Financial Frictions and International Spillovers in a DSGE Model
2019/04/16
研討會日期 : 2019-04-16
時間 : 14:30
主講人 : Professor Shiou-Yen Chu (朱琇妍)
主持人 : Professor Hsuan-Chih Lin
地點 : Conference Room B110
演講者簡介 : Professor Chu received her Ph.D. in Economics from University of Missouri-Columbia in 2009. She is currently an Associate Professor at National Chung Cheng University. Her research fields are Monetary Economics, International Finance, Public Economics.
演講摘要 : This paper mimics a financial disturbance by imposing positive foreign bank capital shocks in a two-country dynamic stochastic general equilibrium (DSGE) model. Increasing foreign bank capital widens domestic credit spreads, produces current account deficits and appreciates domestic currency. The central bank in the domestic country conducts conventional policies by following a Taylor-type feedback rule and conducts unconventional policies by expanding asset purchases via a credit spread feedback rule to combat adverse shocks. Our model matches the volatility of credit spreads and bank reserves with the Fed in the U.S. during 2009Q2-2018Q1. The results indicate that unconventional policies are more effective than conventional policies in reducing domestic credit spreads, raising bank capital to assets ratios, and moderating the fall in domestic consumption and output. Our sensitivity analysis suggests that a higher regulatory bank capital-to-assets ratio requirement and lower adjustment costs of deviating from the regulatory bank capital-to-assets ratio help improve the effectiveness of unconventional policies.
