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貨幣政策操作目標之選擇與法則: 政策透明度及央行行為對小型開放經濟體之影響 / Monetary policy rules and operation targets: the effects of the central bank policy transparency and the central bank behavior蔡岳昆, Tsai, Yueh Kun Unknown Date (has links)
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.
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穩定性與多重性-以二部門體系動態調整方式為例 / Stability and indeterminacy --the dynamic adjustment of two-sector economy連科雄, Lian, Ke-Shaw Unknown Date (has links)
本篇論文試圖藉由比較一個產業生產技術為固定規模報酬的經濟體系,如何因外部因素的影響而改變其動態調整方式。在此考慮的外部因素有資本移動的開放與否、生產要素的外部性、及政府對要素報酬的課稅。考慮各種因素後,所得出的結論為在生產函數為Cobb-Douglas型式且產業生產技術為固定規模報酬的情況下:
1.多重均衡路徑在資本帳封閉時期唯有效用函數為特例時才能使其出現,但在資本自由移動時期對於所有的效用函數型態皆會成立。
2.其他條件保持不變之下,單獨存在生產要素外部性或是對要素所得課稅皆可使體系存在多重均衡路徑。
3.其他條件保持不變之下,若生產要素外部性與要素所得稅皆同時存在時,可使體系存在唯一的穩定馬鞍路徑。
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通貨競爭--不同時點下的貨幣理論模型之研究 / Currency competition - M.I.U. model under different timing basis楊建昌, Yang, Jian-Chung Unknown Date (has links)
本文基本上承襲 Weil(1991)的分析架構,以貨幣在效用函數模型(money-in-the utility model)來分析通貨替代的問題,也就是研究在一個整合的經濟體中,兩種通貨可替代時,高成長率通貨與低成長率通貨彼此競爭流通市場所可能產生的結果。本文改採不連續時間的模型,並引用 Fukuda(1997)的分析,分別以期末實質貨幣餘額及期初實質貨幣餘額放入效用函數中,比較其結果的差異。我們發現期初貨幣模型之各組恆定均衡解(steady state equilibrium)均可能出現多重收斂路徑,如此一來,Weil(1991)所提出的「劣幣逐良幣」現象未必會成為通貨競爭的必然結果。
除此之外,我們以兩個特定的效用函數為例(log-linear, CRRA),以求進一步了解 Weil(1991)結論的模型適應性(robustness)。我們發現在線性對數效用函數的推導下,期初、期末貨幣模型所得到的結果並沒有明顯的分別,但 CRRA 模型的結果則顯示,期初貨幣模型的結論不同於 Weil(1991)。 / The study issues and analytical framework of this thesis follow Weil(1991). We apply the money-in-the-utility model (M.I.U. model) to analyze several issues in currency substitution. We want to investigate the monetary equilibria and their stability when there are two substitutable currencies in an integrated economy. Specifically, we want to know whether the faster growing currency will drive the slower growing ones out of the market, or vise versa. Unlike Weil(1991), we base our model on a discrete-time basis Following the study of Fukuda(1997), we use two different approaches to put the real money balances in the utility function. One is "end-of-the-period" M.I.U. model, and the other is "beginning-of-the-period" M.I.U. model. We make the comparison of the result of the two alternative approaches. Furthermore, we contrast our outcomes against those of Weil(1991).
Besides the analysis based upon the general utility form, we also provide analysis of two specific utility functions. Except for the log-linear utility function, we find that there are significant differences between the two alternatives timing framework. The "beginning-of-the-period" M.I.U. model shows that "Gresham's Law" would not necessarily be the inevitable outcome of the economy with two perfectly substitutable currencies. Thus, it limits the validity of the conclusion of Weil(1991).
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社會網路互動下的新凱因斯動態隨機一般均衡模型 / Toward a social network-based New Keynesian DSGE model張嘉玲, Chang, Chia Ling Unknown Date (has links)
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.
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高度交通情報提供による交通行動変化の定量的分析と交通計画へのインプリケーション森川, 高行, 河上, 省吾, 倉内, 慎也 01 1900 (has links)
科学研究費補助金 研究種目:基盤研究(B)(2) 課題番号:11450193 研究代表者:森川 高行 研究期間:1999-2001年度
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最適負債比與效用函數中政府支出 / Optimal debt ratio and government expenditure in utility蘇子涵, Su, Tzu Han Unknown Date (has links)
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
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社會網路與貨幣政策: 兼論「權衡」與「法則」 / Social network and monetary policy: rule versus discretion溫明昌 Unknown Date (has links)
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.
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總體審慎政策-流動性覆蓋比率-之動態隨機一般均衡分析 / Examination of Liquidity Coverage Regulation with A DSGE Framework吳奕信, Wu, Yi-Xin Unknown Date (has links)
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.
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小売市場における流通業者の費用削減投資および効率性研究賈, 蕾 23 March 2021 (has links)
京都大学 / 新制・課程博士 / 博士(経済学) / 甲第22959号 / 経博第634号 / 新制||経||296(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)准教授 菊谷 達弥, 教授 文 世一, 教授 神事 直人 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM
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革新的なエネルギー・二酸化炭素排出削減技術を考慮した応用一般均衡モデルの開発西浦, 理 25 March 2024 (has links)
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
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