考量消息衝擊下的動態隨機一般均衡模型

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賴政澤(ZHENG-ZE LAI) 查詢紙本館藏

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論文名稱

考量消息衝擊下的動態隨機一般均衡模型
(On the news shocks in DSGE models)

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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, 得以對總體經濟變數提供更具理論基礎的分析。我們根據Traum and Yang (2011) 的模型, 在資本所得稅、勞動所得稅與投資具體技術等內生變數中,納入消息衝擊; 試圖了解當經濟個體所掌握的資訊集合因消息衝擊而擴展時, 個人最適經濟決策將如何變動, 並因而影響總體經濟的動態調整過程。結果發現, 當考量消息衝擊時, 衝擊反應函數將呈現一駝峰型態, 而非傳統的單調遞增遞減模式。

摘要(英)

We construct a medium-scale dynamic stochastic general equilibrium (DSGE) model in which news shocks on two distortionary taxes rules and investment-speciﬁc technology are considered. We ﬁnd that such anticipated shocks expand agents’ information set thus agents will take action preemptively before any tax policy act. The resulting impulse response functions display hump-shaped pattern that is diﬀerent from those to contemporaneous policy shocks.

關鍵字(中)

★ 動態隨機一般均衡模型
★ 消息衝擊
★ 財政遠見

關鍵字(英)

★ fiscal foresight
★ DSGE model
★ news shock

論文目次

Contents
1 Introduction 1
2 Literature Review 2
3 The Model 6
3.1 Household . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.2 Firms . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
3.2.1 Final goods sector . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
3.2.2 Intermediate goods sector . . . . . . . . . . . . . . . . . . . . . . . . 8
3.3 Fiscal Policy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
3.3.1 Government budget constraint . . . . . . . . . . . . . . . . . . . . . . 9
3.3.2 Rule of government expenditure and tax rule . . . . . . . . . . . . . . 10
3.3.3 Introduce News Shocks and determine the time horizon . . . . . . . . 10
3.4 Monetary policy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.5 Detrending . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
4 Dynamic analysis 14
4.1 Equilibrium system . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
4.2 Impulse Response Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
5 Conclusion 24
6 Reference 25
7 Derivations of Model Equations 33
7.1 Consumer’s Optimization Problem . . . . . . . . . . . . . . . . . . . . . . . 33
7.2 Firm’s Optimization Problem . . . . . . . . . . . . . . . . . . . . . . . . . . 34
7.2.1 Final good sector . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
7.2.2 Intermediate good sector . . . . . . . . . . . . . . . . . . . . . . . . . 35
8 Log-linearized model equations 36

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指導教授

姚睿(Rui,YAO)

審核日期

2012-7-27

推文