考慮政府投資外部性之動態隨機一般均衡模型

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宋國修(Kuo-Hsiu Sung) 查詢紙本館藏

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經濟學系

論文名稱

考慮政府投資外部性之動態隨機一般均衡模型
(A Dynamic Stochastic General Equilibrium Model with Government Investment Externality)

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摘要(中)

本文以Ghent (2009) 之模型架構為基礎, 將模型導入政府投資外部性設定,
試圖建構一「考慮政府投資外部性之動態隨機一般均衡模型(Dynamic Stochastic General Equilibrium, DSGE)」, 透過與「傳統實質景氣循環模型」與「價格僵固模型」進行三者模型比較, 藉此衡量政府投資外部性設定之合理性與分析對台灣總體經濟之影響。本文結構參數估計以台灣1981年第一季至2007年第四季的實證資料為基礎而進行貝式估計所求得, 結果發現「考慮政府投資外部性之動態隨機一般均衡模型」在三模型間具有最佳模型設定合理性以及較佳樣本外預測能力。而景氣循環波動除了由投資特定技術衝擊與貨幣供給衝擊所主導外,政府投資衝擊也具有一定的影響能力。在結構參數估計結果得到政府投資支出確實會造成生產外部性, 而估計結果得到公共資本產出份額約為17%。

摘要(英)

This paper develops and estimates a dynamic stochastic general equilibrium(DSGE) model with government investment externality for the Taiwanese economy. The model is based on Ghent (2009) and takes into account productive government investment. We compare a DSGE model with a real business cycle model and a DSGE model without government investment externality. We nd that the model with government investment externality is reasonable and has the best sample forecasting ability among three models. The estimated parameter implies the public capital share of output about is 17%.

關鍵字(中)

★ 公共資本產出份額
★ 動態隨機一般均衡模型
★ 政府投資外部性

關鍵字(英)

★ the public capital share of output
★ government investment externality
★ Dynamic Stochastic General Equilibrium (DSGE)

論文目次

目錄
第一章緒論 1
第二章文獻回顧與研究架構 3
第三章理論模型 6
第一節傳統實質景氣循環模型 6
第二節價格僵固模型 10
第三節考慮政府投資外部性之動態隨機一般均衡模型 15
第四章實證分析 17
第一節資料來源與處理 17
第二節事前分配設定 17
第三節參數估計結果 18
第四節變異數分解分析 22
第五節衝擊反應函數分析 24
第六節模型比較 25
第五章結論28
參考文獻29
數學附錄-傳統實質景氣循環模型 47
數學附錄-考慮政府投資外部性模型 51

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指導教授

姚睿(Ruey Yau)

審核日期

2010-7-13

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