住宅本身特性和鄰里環境為影響住宅價格價格高低之主要因素，環境特徵通因素常透過公共設施反映，設施越完善表示鄰里生活機能及可及性越高，產生正面效應使得住宅價格提升；鄰避設施產生的負面外部性導致居住品質下降，造成住宅價格降低。然現有文獻多數偏向針對特定的公共設施類型分析，相對少見到同時針對多樣設施進行全面性研究，缺乏生活設施面向的實證及設施服務水準衡量。 本研究運用特徵價格理論結合地理資訊系統，界定多項重大設施與生活設施；以等級衡量生活設施服務水準，並建構最小平方及分量迴歸模型自動分群探討設施之量增趨勢對住宅總價影響，以對設施作全面性研究。本研究採用臺北市2011年7月至2015年9月不動產交易實價登錄樣本與設施資料為對象。實證結果顯示，住宅總價主要受交通便利性和開放空間效益影響，生活設施水準對總價為正向影響，顯示生活機能具有正面效益。設施影響係數依序為捷運站0.0774、主題公園0.0307、餐飲0.0283、大專院校0.0219、大型醫院0.0193、殯葬設施-0.0190、學校0.0124、市場0.0057、鄰里公園0.0042及便利商店-0.0018。本研究進而探討不同總價下的設施影響效果發現，隨著住宅總價從低到高，各項生活設施的影響下降，低總價住宅主要受到生活機能和開放空間等鄰里環境影響，設施的便利性大於可及性效益；高總價住宅以負面外部性、文教及開放空間效益和就醫便利為主要影響，設施的便利效益不顯著。 / House pricing is strongly affected by its characteristics and neighborhood environment. Neighborhood characteristics are usually reflected by public facilities. The better the facilities are, the higher quality and convenience of the life results in a positive effect on housing price. The negative externalities of the NIMBY (not-in-my-back-yard) facilities lead to a decline in the quality of living and a reduction in housing prices. However, most of the existing literatures tend to focus on specific types of public facility. In this paper, more detailed study on the effects of overall facilities is proposed. In this research, the overall influence of facilities service level on house pricing is the focus. The proposed regression models are based on Hedonic price theory combined with geographic information system (GIS) to automatically cluster (or quantize) the facility numbers. The clustering is used for evaluating the relationships between facility number and housing price. Those overall facilities are categorized into two groups, important and community facilities. The provided different service levels of community facilities are defined. The real estate sales database in Taipei City from July 2012 to Sept. 2015 along with facilities is used for the evaluations. The evaluated results show that the total price is mainly affected by the convenience of transport and open space benefits, the service levels of community facilities have a positive effect. The impacts of the facilities are in the order of MRT, theme parks, restaurants, Universities, large hospitals, funeral facilities, schools, markets, neighborhood parks and convenience stores. Theme parks, the service level of community facilities and universities have higher impacts on those low-priced property while. funeral facilities, theme parks and large hospitals have higher impacts on high-priced one. One more finding is that the impacts of the service level of community facilities has declined with the increase in total housing prices. Low-priced property is mainly affected by the neighborhood environment and open space because facilities convenience is greater than the accessibility. High-priced property is mainly affected by the negative externalities, education, open space and access to medical care.

開放性與通貨膨脹之間的關係一直是總體經濟學中重要的議題。Romer (1993) 使用 Kydland and Prescott (1977) 和 Barro and Gordan (1983) 的模型進行分析，發現開放性增加會使的降低背離法則的誘因。本篇論文使用 Galvao (2008), Galvao and Montes-Rojas (2009), 和 Harding and Lamarche (2009) 的追蹤資料工具變數分量回歸模型進行分析，同時也以實證分析開放性和犧牲比率之間的關係。在考慮的開放性的內生性之後，我們發現在通膨越高的國家其開放性的影響越大，動態不一致性也越嚴重。 / The relationship between openness and inflation is an important issue in macroeconomics. Romer (1993) uses the models of Kydland and Prescott (1977) and Barro and Gordan (1983) to argue that greater openness will reduce the policymakers' incentive to deviate from the rule. Cukierman, Webb, and Neyapti (1992) and Romer (1993) have an idea that countries with less political stability have a higher probability to violate the pre-committed monetary policies. In addition, as proposed by Romer (1993), the openness may be endogenous when analyzing the relationship between openness and inflation. Thus, we apply instrumental variable quantile regression for panel data proposed by Galvao (2008), Galvao and Montes-Rojas (2009), and Harding and Lamarche (2009) to test whether or not the negative effects of openness is stronger when inflation is higher. We also do the empirical work between openness and the sacrifice ratio to test the mechanism that openness affects inflation established by Romer (1993). After dealing with the potential endogeneity of openness, we find that when the inflation is higher the negative effect of openness is stronger. As the argument of Romer (1993), our empirical results show that the time inconsistency problem is more serious in countries with higher inflation. But our empirical results show that the effect of openness on the sacrifice ratio is positive which is different from the mechanism established by Romer (1993).

經濟理論認為，長期持續的財政赤字將會因貨幣融通而造成通貨膨脹，而且通膨越高的經濟體越容易受到赤字的影響。本文依照Catao and Terrones (2005)的理論模型，以狹義貨幣衡量財政赤字的規模，並據此檢驗1960到2006年間91個國家赤字與通貨膨脹的關係。本文使用Lin (2010)的分量迴歸方法，藉以估計在不同通膨水準下赤字的影響，並且允許兩者之間的動態調整。實證結果發現：當通膨越高，赤字造成的影響將越嚴重；若通膨在低水準，赤字則影響很弱、甚至不會造成任何影響。因此，當通膨越高的時候，維持財政紀律將越能有效達成物價穩定。這層赤字與通膨間關係不會因為考量了其他變數而有所改變。此外，赤字通常在開發中國家影響較強，尤其是在高通膨的時候。最後，在1990到2006年間，卻沒有發現赤字具有任何的通膨效果。 / In economic theory, sustained fiscal deficits might cause inflation by means of money creation, and the economy in a higher inflation level would be more strongly impacted by an increase in deficits. Following the theoretical model of Cat\~{a}o and Terrones (2005), I scaled fiscal deficits by narrow money stock and examined the deficit-inflation relationship in 91 countries from 1960 to 2006. A dynamic panel quantile regression of Lin (2010) was employed, which can estimate the impact of fiscal deficits at various inflation levels and allows for a dynamic adjustment. The empirical results show that fiscal deficits will be more serious as inflation rises, and weakly or not related to inflation if it is at a low level. Therefore, fiscal consolidation would be more effective in price stabilization the higher the inflation. Moreover, the results remain robust while taking other possibly inflation-related factors into consideration. Furthermore, the impact of fiscal deficits on inflation is generally greater in developing countries, particularly when inflation is at a high level. Finally, the inflationary effect of deficits is not detected over 1990--2006.

開放經濟中，匯率可以透過競爭效果及進口型的通貨膨脹抬升價格，或藉由資產負債效果造成通貨緊縮。本文依循 Carranza et al. (2009) 的實證模型，控制美元化程度的影響，並使用Lin (2010) 的動態分量迴歸方法，針對1974Q1-2010Q4期間80個國家，檢驗不同通貨膨脹水準下的匯率轉嫁效果。總體而言，通膨愈高的時候，匯率貶值的擴張效果愈強；但當通膨降低，其強度也隨之減弱。此結果在考慮其他解釋變數或不同貶值情形後仍維持穩健。而當進一步檢視不同國家或期間的匯率轉嫁效果，匯率對通貨膨脹的正向效果，在中低所得國家中普遍較強，但在1995年後減弱，甚至轉為負向。Taylor（2000）的假說，得以在本文大部分的實證結果中證實。 / In an open economy, exchange rate could either increase prices by competitiveness effect and imported inflation, or be disinflationary through the balance-sheet effect. Controlling for the impact induced by the degree of dollarization, I follow the empirical model of Carranza et al. (2009) with a wide panel of 80 countries over 1974Q1-2010Q4. The exchange rate pass-through is investigated at various inflation levels in a dynamic panel quantile analysis suggested by Lin (2010). In general, exchange rate depreciation is more inflationary the higher inflation levels, but the magnitude of pass-through is reduced as inflation become lower. Also, the results are robust with respect to add other explanatory variables or take the depreciation cases into account. Furthermore, to investigate the pass-through across countries or periods, the positive impact of exchange rate on inflation is greater in middle- and low-income countries, but declines and even becomes negative after 1995. The hypothesis in Taylor (2000) is thus confirmed in most part of our empirical results.

自2003年起隨著台灣壽險業國外投資比率不斷提高，至2010年底國外投資比率已達34.47%，因此為了探討壽險業國外投資與績效並了解相關因素之影響，本研究檢視壽險公司之市占率和各險種保費收入比率與國外投資比率之間的關係，同時亦檢視美國政府十年期公債殖利率與投資報酬率之間是否具有正向關係。另一方面，探討已公開發行公司是否因需揭露財務報表而與未公開發行公司之間在國外投資比率和投資績效上有所差異。 本文以2004年至2008年台灣25家壽險公司的長期資料（longitudinal data），分析總合（pooled）、固定效果(fixed effects)和隨機效果（random effects）迴歸模型，並檢視模型之適合性檢定。另因反應變數之密度估計具長尾之特性，所以亦使用Koenker（2004）和Geraci and Bottai（2007）提出的長期資料分量迴歸（quantile regression for longitudinal data）分析作為探討。實證結果顯示，若壽險公司的市占率愈高，則其資產配置於國外的比重亦相對地提高，且壽險和年金險比率與國外投資比率之間呈現顯著地正相關；此外，公開發行公司的國外投資比率顯著高於未公開發行公司。在投資績效方面，美國政府十年期公債殖利率與投資報酬率之間為顯著的正相關。 長期資料分量迴歸分析實證結果顯示，當使用Koenker（2004）提出之方法時，則一般（ordinary）分量迴歸在50%、75%和90%條件分量下，隨著樣本期間年度的增加，壽險業的國外投資報酬率相對地上升；在10% 和25% 條件分量下，壽險公司市占率與國外投資報酬率之間是顯著的正相關。而使用Geraci and Bottai（2007）提出之隨機效果分量迴歸方法時，在50%條件分量下，國外投資比率與國外投資報酬率之間為顯著地正相關，再者匯率風險將降低台灣壽險業國外投資的意願，然而實行避險策略是有益於投資績效的提升。 / The foreign investment ratio for the life insurance industry in Taiwan has risen constantly since 2003 and reached 34.47% in 2010. In order to explore foreign investment and performance, and understand the impact of relevant factors in the life insurance industry, this study examines the relationship between the market shares of life insurance companies, types of premium income ratio and the foreign investment ratio. Simultaneously, this study also examines the relationship between the 10-year US Treasury Bond Yield Currency and investment return.On the other hand, we explore whether the difference between the publicly traded companies and non-publicly traded companies on the foreign investment ratio and the investment performance. In this dissertation, we analyze 25 Taiwanese life insurance companies between 2004 and 2008 using the pooled, fixed effects and random effects regression model. Due to the distribution of the response variable is characterized by the long tail, we explore the use of the quantile regression for longitudinal data by Koenker(2004)and Geraci and Bottai(2007). The empirical results show that the more market share of life insurance companies, the higher foreign investment ratio and there is significantly positive correlation between the life insurance, annuity ratio and the foreign investment ratio. In addition, the publicly traded company's foreign investment ratio is significantly higher than non-publicly traded company. In terms of investment performance, it’s significantly positive correlation between the U.S. 10-year Treasury Bond Yield Currency and return on investment. The empirical results about quantile regression for longitudinal data show that the return on foreign investment relatively enhance for the life insurance industry with the increase of the year during the sample period under the 50%,75% and 90% conditional qauntile when using the ordinary quantile regression proposed by Koenker(2004). There is significantly positive correlation between the market share and the return on foreign investment under the 10% and 25% conditional qauntile. When using the method proposed by Geraci and Bottai(2007), there is significantly positive correlation between the foreign investment ratio and the return on foreign investment under the 50% conditional qauntile. Furthermore, exchange rate risk will reduce the foreign investment willingness of the life insurance industry in Taiwan. However, the implementation of the hedging strategy is beneficial to enhance investment performance for the life insurance industry.

近年臺北市政府試圖藉由興建品質良好的公共住宅，解決住宅價格高漲影響人民居住的問題，然附近居民往往認為公共住宅會造成周圍住宅生活環境品質低落及房價下跌，反對其於住家鄰近興建。過去國內缺乏以實證方式計算公共住宅對周圍住宅價格之影響，亦尚未針對新推出的公營出租住宅個案深入分析；而國外相關研究雖有利用量化實證公共住宅與周圍房價關係，然多針對個別公共住宅社區為研究對象，對不同類型公共住宅及其對不同高低房價住宅之影響與差異，缺乏更全面的探討分析，且亦未釐清住宅價格的空間自相關特性及公共住宅設立的不同階段等，對周圍房價影響效果的差異。 本文應用特徵價格理論傳統迴歸模型、空間迴歸模型及分量迴歸模型，以2012年7月至2015年9月之臺北市不動產實價登錄交易資料為對象，研究整建住宅、出售國宅、出租國宅、公營出租住宅等四類不同時期公共住宅，於100~300公尺不同影響範圍下，分別對周圍住宅價格的影響效果。另外並選取興隆公共住宅作為個案研究對象，以臺北市文山區不動產實價登錄交易資料為對象，應用差異中之差異法結合空間迴歸模型，分析興隆公共住宅的興建完工與住戶入住對於周圍住宅價格之外溢效果。實證結果顯示，附近有早期興建之整建住宅及出租國宅者，其住宅總價皆呈現顯著下跌現象，分別下跌約1.7%至8.9%及1.5%至7.7%；附近有出售國宅之住宅總價漲跌情形不顯著；而近期興建之公營出租住宅則造成周圍住宅價格顯著上漲約1.7%至7.7%；又前述影響程度皆隨影響範圍擴大而隨之減輕。進一步分析不同影響範圍下對周圍高低房價住宅的影響，公營出租住宅對周圍低價住宅正向提升效果為6.2%至7.1%，皆大於高價住宅之無顯著影響至3.2%。而興隆公共住宅的興建完工確實能使周圍住宅價格較外圍地區多提升約6.5%至15.8%，惟住戶入住興隆公共住宅則未具顯著正向的價格外溢效果。由新興辦的公營出租住宅對周圍房價造成正面影響的實證結果，應可釐清公共住宅外部性之正向效果，有助後續公共住宅的興建。 / In recent years, government has tried to build the public housing with high quality to solve the living problems caused by the soaring of the house price. However, residents beside the public housing often regard them as Nimbys that will detrimentally affect property values and oppose public housing to be built nearby. There were short of empirical studies that focus on the effects of public housing on nearby property, as well as the case study of social housing newly built in Taiwan. Besides, the empirical studies in foreign only select a specific public housing as their subject, which few of them analyze different effects caused by different types of public housing, ignore different effects on nearby property with different values, and have not clarify whether the spatial autocorrelation of property values as well as the construction and operation of the social housing leads to different results. This study analyzes the effect of social housing, resettled tenement, public housing for rent and for sale on nearby property values in different ranges separately by using hedonic price theory OLS, spatial and quantile regression as model, and selecting the sale price of real estate in Taipei City from July 2012 to September 2015 as sample. Besides, Xing-Long Social housing and sale prices of real estate in Wenshan district of Taipei City are also selected for case study applying Difference in Difference method with spatial regression, in order to analyze the nearby property values changes after the construction and the move in of the residents of Xing-Long social housing. The result shows that although resettled tenement and public housing for rent detrimentally affect the property values by 1.7% to 8.9% and 1.5% to 7.7% separately, public housing for sale does not affect the property values significantly, and social housing positively affects the property values by 1.7% to 7.7% on the contrary. In addition, these effects decline with distance from public housing. With regard to the impact on high and low priced property in different ranges, social housing has positive effect on low-priced property by 6.2% to 7.1% and no significant effect to 3.2% on high-priced property. The construction of Xing-Long social housing has positive spillover effect by 6.5% to 15.8%, however, the move in of the residents does not. Empirical results show that social housing newly built are able to enhance the property values nearby, which is contributed to the follow-up construction of the public housing.

第一章 台灣與美國股市價量關係的分量迴歸分析 摘要 本文利用分量迴歸來觀察台灣和美國股市報酬率和成交量的價量關係。實證結果發現兩地股市的價量關係截然不同。台灣股市的報酬率與成交量之間具有正向關係，呈現「價量齊揚」和「價跌量縮」的現象，而前者效果通常較顯著；但報酬率接近最大漲幅限制時，報酬率與成交量之間並無顯著關係，報酬率接近最大跌幅限制時，「價跌量縮」的現象甚至更強。相對於台灣，美國股市的報酬率與成交量則出現「價量齊揚」與「價量背離」互相對稱的 “V” 字關係。就實證方法而言，傳統以 OLS 方法估計的迴歸模型並無法得到上述的實證結果。進一步的分析顯示，融券成數的高低以及平盤以下不得放空等規定都是造成台灣股市出現「價跌量縮」的可能原因。 第二章 股市價量關係的分量迴歸分析 (二) 摘要 本章利用分量迴歸觀察包括台灣在內的亞洲新興工業國家與成熟股市的價量關係。實證結果顯示，亞洲新興工業國家和日本股市「價量齊揚」的效果較強，其中香港、南韓和新加坡呈現較弱的「價量背離」現象，因此價量之間有不對稱的 “V” 字關係；而日本股市則呈現「價跌量縮」，與第一章分析的台灣股市價量關係相似。在成熟股市的價量關係中，英國金融時報指數、美國道瓊工業指數和德國股價指數皆呈現對稱的 “V” 字關係，與美國US指數的價量關係相似。亞洲地區的國家在1997下半年到1998上半年普遍經歷了一場金融風暴，本文進一步的分析發現在這場風暴期間，亞洲地區除了台灣以外，日本、香港、南韓與新加坡都出現較強的「價量齊揚」與「價量背離」，這種現象可能肇因於投資人認為風暴期間的股價報酬率風險較高，遂使得股價報酬率對成交量的反應較為敏銳。相對而言，歐美地區的國家，受到亞洲金融風暴的影響較小，所以整體的價量關係在亞洲金融風暴期間並無重大改變。本章的結果都是透過分量迴歸所獲得。 第三章 股市價量因果關係的分量迴歸分析 摘要 本文依據分量迴歸設計 Granger 因果關係的新檢驗方法，並依此方法來檢驗幾個股市價量之間的因果關係。本文分析的股市包括日本、英國與美國等世界前三大股市，以及合稱亞洲四小龍的台灣、香港、南韓與新加坡等新興工業國家或地區的股市。實證結果顯示：除了台灣股市以外，其他的股市皆呈現 “V” 字的跨期價量關係。其中英國、美國、香港和新加坡股市的跨期價量關係大體呈現正向「價量齊揚」與負向「價量背離」互相對稱的 “V” 字關係，而日本和南韓股市則是「價量齊揚」較強的不對稱 “V” 字關係。此一結果表示這些股市的價量之間都存在分配上的 Granger (1969) 因果關係。但若以均數迴歸來衡量跨期價量關係，則所有股市都呈現不顯著的跨期價量關係，也就是傳統文獻上所謂價量之間沒有 Granger 因果關係。本文所提出的 Granger 因果關係之分量迴歸分析，可以觀察到整個條件分配中各分量的因果關係，為分配上的 Granger 因果關係提供一個較完整的檢驗方法。 / We examine the relationship between the stock return and trading volume in the Taiwan and U.S. Stock Exchanges using quantile regression. The empirical results show that the return-volume relations in these two exchanges are quite different. For Taiwan data, there are significant positive return-volume relations across quantiles, showing that a large positive return is usually accompanied with a large trading volume and a large negative return with a small trading volume, yet the effect of former is stronger. However, such relations change when returns approach the price limits. We also find that for U.S. data, return-volume relations exhibit symmetric V-shapes across quantiles, showing that a large return (in either sign) is usually accompanied with a large trading volume. On the other hand, linear regressions estimated by the ordinary least square method are unable to reveal such patterns. Further investigation shows that various restrictions on short sales in the Taiwan Stock Exchange may explain the difference between the return-volume relations in Taiwan and U.S. data.

隨著知識經濟時代以及全球化的來臨，各國都市面臨全球性的競爭壓力，都市內部業種轉變為以服務業為業種主流，其中的生產者服務業更是成長快速的新興產業，更是適應全球化發展策略的重要產業。因此了解其聚集的成因將更具有時代的意義。產業聚集於都市的現象，傳統聚集經濟多以規模經濟、地方化經濟、都市化經濟為其解釋。近來，由於知識經濟的重要性，衍生出以知識的創新效果以及外溢效果來解釋產業的聚集現象。本研究利用空間距離的影響性來估計產業內知識外溢效果，並利用產業投入產出關聯係數估計產業間知識外溢效果，並採用分量迴歸來進行實證分析，以利於更詳實的解釋各知識外溢效果在於不同公司規模下的影響性。 研究結果發現，投資於R&D要素對於公司的成長並沒有顯著的影響，甚至對於中小型公司為負向影響。產業內知識外溢效果方面，對於各公司規模皆有正向的幫助。產業間知識外溢效果則呈現對大規模公司有正向幫助，對中小規模公司則為負向效果。在知識經濟時代下，兩種知識外溢效果確實有助於大規模公司的成長，為產業聚集的重要成因之ㄧ，但對於中小規模公司則有不同的效果產生。因此在促進產業發展的區位規劃設計上，需要考量不同規模公司與不同知識外溢效果的相互關係，以便有助於生產者服務業的發展，建立更具有國際競爭力的都市型態。 / Facing the developing economics of knowledge and globalization, Taipei metropolitan area has faced the issue of industrial restructuring. The strategy for globalization is to develop the producer services (PS) sector, in order to improve higher competitiveness to the city. The theory of agglomeration economics includes scale economics, localization economics and urbanization economics. Nowadays, spillover effect is considered as the most important reason that industries agglomeration develop in urban areas. This paper analyzes two categories of R&D spillover effect in the PS sector of Taipei metropolitan area by quantile regression. The spatial distance and the Input-Output table are used to calculate the intra-industrial and inter-industrial spillover effect, respectively. The result shows that investment in R&D has a negative effect to firm’s output. Firms with any scale benefit from the intra-industrial spillover effect incomplete. The inter-industrial spillover effect analysis shows that only the bigger scale firms can get the positive benefit, the smaller scale firms get the negative effect. The research analyzes different kinds of R&D spillover effect, and the result show that there are different effects among different conditions. In sum, this research suggests that the disposition of industrial location should consider both the scale of firm and the different spillover effect. As above, utilizing the R&D spillover effect is an important factor to develop the PS sector and to construct the global city.