台灣小型開放動態隨機一般均衡模型之預測評估

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李鍵亨(Jian-heng Li) 查詢紙本館藏

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經濟學系

論文名稱

台灣小型開放動態隨機一般均衡模型之預測評估
(The forecasting performance of a small open economy DSGE model-Taiwan Empirical study.)

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摘要(中)

動態隨機一般均衡模型，近年來被大量使用在政策分析上，然而對此模型的預測能力的評比卻稍顯缺乏。本文遵循Ghent(2009)的作法，比較三種具有個體基礎模型對台灣資料的估計及預測結果。作者發現，在對國外詮釋不夠周全時，容易低估市場的競爭程度，換句話說，與市場競爭程度相關之係數，容易出現錯誤判斷，例如，價格僵固係數和中間財廠商的加價能力在對國外詮釋不夠周全時，皆出現高估的情況。除了以上發現外，本文也針對上述三種模型的預測能力做評比，其結果皆顯示，動態隨機一般均衡模型相較於貝氏向量自我迴歸模型有較佳的預測能力，另一方面也發現，若能將國外詮釋得更周全，確實能改善模型對台灣總體變數的預測能力。

摘要(英)

Dynamic stochastic general equilibrium (DSGE) models have become standard tools for policy analysis in recently years. However, their forecasting properties have not been fully explored for Taiwanese economy. In this paper, we follow Ghent(2009) to compare the re-sults of estimation and prediction among three models with micro-foundations for Taiwa-nese data. Our study shows that the degree of market competition is underestimated; sticky price coefficient and the bargaining power of intermediate goods firm are overestimated when we do not consider the foreign sector completely. Moreover, we evaluate the fore-casting power of the three models and BVAR’s. We also find that the prediction power of the DSGE model with an open sector is the best.

關鍵字(中)

★ 預測評估
★ 動態隨機一般均衡
★ 小型開放

關鍵字(英)

★ small open
★ forecasting performance
★ dynamic stochastic general equilibrium

論文目次

第一章-前言 1
第二章-文獻回顧 3
動態隨機一般均衡模型之文獻回顧 3
模型比較之文獻回顧 5
第三章-模型部分 6
3-1實質景氣循環模型 6
3-1-1模型基本假設 6
3-1-2模型求解 8
3-1-3對數線性化 8
3-2 價格僵固模型 10
3-2-1模型基本假設 10
3-2-2模型求解 12
3-2-3對數線性化 13
3-3 小型開放模型 15
3-3-１模型基本假設 15
3-3-2模型求解 17
3-3-3對數線性化 18
第四章-實證結果 20
4-1事前分配(Prior distribution)之參數設定 20
4-2資料來源 21
4-3事後分配(Posterior distribution)之結果 21
4-4衝擊反應函數(impulse response functions, IRF) 23
4-5預測結果之評比 24
4-6變異數分解(Variance decomposition) 25
第五章-結論與建議 26
參考文獻 27
數學附錄 30

參考文獻

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陳旭昇(2007)時間序列分析-總體經濟與財務金融之應用

指導教授

姚睿(Ruey Yau)

審核日期

2010-7-14

推文