本研究建立含資產價格泡沫的隨機動態一般均衡 (Dynamic Stochastic General Equilibrium, DSGE) 模型，並以此討論貨幣政策與總體審慎政策的效果。泡沫存在於不動產的股票價格上，且不動產與一般資本皆為生產要素。研究顯示，在隨機衝擊下，一般資本的投資與不動產投資呈現負相關。融資擔保率的調控為總體審慎政策的範疇，本文另研究融資擔保率對經濟變數的影響。結果顯示，當擔保率調升時，產出增加、泡沫減少且不動產的股價 (資產價格) 下跌。本文亦討論依循泰勒法則下的貨幣政策與總體審慎政策對產出與資產價格波動的影響；結果顯示，在經濟景氣時實施緊縮貨幣政策可同時減少資產價格與產出的波動，其效果優於總體審慎政策。 / This study established a Dynamic Stochastic General Equilibrium (DSGE) model, which contains asset bubble price, and employed DSGE to discuss the effect of the monetary policy and the macro-prudential policy. Bubbles exist in the stock price of the real estate. Real estate and general capital are both the factors of production. The study indicates that, under stochastic impulse, a negative correlation exists between the investment of the general capital and the investment of the real estate. The study also discusses the operation of the collateral rate, a perspective dealing with macro-prudential policy, and how it influences economic variables. The results present that when collateral rate rises, output increases, bubbles decreases and the stock price of real estate (asset price) declines. The study further investigates how monetary policy, which follows the Taylor rule, and macro-prudential policy affect the vibration of the output and the asset price. The result indicates that during economic prosperity, the implementation of tight monetary policy presents better effect than that of macro-prudential policy since it simultaneously decreases variances of output and asset price.

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.