本文建立一個小型開放經濟的內生成長模型，並且以貨幣進入生產函數的方式，將貨幣引入經濟體系。據此，我們分別探討勞動外生及勞動內生的狀況下，央行以釘住通貨膨脹率作為貨幣政策，民眾的信念是否可以造成景氣的波動，並探討央行採行未預料到的貨幣政策及預料到的貨幣政策會如何影響經濟體系相關變數的成長率。 　　根據本文的分析，我們發現在勞動外生的狀況下，通貨膨脹率與Tobin q值呈現負向關係，由此我們可以推論，提高通貨膨脹率目標將對經濟成長率造成負面的影響。當央行採取通貨膨脹率指標作為貨幣政策時，經濟體系呈現均衡的確定性，表示民眾的信念不會造成景氣的波動。若央行調整通貨膨脹率目標時，名目貨幣供給成長率和通貨膨脹率呈現不同比例的變動，且變動方向不確定，需端視實質餘額成長率下降的效果與通貨膨脹率調整的效果何者較大才可決定。在政策宣示的部分，宣告期間的長短僅影響經濟成長率、實質資本成長率及實質貨幣餘額成長率的跳動幅度，不影響動態調整路徑的形狀。 　　在勞動內生化的狀況下，通貨膨脹率增減不影響Tobin q值的變動，故提高通貨膨脹率目標不會影響經濟成長率。當央行採取通貨膨脹率指標作為貨幣政策，勞動需求線斜率大於勞動供給線斜率時，經濟體系呈現均衡的不確定性，表示民眾的信念可以造成景氣的波動在央行調整通貨膨脹率目標時，名目貨幣供給成長率和通貨膨脹率呈現同方向、同比例變動。最後，政策宣示部分，政策宣告期間的長短會造成經濟成長率、實質資本成長率及實質貨幣餘額成長率呈現不同的動態調整路徑。

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.

本文於確定提撥退休金制度下，探討基金經理人如何決定最適資產策略規避薪資所得及通貨膨脹之不確定風險，求得期末財富效用期望值極大化。本研究首先擴展Battocchio與Menoncin (2004)所建構之資產模型，我們不僅探討來自市場之風險，同時考量薪資所得、通貨膨脹與費用率之不確定性，研究其對最適資產配置行為的影響，建構隨機控制模型，以動態規劃方法求解Hamiltonian方程式，研究結果顯示，我們可利用五項共同基金分離定理來描述投資人之最適投資決策：短期市場基金、狀態變數避險基金、薪資所得避險基金、通貨膨脹避險基金與現金部位。數值結果顯示，股票持有部位中通貨膨脹避險基金佔有最大的成份，債券持有部位中通貨膨脹避險基金與狀態變數避險基金佔有最大的成份。 關鍵字：確定提撥、薪資的不確定性、通貨膨脹、隨機控制、動態規劃 / In this study, we investigate the portfolio selection problem in order to hedge the labor income and inflation uncertainties for defined contribution (DC) pension schemes. First, we extend the previous work of Battocchio and Menoncin (2004) that allowed the state variables (i.e., the risks from the financial market) and a set of stochastic processes to describe the inflation, labor income and expense uncertainties. A five-fund separation theorem is derived to characterize the optimal investment strategy for DC pension plans to hedge the labor income and the inflation risks. Second, by solving the Hamiltonian equation in the three-asset framework, we show that the optimal portfolio consists of five components: the myopic market portfolio, the hedge portfolio for the state variables, the hedge portfolio for the inflation risk, the hedge portfolio for the labor income uncertainty and the riskless asset. Then we explicitly solve the optimal portfolio problem. Finally, the numerical results indicate that the inflation hedge portfolio comprises the overwhelming proportion of stock holdings in the optimal portfolios. In addition, the inflation hedge portfolio and the state variable hedge portfolio constitute the overwhelming proportions of bond holdings. Keywords: defined contribution; salary uncertainty; inflation; stochastic control; dynamic programming.

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.

本文引用Zhang(1996)和Suen and Yip(2005)提出的貨幣具有降低交易成本的特性，建構封閉經濟體的貨幣內生成長模型，分別探討在投資有或沒有調整成本的情況下，政府採取釘住通貨膨脹目標政策對於經濟成長的影響，以及經濟體系的安定性。 本文的結論可以歸納為：(1)當投資不具有調整成本時，政府調高目標通膨率會使得經濟成長率下降，且經濟體系呈現確定性；(2)當投資調整成本時，政府調高目標通膨率也會使得經濟成長率下降，但經濟體系卻呈現不確定性。 / This thesis sets up a monetary endogenous growth model for a closed economy, in which monetary authorities implement a monetary policy of inflation rate targeting. The main feature of the model is that, in line with Zhang (1996) and Suen and Yip (2005), money plays a role to facilitate transactions of output, and hence holding money can lower the transaction cost. This thesis then uses the model to investigate whether the economy’s growth rate and the dynamic stability are closely related to the implementation of inflation rate targeting. Two main findings emerge from the analysis. First, when investment does not involve adjustment costs, a rise in the inflation rate lowers the balanced economic growth rate and the equilibrium is characterized by local determinacy. Second, when investment involves adjustment costs, a rise in the inflation rate lowers the economic growth rate and the equilibrium is featured with local indeterminacy.

有關相對價格離散度之研究，最早源於新古典學派二分法則(Dichotomy Paradigm)， 認為實質因素的變動，與名目因素二者截然劃分。但自Mills(1927) 起，即發現相對 價格離散度和名目的物價上漲率間並不獨立，而呈現正相關的現象。由於相對價格的 變動引起生產、消費決策的變動，因而名目外生干擾是否造成相對價格離散，並進而 影響實質變數，乃成為總體理論一項重要課題。 在過去的文獻中，Vining & Elwertowski(1976)，Parks(1978)，Blejer(1981)，He- rcowitz(1981)，Blejer & Leiderman(1982),及Fischer(1982)的實證研究，與Luca- s(1973)，Barro(1976)，Hercowitz(1981，1982) 及Cukierman(1982) 的理論分析， 大都發現通貨膨脹或非預期的通貨膨脹皆將導致相對價格離散度增加。而大部分的實 證研究皆利用各市場間的資料進行分析。近年來 Domberger(1987)及Hoomissen(1988 ) 則強調市場內通貨膨脹與價格離散度的關係。 本文第一部分利用民國59年至78年台灣地區躉售商品物價指數中的各項商品物價指數 ，根據 Domberger的方法，分析各市場內與市場間相對價格離散度與通貨膨脹的關係 。全部的商品共分為二十四個市場，計量方法為 Nonlinear Seemingly Unrelated Estimation。另外，再根據Saxonhouse(1977)提出的二階段迴歸分析步驟，探討造成 各個市場相對價格離散度與通貨膨脹二者的關係是否受到各產業市場集中度，以及市 場內產品數影響。 本文第二部分利用Blejer & Leriderman(1982) 模型，分析台灣地區相對價格離散度 與國外 (美國) 相對價格離散度二者之間的關係，並探討國際間通貨膨脹的傳遞。

本研究探討長期投資人之最適資產配置問題，並著重於通貨膨脹風險之分析。第一部份討論確定提撥退休金制度下，機構投資人或高所得自然人如何擬定投資策略規避通貨膨脹風險，達到極大化期末財富效用期望值。此研究擴展Battocchio與Menoncin (2004)所建構資產模型，不僅探討市場風險，亦考量通貨膨脹不確定性與基金費用誘因、下方風險保護兩機制，研究對資產配置行為之影響，並依動態規劃方法求得投資策略公式解。第二部份則強調下方風險之重要性，檢視在最低保證收益下，長期投資人跨期資產配置之財富管理議題，並回顧Deelstra et al.(2003)之模型架構，依平賭方法求得投資策略公式解，研究結果顯示基金投資策略可表示為最適CRRA(γ,T)型態共同基金與最低收益避險之組合。另一方面，如何估計通貨膨脹風險亦為本文強調之重點。Campbell和Viceira (2001)首次納入通貨膨脹風險並探討跨期投資議題，結論市場缺乏通貨膨脹連動投資標的時，投資人將減碼長期債持有比例。Brennan和Xia (2002)假設通貨膨脹率服從Ornstein-Uhlenbeck過程，結論投資人之避險需求隨持有債券到期日與投資期限改變。但以上結論未將通貨膨脹學習機制納入模型，因此，在第三部份提出依學習機制修正之投資策略可顯著增加財富效用，並分析在不同參數設定下，學習機制對於期末財富效用之影響。 / In this study, we study three essays of asset allocation problem for long term investors, which means that in this discourse we emphasis the importance of inflation risk. In the first topic, we derive the dynamic optimal investment strategy of the defined contribution pension schemes which include two mechanisms of partial floor protection and incentive fees and their benchmarks. We find investors should hold high proportion of stock index fund to hedge the inflation risk; moreover, the ratio of incentive fees to the setting of benchmark will change the optimal investment trend of underlying assets. In the second topic, we introduce the optimal investment portfolio with minimum guarantees and show that the fund manager should adjust the optimal weights of underlying assets with the ratio of the guarantee fund's value to the value of fund. Finally, this work focuses on how to precisely predict the dynamics of inflation rate. We apply learning method to adjust the prediction of inflation process and we use numerical analysis to study the effect of learning mechanism under different parameter setting.

隨著美國次級房貸衝擊世界經濟的影響不斷擴大，各國政府對於全球景氣的提振，莫不推出各種拯救方案。同時，為使相關拯救政策的效果得以發揮，各國央行莫不競相調降基準利率，以減輕投資者與消費者的資金成本壓力，企求藉此增加企業的投資意願與民眾的消費慾望，進而促使經濟景氣得以反轉為多。然而，欲使一國貨幣政策發揮其效果，除了社會大眾對於通貨膨脹預期的心理是否可以獲得消弭外，更重要的是央行貨幣政策傳遞管道是否暢通，是否對於整體經濟情勢仍具有相當的控制能力。而這些條件是否可以達成，而使央行貨幣政策確實可以發揮功效，其最主要的關鍵點除了與其所採行的貨幣運作機制有密切關係外，央行的獨立性、權責性與透明性的良窳更是具有決定性的因素。 然而，就臺灣而言，我國中央銀行法自一九七九年重新訂定後，僅於民國一九九七年大幅修訂，且於二ＯＯ二年時小幅修訂部分條文。但面對目前金融情勢變化快速與國內政治局勢的動盪，條文中對於有關央行獨立性地位的確認與央行權責性暨透明性的提昇等等現代化中央銀行所需具備的前提要件，卻似乎規範不甚明確。加以面對因金融自由化所造成市場中貨幣定義的模糊，以及貨幣目標制下政策效率不彰的困境，對於目前仍採行貨幣目標制做為政策執行架構的我國央行而言，其是否擁有其他可行的因應方式與選擇？是否需要追隨世界金融先進國家的腳步，更改目前的貨幣運作機制？是否通貨膨脹目標制對我國央行而言，具有執行上的絕對優勢？我國央行是否已經具備執行此項貨幣機制的相關必要條件？這些議題在國內相關文獻的探討中尚屬進一步探索的領域。故本文希冀透過對於我國央行獨立性、權責性、透明性以及其他主客觀經濟情勢的重新檢視，提出面臨的問題點以及可行的解決方案，以增進我國貨幣政策執行的有效性。 / With the more impacts on the economics in the world from the shocks of subprime-mortgage in America, many policies were proposed from every government to make the economic return the normal situation. For strengthening the effects of these policies, many central banks announced to cut the key interest rates. Because they wish could lighten the enterprises’ and consumers ‘costs of the capital by these policies, and then make them increasing the desires of the investments and consumptions to let the whole economic situations back to good ones. However, whether the monetary policies really have the effects or not, it depends on many elements, including if the central bank eliminates the expectations of inflation of the public or not, the monetary transmission channels could work successfully or not, the central bank could control the key economic variables or not and others seriously. Nevertheless, the monetary policy mechanism of this country, the level of independence, accountability and transparency of the central bank are the key factors that could influence these conditions work valid or not. In Taiwan, The Central Bank of China Act was amended in 1979. In 1997, this law was modify widely and revised few articles in 2002. However, these articles were not being considered how to make affirm the independence position of the central bank, and how to improve the accountability and transparency of the central bank to make the CBC meet the conditions of the modern central bank. Beside this, in the difficult status of the blurred definition of the money and of weakly effectiveness of the monetary policy in the monetary targeting framework, whether the CBC which still adopts the monetary targeting to be the main monetary policy mechanism has any choices to break these problems or not ? Whether the CBC needs to follow the advanced countries to alter the monetary policy mechanism to the inflation targeting framework? Whether the CBC could get more benefits to adopt the inflation targeting? And whether the CBC could meet all the preconditions of the inflation targeting? These issues are so important but not to be discussed in domestic academic literatures. Therefore we want to review the level of the independence, accountability and transparency of the CBC and other economic conditions to see the problems of the monetary policy mechanism in Taiwan. And then, we will provide the feasible suggestions to these problems to improve our monetary policy effectiveness.

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).