本文的研究目的為，在一個含有房屋及房屋相關貸款的動態隨機一般均衡模型的架構中，比較貨幣政策、財政政策以及總體審慎政策對於房屋價格及房屋相關貸款的穩定效果。本文建構一個經濟封閉體系，其中包含三種不同家計單位、商品生產部門、房屋建商、資本生產部門，並且由政府部門制定相關政策；此模型的特色為，不同家計單位中的借貸行為、名目價格僵固性以及透過房屋價格抵押貸款的限制來刻劃金融摩擦。我們考慮了一般緊縮貨幣政策、提高財產稅率以及緊縮貸款價值比；本文發現，在三種政策中，對於抑制房屋價格以及降低住房貸款對國內生產毛額的比例，財政政策及總體審慎政策比起緊縮貨幣政策擁有較好的效果。 / The main purpose in this paper is to compare the effect of monetary policy, fiscal policy and macroprudential policy on housing price and housing related loans using a micro-based dynamic stochastic general equilibrium (DSGE) model with housing and housing related loans. We equip a closed economy model with three types of infinitely-lived households (patient households, impatient households and renters), a goods firm, housing and capital producer and a government sector. The model features borrowing and lending between patient and impatient households, nominal rigidity in goods price and financial friction in the form of collateral constraints tied to price of house. We consider the contractionary monetary policy by raising the interest rate, fiscal policy by increasing property tax rate and the macroprudential policy through tightening the loan-to-value (LTV) ratio. We find that among these three policies, in terms of dampening the price of housing and lowering the loan-to-GDP ratio, raising the property tax and lowering the LTV ratio outperforms the contractionary monetary policy.

本論文目的在於探討「異質期望」(heterogeneous expectations)、「資訊密度」(information arrival intensity)、以及「跳躍風險」(jump risk) 這些因素對於期貨價格的影響，並且透由「跨期模型」(intertemporal models) 的建立，推導出具有封閉解形式的期貨價格理論公式。 誠如 Harrison and Kreps (1978) 所言：除非所有市場參與者的行為方式完全相同、而且他們都打算抱著股票直到永遠，否則「投機交易」(speculation transactions) 與「異質期望」就不可能自市場當中滅絕。有鑑於此，本論文在第二章中討論「異質期望」對於期貨價格的影響；同時為了反映交易者看法可能會隨時間演進而發生改變的可能性，「調整效果」(adjustment effects) 是本章另一個討論重點；第三、為了區別期貨契約與遠期契約的基本差異，「利率」這個隨機因子也被納入模型當中。由「部分均衡」(partial equilibrium) 觀點下具有封閉解形式的期貨價格公式來觀察，這三個重要因素以及彼此間存在著的複雜交互作用，可以協助解釋一些實證現象與重要變數之間的關係。 第三章主要是借用Clark (1973) 與Chang et al. (1988) 「資訊時間」(information time) 的概念，取代一般模型所使用的「日曆時間」(calendar time) 設定方法，並且額外納入「利率」與「便利所得」(convenience yield) 這兩個廣為一般期貨定價文獻所認定的重要隨機因素，推導出「部分均衡」觀點下的期貨價格封閉解。根據1998/7/21 至 2003/12/31 台灣期交所「台灣證券交易所總加權股價指數期貨」的實證結果來看，本章模型的定價績效不僅勝過「持有成本模型」(the cost of carry model)，也比同時考慮「利率」與「便利所得」兩個隨機因子的「日曆時間」模型要來的好。 第四章則是嘗試結合Hemler and Longstaff (1991) 的「無偏好模型」(preference-free model) 以及Merton (1976) 的「跳躍」(jumps) 設定，重新推導「一般均衡」(general equilibrium) 模型下、考慮「跳躍風險」(jump risk) 後的期貨價格封閉解。根據本章各種比較靜態與模擬分析的結果顯示，整個經濟體系或是「狀態變數」(state variables) 的安定程度，決定了市場變數間的關係；另一方面，這些關聯會因為「跳躍風險」規模的遞增 — 不管是肇因於「發生機率」(occurring probability) 或是「衝擊效果」(impulse effect) — 而變的更加不可預測。 / The dissertation contains three essays on intertemporal futures pricing models allowing for heterogeneous expectations, information-time based setting, and jump risk. As Harrison and Kreps (1978) have noted, unless traders are all identical and obliged to hold a stock forever, speculation would not extinguish in market, and heterogeneity in expectations yields whereby. The first essay develops intertemporal futures pricing formulas accounting for such reality, adjustment effect, and stochastic interest rate in a partial-equilibrium sense. The closed-form solutions show that the three factors complicated with each others can help to explain some existing empirics on relationships between futures prices and other important market variables such as indeterminate converging pattern. The second essay extends Chang et al. (1988) option pricing model to derive futures prices with information-time based processes. Stochastic interest rate and convenience yield are also taken into account to derive closed-form formulas. According to empirical results of transaction data of TAIEX index and its corresponding TFETX futures contract through 1998/7/21 to 2003/12/31, the analytic solution performs better than the cost of carry model and its calendar-time based counterpart, especially when information arrival intensity estimates become larger. The last essay combines Hemler and Longstaff’s (1991) preference-free model and Merton’s (1976) jump setting to measure effects from jump risk and a futures pricing formula is derived in its closed-form as well. According to miscellaneous comparative static and simulation results, the bounded degrees of state variables, or economy, affect co-varying extents among variables, while the increasing jump risk, including the size of occurring probability and its corresponding impulse effect, makes them un-tractable.

中央銀行政策透明度影響總體經濟的議題在近日漸受重視。以美國為例，2008年房貸嚴重違約，高順位債權受到波及，使多數金融業產生營運危機，讓聯邦準備銀行 (Fed) 政策執行受到關注。晚近貨幣當局的政策透明度漸受重視。貨幣政策應如何選定才能使總體經濟達到較高的社會福利？Cukierman在2002年指出中央銀行的透明度低易造成較高的物價膨脹。本研究以動態一般性均衡模型 (dynamic stochastic general equilibrium) ，建構新凱因斯小型開放總體模型。模型內含一定程度的價格僵固，並且擁有前瞻預期 (forward looking) 及後顧預期 (backward looking) 兩種型態的廠商存在其中。再採用貝氏方法估計台灣在該模型所應採用的參數後，並嘗試對體系內多個部門投入衝擊，然後檢視央行的政策透明度對總體經濟的影響，同時驗證是否支持Cukierman的結論。本研究印證Cukierman的結論，發現央行在操作貨幣政策面臨兩難時，不應採取透明度低的政策法則，而應優先針對物價的不穩定做出因應對策。 / Recently, people pay attention to central bank’s policy transparency, and most countries’ central banks have accepted the suggestion made by the Bank for International Settlements to adopt transparent monetary policy. Cukierman (2002) concluded that if the central bank’s policy was not transparency, it would cause higher inflation. The thesis will utilizes dynamic stochastic general equilibrium model with New Keynesian concept proposed by Gali and Monacelli (2005) to analyze the effects of transparent monetary policy and to classify the macroeconomic different effects between transparent and hazy monetary policy. The conclusions support that higher monetary policy transparency will reduce social welfare loss, lower the volatility of inflation and output gap.

本研究建構一社會網路互動下的新凱因斯動態隨機一般均衡模型，探討效用基礎下波茲曼分配背後的網路結構，以及，社會網路對新凱因斯動態隨機一般均衡模型參數的影響。根據本論文模擬結果，效用基礎下波茲曼分配背後所隱含的社會網路結構呈現局部區域性連結拓璞，此結論與熱力學對波茲曼分配中粒子互動方式的假設相同，然而，區域性連結之網路結構（如環狀網）並非目前實證研究所觀察到的網路型態（如冪分布網路或高群集係數之小世界網路），故吾人是否得以直接利用效用基礎下波茲曼分配來描述社會上人與人之間的互動現象必需更忱慎考量之。另外，社會網路互動也將使新凱因斯動態隨機一般均衡模型之參數估計產生偏誤，依本研究估計結果觀之，只要加入社會互動，總合需求曲線中實質利率之參數估計將為正號，即實質利率對產出缺口的影響為負向影響，也就是文獻上的投資儲蓄迷思(IS puzzle)，若進一步觀察社會網路結構對該實證迷思的影響則可發現當社會網路群聚程度越高時，該估計偏誤將越嚴重。 / We construct a social network-based New Keynesian DSGE (Dynamic Stochastic General Equilibrium) Model to investigate the underlying social network structure derived from the performance-based Boltzmann-Gibbs model, and thus interpret the process that social network structures affect the estimation bias in the New Keynesian DSGE framework. According to our simulation results, the underlying social network structure derived from the performance-based Boltzmann-Gibbs model should be local. This finding is consistent with the study of thermodynamics, which the Boltzmann-Gibbs distribution is based upon, i.e. the local interaction. However, it contradicts not only the purpose of combining the performance-based Boltzmann-Gibbs machine and New Keynesian DSGE model, but also empirical studies of social network structures in the real world. Accordingly, maybe we have to consider further whether the performance-based Boltzmann-Gibbs machine is a suitable tool for calibrating social interaction under the stylized New Keynesian DSGE framework. Furthermore, if we embedded interaction behavior in the stylized New Keynesian model, the so-called “IS Puzzle” can be consequently observed. We also realized that “IS Puzzle” is connected with network structures. The more clustering the network structure is, the more significant “IS Puzzle” would be.

有鑑於歐洲各國的福利政策與福利支出相較於其他國家高，歐洲國家多會提供窮困與殘障的人民最基本的社會保障，一般人民亦可享受到基礎醫療保障，在失業時也可以領取失業補助；歐洲各政府甚至會收購即將倒閉的企業或者提供補助使企業能夠繼續經營。然而在持續延燒的歐債危機下，為維持歐元區普遍的薪資和福利水平，歐元區內國家開始採取了國家借貸的做法，但由於國際經濟形勢不佳，歐元區經濟增量未達預期，許多國家原有債券陸續到期，若無法借到新貸款，國家將面臨倒閉危機。因此本論文主要以動態隨機一般均衡模型(DSGE)，探討一個封閉經濟體系下，政府支出進入家計單位效用函數後，換言之政府支出變動將會影響家計單位消費的邊際效用，試著尋找能夠極大化社會福利的政府公債占國內生產毛額的最適比例。我們發現在提高政府公債占國內生產毛額比例時：家計單位將預期未來稅賦繳納之金額更高，因而減少消費、增加儲蓄，所以會排擠掉部分私人消費；同時政府必須提撥部分費用以支付債券利息，所以將排擠掉部分政府支出。另外隨政府公債占國內生產毛額比率上升，整體社會福利水準會逐漸下降；因此，我們認為最適政府公債占國內生產毛額比率應為零。 關鍵字：動態隨機一般均衡模型、政府支出、邊際效用、公債、國內生產毛額、社會福利水準 / In Euro zone, large spending obligations needed to support the welfare state and redistribute wealth in an effort to gain greater equality. Most European countries provide liberal social security benefits to the poor, disabled, basic medical needs and very liberal unemployment benefits. They also own and run large public companies. Under the ongoing Euro debt crisis, European governments figure out the way to maintain the high welfare level by increasing the public debt they hold. In our paper, we would like to investigate the optimal ratio of public debt to GDP by constructing a micro-based dynamic stochastic general equilibrium model (DSGE) under a closed economy. We focus on discussing the optimal ratio of public debt to GDP which maximizes social welfare in economy while putting the government expenditure into households’ utility. That is to say, the government expenditure will influence the marginal utilities of households. We find out that as a government decides to raise the debt to GDP ratio; it will crowd out both private consumption and government expenditure. Because households will expect to pay more tax in the future, they will decrease their consumption and increase their saving; high debt ratio means government should have paid more interest payment in the future. Also as the ratio of public debt to GDP rises, the social welfare becomes lower. Thus, in our findings, the optimal debt ratio to GDP should be 0. Keywords: DSGE, Government expenditure, Marginal utility, Public debt, GDP, Social welfare

本文建構代理人基之社會網路新凱因動態隨機一般均衡模型(Social Network-Based DSGE model)，並分別使用權衡性門檻型泰勒法則與一般線型泰勒法則作為代理人基之社會網路新凱因斯動態一般均衡模型中的貨幣政策方程式，模擬產出缺口、通貨膨脹、利率等總體經濟變數資料，接著利用模擬資料，探討不同網路結構對產出缺口、通貨膨脹等總體經濟變數的影響，同時比較權衡性貨幣政策與法則性貨幣政策穩定經濟的有效性。 　　透過產出缺口與通貨膨脹的波動性分析，本研究發現某些特定社會網路結構的影響力大於貨幣政策的影響力，決定了經濟變數的波動程度。在完全連結網路(Fully)的結構下，通貨膨脹與產出缺口的波動度明顯低於其他結構，而無標度網路(Scalefree)的結構會使產出與通膨的波動程度最大。經過驗證，本研究發現群聚度大、平均路徑短的網路結構內節點之間資訊流通速度較快，對穩定經濟有正面助益；相反的，由於無標度網路強大的中心性，使該網路內指標性節點對其餘節點具有龐大影響力，增加節點內決策的不確定性，連帶造成經濟的大幅波動。另外，在相同的網路結構下比較權衡與法則貨幣政策，研究結果指出權衡性政策會造成較大的產出缺口波動，但對抑制通貨膨脹波動的效果較佳；相對的，法則性政策對產出缺口的穩定效果較好，但卻無法兼顧通貨膨脹的波動性。 / We construct an agent-based New Keynesian DSGE model (Dynamic Stochastic General Equilibrium) with different social network structures to investigate the effects of the rule and discretion monetary policy. According to our simulation results, we find the economic stability depends on the specific social network structure rather than the monetary policy basis like rule and discretion. Generally speaking, the more average path length (the less average clustering coefficient) the network structure is, the more economic fluctuation would be. Also, the results show that scalefree network will lead the most dramatic economic fluctuations. These results are ascribed to scale -free’s high centrality. However, if the social network structure is too complicate to control, the central banker can only manipulate the monetary policy to stabilize the economy. With different policy basis, we find the rule monetary policy will lead less output gap volatility.

本文的研究目的為，在一個包含銀行部門的動態隨機一般均衡模型的架構中，探討流動性覆蓋比率限制在利率的信用管道中所扮演的角色以及其對政體經濟的影響為何。在銀行的資產配置決策內生的情形下，加入流動性覆蓋比率的限制，透過放款的勞動成本與抵押品價值來刻畫金融摩擦；本文發現當經濟體系遭受生產與放款的外生衝擊時，流動性覆蓋比率的限制會增強政策利率的信用管道效果，並且相較於無流動性覆蓋比率限制之模型而言，具流動性覆蓋比率限制的模型，其銀行資產配置的變動幅度與金融摩擦的程度皆較大。 / The main purpose of this paper is to explore the role of the liquidity coverage ratio (LCR) in the credit channel and how it influences the overall economy in a dynamic stochastic general equilibrium (DSGE) model with banking sector. Commercial banks endogenously choose their optimal portfolio of assets under the liquidity coverage ratio restriction. On the other hand, we describe the financial friction through the labor cost of making loans and collateral value. We find that when the economy is exposed to exogenous shocks in production and lending, the liquidity coverage ratio will enhance the effect of credit channel. Compared with the model with no LCR restriction, the degree of change of the bank asset allocation and the financial friction are larger in the model with LCR restriction.

京都大学 / 新制・課程博士 / 博士(工学) / 甲第25271号 / 工博第5230号 / 京都大学大学院工学研究科都市環境工学専攻 / (主査)教授 藤森 真一郎, 教授 高岡 昌輝, 教授 亀田 貴之 / 学位規則第4条第1項該当 / Doctor of Philosophy (Engineering) / Kyoto University / DFAM

中國大陸自「改革開放」以來，在經濟體制和結構上有著急遽的轉變，同時，海峽兩岸的經貿互動與依存程度也愈來愈高。因此，能有效分析中國大陸經濟情勢的政策模型，對於台灣與中國大陸的政策制定者與政策研究分析者而言皆十分重要。可計算一般均衡（Computable General Equilibrium，CGE）模型由於在數據需求的較大彈性及模型結構上的特性，成為中國大陸現今重要的經濟政策模型之一，本研究的目的在於考察、分析中國大陸可計算一般均衡（CGE）模型的研發背景、發展歷程、建模過程、主要政策應用方向及研究結果。 　　本研究的內容及流程如后：（1）依「歷史研究」、「調查研究」來歸納、分析中國大陸經濟學研究的發展歷程，以及中國大陸可計算一般均衡（CGE）模型的發展歷程；（2）接著依「文獻研究」來分析、分類本研究所蒐集的中國大陸可計算一般均衡（CGE）模型實證文獻（1978年－1998年）；（3）接著依「理論研究」來歸納、分析出可計算一般均衡（CGE）模型的發展、基本結構、數據基礎與建模（Modeling）；（4）以「可計算一般均衡」（CGE）方法，先依據最新的「1995年度中國投入產出表」，編制出兩張：「中國大陸1995年社會會計矩陣」、「中國大陸1995年金融社會會計矩陣」為模型數據基礎，然後應用中國大陸所研發的兩個可計算一般均衡（CGE）模型（「中國大陸經濟-環境可計算一般均衡模型」、「中國大陸金融可計算一般均衡模型」）的主要結構和方程式，以說明中國大陸可計算一般均衡（CGE）模型的建模過程和政策應用方向及模擬結果。 　　本研究的研究結果如后：（1）中國大陸經濟學研究的發展、實際經濟情況變化和政策制定需要，導致中國大陸可計算一般均衡（CGE）模型在「改革開放」後的發展可分為「啟蒙研發」和「政策應用」兩個階段；（2）將中國大陸可計算一般均衡（CGE）模型實證文獻（1978年－1998年）有系統地分類出「貿易政策問題」、「能源和環境政策問題」、「財政和稅收問題」、「經濟改革和發展策略問題」、「外來衝擊問題」、「貨幣金融問題」、「社會保險問題」等七類實證文獻；（3）應用兩個中國大陸研發的可計算一般均衡（CGE）模型，來說明建模（Modeling）與數據編制的過程，並延續、拓展相關的政策模擬研究，分析了環境政策（「綠色導向能源政策」，Green-Oriented Energy Policy：2000年－2015年）與匯率政策（「管理浮動匯率政策」，Managed Floating Exchange Rate Policy：1998年）對中國大陸經濟體的影響。 謝 詞 ii 中文提要 iv 英文提要 vi 中文目次 viii 英文目次 ix 表 次 x 圖 次 xi 1. 緒 論 1 1.1 研究動機 1 1.2 研究目的 3 1.3 研究流程與內容 4 2. 文獻探討 5 2.1 中國大陸經濟學研究的發展歷程 5 2.2 中國大陸可計算一般均衡模型的發展 11 2.3 中國大陸可計算一般均衡模型實證文獻回顧 20 3. 可計算一般均衡模型的發展、基本結構、數據基礎與建模 32 3.1 可計算一般均衡模型的概念與發展 32 3.2 可計算一般均衡模型的一般性基本結構 36 3.3 可計算一般均衡模型的數據基礎與校準 40 3.4 可計算一般均衡模型的計算機求解與建模過程 42 4. 中國大陸可計算一般模型之應用（1）─中國大陸經濟-環境可計算一般均衡模型 45 4.1 模型的基本結構 45 4.2 模型方程式 49 4.3 模型的數據基礎與校準 57 4.4 政策應用-中國大陸宏觀調控下環境政策之一般均衡分析 61 5. 中國大陸可計算一般模型之應用（II）─中國大陸金融可計算一般均衡模型 69 5.1 模型的基本結構 69 5.2 模型方程式 71 5.3 模型的數據基礎與校準 73 5.4 政策應用-中國大陸匯率政策之一般均衡分析 78 6. 結 論 83 6.1 本研究主要貢獻 83 6.2 研究限制與建議 84 6.3 後續研究建議 85 參考文獻 86 附錄1. 94 附錄2. 103 / Both the system and structure of Chinese economy have been changed rapidly since the launch of "economic reform and opening to the outside" in Mainland China, and the economic interaction and trade interdependence between Taiwan and Mainland China are intenser and closer. Effective policy analysis models for Chinese economy is very important to the policy makers and policy analysis researcher both in Taiwan and Mainland China. The Computable General Equilibrium （CGE） model has become one of the most important economic policy analysis model because of its characteristic of higher flexibility on benchmark data and structure. The purpose of this study is to review, investigate and analyze the developmental background, developmental progress, modeling procedure, policy simulations and research results. 　　The brief contents and procedure of this study consist of （1） reviewing on the development of economic research in mainland China and CGE modeling for Chinese economy, （2） reviewing on the literature of CGE models for Chinese economy used on Policy Analysis（1978－1998）, （3） reviewing on the development, basic structure, benchmark data and modeling of CGE model, （4） constructing two Chinese Social Accounting Matrix （SAM） tables developed from the most recent 1995 Chinese Input-Output table to be the benchmark data of two CGE models, the "Chinese Economic-Environmental CGE model" and the "Chinese Financial CGE model", which are developed from Chinese government and researchers, and we revise them in this study,（5） applying those two models to show and illustrate the modeling procedure and results of policy simulations of CGE models for Chinese economy. 　　In conclusion and contribution, it is composed of three parts. （1） The development of CGE model in Mainland China can be divided into two ages, "The Beginning"（1978－1991） and "The Take-off"（1992－）, which results from the development of economic research in Mainland China, the rapidly changed economic system and structure of Chinese economy, and government's urgent demands for policy-analysis tools. （2） The literature of CGE models for Chinese economy used on policy analysis from 1978 to 1998 can be classified into seven groups－ trade policy, energy and environmental policies, public finance and tax reform policies, economic reform and development strategy, external shocks, monetary and financial policies, and social insurance policy. （3） We apply those two CGE models for Chinese economy to analyze the economic and environmental impacts of environmental policy－ " Green-Oriented Energy Policy"（2000－2015） and the economic impacts of the " Managed Floating Exchange Rate Policy"（1998）.

科学研究費補助金 研究種目:一般研究(C) 課題番号:06630020 研究代表者:江崎 光男 研究期間:1994-1995年度 Discussion Paper No.41 中国経済のインフレーションと価格競争力 江崎光男･伊藤正一･王名･板倉健 1996年3月を含む