本文以Paolo Gelain(2010)所建構的SWBGG模型，結合Smets & Wouters(2003,2005,2007)及Bernanke,Gertler and Gilchrist(1999)，建構具有金融摩擦(financial frictions)的動態隨機一般均衡模型，用台灣的總體時間序列1980Q3-2011Q4的季資料，拱用七種觀察值：分別為實質GDP成長率、實質投資成長率、實質消費成長率、實質工資成長率、GDP平減指數成長率、工時和金融業隔夜拆款利率利用貝氏估計做參數估計，主要分析分析不同衝擊下對於台灣景氣循環波動影響，及外部融資溢酬與景氣波動的相關性。

在次級房貸風暴之後，各國赤字大幅增加。如希臘與愛爾蘭，其主權債務違約風險皆大幅升高。面對這樣的困境，政府該如何實施財政政策，以防止主權債務危機的發生?本篇文章在DSGE模型之下，以Uribe(2006)的設定為基礎架構，額外增加了產出方程式以使國家產出能由模型內生決定。並加入了政府支出與產出之間的關係式，以討論在面對正的景氣衝擊與負的景氣衝擊時，政府使用正向景氣循環政策和負向景氣循環政策對於政府倒債率的影響。最後發現當政府使用負向景氣循環政策和較弱的順向景氣循環政策時，政府的倒債率會和技術衝擊有反向的關係。而當政府使用較強的順向景氣循環政策時，政府的倒債率會和技術衝擊有正向的關係。從此結果，我們推論在後金融海嘯時期，希臘與愛爾蘭等國家，應使用較強的順景氣循環政策以降低其主權債務危機的發生機率。 / After the subprime crisis, many government deficits rose sharply, especially Greece and Ireland. Their default rate rose greatly than before. Under this difficult situation, what kind of fiscal policy should the government enforces to prevent it from bankruptcy? We follow the model in Uribe (2006) as our framework but adding the production function and the government expenditure function to analyze the effects of different fiscal policies on the government default rate. The results tell us that when the government uses countercyclical fiscal policy and weak procyclical fiscal policy, the change of the default rate is opposite to the technical shock. On the contrary, when the government uses strong procyclical fiscal policy, the default rate is positive relation with the technical shock. This implies that governments, such as Greece and Ireland, should use strong procyclical fiscal policy to reduce their sovereign risk under the recession.

本篇文章的目的為，在一個含有銀行信用管道以及兩種家計單位設定的動態隨機一般均衡模型的架構之中，探討中央銀行實施貨幣政策以及技術面衝擊對於貧富不均度的影響。本篇文章主要依據Kumhof, Rancière and Winant (2015)對於兩種家計單位之設定，參考Benigo and Eggertsson (2016)加入銀行信用管道，並參考Lansing and Markiewicz (2016)將勞動內生化以及刻劃收入來源之不同，因而建構出一個封閉經濟體系，內含兩種不同的家計單位、商品生產部門、銀行信用管道、政府之課稅政策以及中央銀行之貨幣政策。本文發現，貧富不均度在面對中央銀行實施緊縮性貨幣政策以及技術面正向衝擊時會暫時性地擴大，在長期時會回到初始的靜態均衡值。 / The main purpose of this paper is to discuss the effect of monetary policy on income inequality using a micro-based dynamic stochastic general equilibrium model with credit channel and two groups of households. Following Kumhof, Rancière and Winant (2015), households can be divided into two groups; moreover, we follow Benigo and Eggertsson (2016) to add the credit channel, and follow Lansing and Markiewicz (2016) to make households supply labor endogenously and characterize the difference of income source. Therefore, we build up a closed economy model with two groups of households, goods firms, credit channel, the taxation policy implemented by government and monetary policy implemented by central bank. We find that contractionary monetary policy and positive technology shock will temporarily generate a worse income inequality. In the long term, the economy will be back to the initial steady state.

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.