台灣動態隨機一般均衡模型之實證研究

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蔡依恬(Yi-tian Tsai) 查詢紙本館藏

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論文名稱

台灣動態隨機一般均衡模型之實證研究
(An Empirical Analysis of DSGE Model: The Case in Taiwan)

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摘要(中)

動態隨機一般均衡模型以個體最適化為基礎，對總體資料提供了完整的多變量隨機過程的分析。本篇以Smets and Wouters (2007)之模型衡量台灣總體經濟的景氣循環。模型以新興凱因斯學派為架構，同時包含Calvo (1983)家計單位的工資無法每期立即調整以及廠商訂定價格時存在僵固性。家計單位的效用函數中包含消費與勞動，消費中存在隨時間變動的外部習慣形成 (External habit variable)，其捕捉總體消費的持續性。最後模型中也額外加入7個隨機衝擊項企圖用以解釋景氣波動的來源。
　　結果發現台灣工資僵固平均大約為一年，價格僵固期間平均則高達兩年。而工資僵固期間也符合台灣企業以一年一聘之形式，契約到期後再調整工資之幅度。與其他文獻相比後，我們也發現台灣總體消費持續性是偏高的。

摘要(英)

Dynamic stochastic general equilibrium (DSGE) models are micro-founded optimization based models that provide a complete multivariate stochastic process representation for the data. This paper estimates the business cycle for Taiwan macroeconomics following Smets and Wouters (2007). DSGE builds on the New-Keynesian models. The model exhibits both sticky nominal prices and wages that adiust following Calvo (1983). Households utility function with two arguments (goods and labor). Consumption appears in the utility function relative to a time-varying external habit variable to capture the macro-consumption persistence. Finally, the model added seven structural shocks to explain the business cycles.
The results find the average duration of wages is almost one year; whereas the average duration of prices is about two years. The average duration of wages conform the Taiwan business wage contracts. Finally, we also find Taiwan macro-consumption have high persistence.

關鍵字(中)

★ 動態隨機一般均衡模型
★ 消費習慣形成
★ 工資僵固
★ 價格僵固

關鍵字(英)

★ Habit Variable
★ DSGE
★ Wage and Price stickiness

論文目次

目錄
中文摘要………………………………………………………………I
英文摘要………………………………………………………………II
致謝……………………………………………………………………III
目錄……………………………………………………………………IV
表目錄…………………………………………………………………V
圖目錄…………………………………………………………………V
一.前言.................................................1
二.文獻回顧………………………………………………………… 3
2.1國外文獻…………………………………………………… 3
2.2台灣文獻………………………………………………………6
三.理論模型………………………………………………………… 7
四.實證方法………………………………………………………… 13
4.1貝氏估計..........................................13
4.2資料來源及處理………………………………………………14
4.3參數先驗分配的設定…………………………………………14
五.實證結果………………………………………………………… 17
5.1參數後驗估計結果……………………………………………17
5.2衝擊反應函數分析……………………………………………19
5.3變異數分解……………………………………………………21
5.3.1與文獻比較同樣本期間的衝擊影響………………… 22
5.3.2兩個子樣本期間的衝擊影響………………………… 22
六.結論與未來研究方向…………………………………………… 25
6.1結論……………………………………………………………25
6.2未來研究方向…………………………………………………27
參考文獻………………………………………………………………42

參考文獻

參考文獻
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指導教授

徐之強(Chih-Chiang Hsu)

審核日期

2009-7-7

推文