Economics,90,28-49.
30. Hansen, L. P.,Heckman, J. J.(1996).The Empirical Foundations of Calibration.Journal of Economic Perspectives,10(1),87-104.
31. Ho, T. K.,Lai, C. C.(2016).A Silver Lifeboat, Not Silver Fetters: Why and How the Silver Standard Insulated China from the 1929 Great Depression.Journal of Applied Econometrics,31,403-419.
32. Hwang, Y. N.(2013).The Application for Monetary Policy in Taiwan: A Dynamic Stochastic General Equilibrium Framework.Quarterly Bulletin, Central Bank of the Republic of China (Taiwan),35(1),3-33.
33. Iacoviello, M.(2005).House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle.American Economic Review,95(3),739-764.
34. Kiyotaki, N.,Moore, J.(1997).Credit Cycles.Journal of Political Economy,105(2),211-248.
35. Kollmann, R.(2002).Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles.Journal of Monetary Economics,49,989-1015.
36. Lambertini, L.,Mendicino, C.,Punzi, M. T.(2013).Leaning against Boom-Bust Cycles in Credit and Housing Prices.Journal of Economic Dynamics & Control,37(8),1500-1522.
37. Li, T.-H.(2014)。Department of Economics, National Taiwan University。
38. Lim, G. C.,Mcnelis, P. D.(2012).Macroeconomic Volatility and Counterfactual Inflation: Targeting in Hong Kong.Pacific Economic Review,17(2),304-325.
39. Liu, Z.,Wang, P.,Zha, T.(2013).Land-Price Dynamics and Macroeconomic Fluctuations.Econometrica,81(3),1147-1184.
40. Medina, J. P.,Roldos, J.(2018).Monetary and Macroprudential Policies to Manage Capital ´Flows.International Journal of Central Banking,14(1),201-257.
41. Mendicino, C.,Punzi, M. T.(2014).House Prices, Capital Inflows and Macroprudential Policy.Journal of Banking and Finance,49,337-355.
42. Ogawa, K.,Kitasaka, S.-i.,Yamaoka, H.,Iwata, Y.(1996).Borrowing Constraints and the Role of Land Asset in Japanese Corporate Investment Decision.Journal of the Japanese and International Economies,10(2),122-149.
43. Rubio, M.,Carrasco-Gallego, J. A.(2015).Macroprudential and Monetary Policy Rules: A Welfare Analysis.The Manchester School,83(2),127-152.
44. Schmitt-Grohe, S.,Uribe, M.(2007).Optimal Simple and Implementable Monetary and Fiscal Rules.Journal of Monetary Economics,54(6),1702-1725.
45. Schmitt-Grohe, S.,Uribe, M.(2003).Closing Small Open Economy Models.Journal of International Economics,61,163-185.
46. Smets, F.,Wouters, R.(2007).Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach.The American Economic Review,97(3),586-606.
47. Teo, W. L.(2009).Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy.Pacific Economic Review,14(2),194-231.
48. Wang, H. J.,Chen, N. K.,Lin, T. Y.(2017)。The Effect of Loan-to-Value Ratio Policy on the Housing Market’s Price and Credit Expansion in Taiwan。Quarterly Bulletin, Central Bank of the Republic of China (Taiwan)，39(3)，5-40。
49. Wang, J. N.,Li, G. H.(2004)。The Empirical Analysis of Monetary Policy and Transmission Mechanism。Quarterly Bulletin, Central Bank of the Republic of China (Taiwan)，26(3)，17-56。

1. 林雪瑜,林大鈞(2023)。最低工資的分配效果。經濟論文，51(2)，155-194。
2. (2022).建構中大型DSGE-VAR模型－台灣中長期經濟成長率預測.中央銀行季刊,44(2),27-70.