2018-01-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/700938摘要：2008金融海嘯以來，資產市場的不完全性與金融市場的脆弱性受到了廣泛的關注。這個計畫探討資產市場搜尋摩擦 (search friction) 及有限承諾 (limitedcommitment) 對資本市場波動之影響。本文提出一個新的動態資產市場模型，其中投資者可以資產擔保進行融資，若投資者違約，資產將清算至資產市場。資產市場的搜尋摩擦導致資產清算之延遲，減低了資產做為抵押品的價值，因而導致資產折價 (haircuts)，影響了投資者的借款能力。再者，投資人的借款上限決定了違約率，因而並影響了市場上待售資產的數量，以及資產清算的容易度。一個預期外的衝擊將首先降低資產價格以及借款上限，導致投資人同步違約，而資產清算將導致資產價格下並進一步降低借款上限。此一內生的反饋循環導致了短期的過度反應(overshooting) 效果，並造成了金融市場脆弱性。本文並討論有限承諾對資產市場的不對稱效果，負向的衝擊將導致投資人違約而有較為顯著的過度反應，但正向的衝擊僅增加投資人的借款上限而沒有違約效果，因此對金融市場的影響較為緩和。此外，這個模型亦隱含較大資產市場搜尋摩擦將延長市場上資產清算的過程，稀釋了資產供給的衝擊，從而減緩了資產市場的過度反應效果。<br> Abstract: In this paper, I propose a dynamic model to investigate the interaction between asset market search friction and investor`s default. The project aims to facilitate the understanding of financial market fragility, especially the slump and recovery of repo markets during the financial crisis of 2008. The model reveals a feedback loop between asset market liquidity and borrowing limit. When an unanticipated shock on the market liquidity occurs, the increase in haircuts decreases the borrowing limits and causes a massive default. The firesale of assets further decreases the liquidity of the asset market, and the impact generates repo run and overshooting in asset prices. Whereas, the impact of aggregate shocks is asymmetric. A positive market liquidity shock extends the borrowing limit, and thus, only increases the asset prices gradually. Moreover, the search frictions prolong the liquidation process and dilute the fire sale effect, and thus, the overshooting effects are less significant in a market with smaller frictions. Finally, we also consider anticipated shocks and demonstrate an increase in repo spread caused by the concerns about asset market illiquidity.搜尋摩擦有限承諾資本市場動態Financial market frictionsLimited commitmentRepo contractMonetary policy