本文採民國94、96、98、100、102年的台灣 「人力運用調查」 資料庫, 以關聯結構法找出組合誤差間的關聯結構密度函數與聯合機率密度函數, 建構隨機邊界關聯結構模型, 解決勞動市場上樣本選擇性問題。 之後分別針對男性及女性估計薪資方程式, 探討每位勞工的薪資效率程度。 本文男、 女性的勞工各按年齡、 工作經驗、 職業、 行業、 教育程度、 公司規模、 工作身分、 婚姻狀態、 工作地分為9大類, 在各類中分群比較薪資效率。 實證結果顯示, 公司規模、 工作身分、 工作地等 3 類, 不論有無考慮樣本選擇, 同一性別中的薪資效率變動趨勢大致一致, 但其餘 6 類, 有考慮樣本選擇的薪資效率變動明顯不同於未考慮樣本選擇。 在考慮了樣本選擇之後的實證結果大多打破以往文獻的預期, 可能是因為過往文獻探討薪資效率時, 大多未考慮樣本選擇, 即將無工作者樣本完全排除, 導致迴歸分析結果僅適用於有工作者。 除了探討薪資效率外, 本文也嘗試在隨機邊界法的架構下, 提出一個衡量性別歧視的新觀點, 將兩性薪資無效率的差異視為一種性別歧視。 若以新觀點衡量台灣的勞動市場, 會發現這5個年度中, 薪資差異幾乎可以完全歸諸於性別歧視。 這顯示即使兩性的薪資差異雖然逐年縮小, 但性別的刻板印象仍存於當今的台灣勞動市場, 造成明顯的性別歧視。 / This paper adopts the "Manpower Utilization Survey" data, a database conducted by Directorate General of Budget, Accounting & Statistics, Executive Yuan, ROC (DGBAS), to study the issues of gender wage differentials and underpayment. The econometric model considers sample selection under the framework of the stochastic frontier model with copula methods. It requires to correct for sample selection and derive the copula density function and joint probability density function by copula method. We separately estimate the male and female wage equations, respectively, to evaluate the wage efficiency and decompose the average wage differential between male and female into several components. The paper distinguishes workers into 9 categories, including age, experience, occupation, industry, education, firm size, working identity, marital status and working area, and compares the wage efficiency between those categories. The empirical results shows that, the trend of wage efficiency in the categories of firm size, working identity, and working area are almost the same in each gender whether correcting for the sample selection bias or not. However, in the remaining 6 categories, the wage efficiency changes substantially after correcting the sample selection bias. With the correction of the sample election bias, most of the findings differ from those from the past literatures. This may be attributed to the fact that the past works mainly focus on employed workers and lead to possible sample selection bias. The paper also tries to offer a new method to measure the gender discrimination, which considers the difference in wage inefficiency between the male-female inefficiency as an element of discrimination. The paper finds that the wage differential between male and female can explain almost the entire discrimination. This findings confirms that the gender discrimination still exists in the Taiwan’s labor market eventhough the wage differential between male and female decreases over time.

台灣和中國大陸於2010年六月正式簽署「經濟合作架構協議」（ECFA）。無疑地，這是兩岸交流有史以來規模最大、最具官方性質的制度性協商。在象徵意義上，意味著兩岸經濟整合邁入一個嶄新的階段。在實質意義上，透過早期收穫計畫的制度安排，使得兩岸之間的部分貨品和服務享有關稅調降的特殊待遇，對於台灣的整體經濟和部分產業具有立即性的影響。因此，本文旨在探討兩岸簽署ECFA前後，台灣民眾的統獨態度有無發生變化？在影響選民統獨態度因素中，有長期穩定與短期變動，也有感性與理性面向，選民對於兩岸簽訂ECFA的經濟效應評估又扮演了何種角色？最後，隨著兩岸經濟整合的腳步加速，理性層次的麵包效應又是否可能抵銷情感認同的作用？ 本研究使用2008年到2012年「台灣選舉與民主化調查」的定群追蹤資料（panel data），並以「固定與隨機效果並用法」（hybrid method of fixed and random effect model）來分析兩個時間點民眾統獨立場的動態變化。研究結果發現從08年到12年這段時間，民眾的統獨立場呈現往現狀/統一方向移動的趨勢，儘管變化的量不大，但在統計上卻是顯著的。在兩個時間點的動態架構中，選民對於ECFA經濟效益評估的態度變化，不僅與統獨立場的變遷模式與變化方向互相連動，在控制其他變數之後，ECFA經濟評估的態度變化對於統獨立場也有獨立性的影響效果。最後，當短期經濟利益和情感認同相互牴觸時，ECFA經濟的效果甚至會削弱感性認同的作用力。這意味在給定台灣人認同沒有改變的情況下，民眾仍有可能因為簽署ECFA的經濟因素而移動其統獨立場。因此，隨著兩岸經濟整合日益加深，影響個人統獨態度中理性層面利害考量的因素應該予以重視。 / The Taiwanese government has signed the ECFA with China in June 2010. Undoubtedly, ECFA is one of the largest and most official institutional negotiations in the history of cross-strait interactions and exchanges. Signing ECFA with China not only represents that cross-strait economic integration has entered into a new stage, through the arrangements of early harvest program, its impacts on Taiwan’s economy and industry are also immediate. Accordingly, this study aims to explore whether Taiwan people’s attitude toward the independence/unification changed or not after signing ECFA? How the economic inducement from China affect Taiwanese voters’ policy stances on independence/unification issue? Finally, as the accelerated pace of cross-strait economic integration, whether economic factors such as ECFA evaluation may offset the effects of emotional identity on the issue of independence/unification? By using individual panel data from ‘Taiwan Election and Democratization Study’ (TEDS), and taking advantage of hybrid method of fixed and random effect model, the empirical results show that respondents in 2012 are statistically significantly more inclined to maintain status quo or unification in comparison with their attitudes in 2008. Moreover, the attitudinal change of ECFA evaluation are not only systematically associated with the change of policy stance on independence/unification issue, it also reveals independent effect in the statistical model after controlling for other variables. Finally, although emotional affective identity is an important factor to determine public’s policy stances on the issue of Independence/Unification, its effects have begun to weaken especially when the economic interests are large and visible. The implication is that we shouldn’t underestimate the logic importance of political economy played in the trend of regional economic integration, and short-term economic fluctuations may have influence on long-term affective identity.

在全球化的趨勢之下，國際分工不可避免地成為跨國公司運作的趨勢。2013年2月，OECD發布《處理稅基侵蝕及利潤移轉》的報告表示，跨國公司利潤移轉策略的採取被認為是稅基侵蝕的主要原因。基於BEPS已經成為各國非常重視的議題，世界各國也為了保全稅基及防杜利潤移出，紛紛訂出反制措施。這些反制措施是否能遏制利潤不當的移動，是一個值得重視議題。惟目前學術文獻上並未有一篇全面盤點這些反制措施及地主國租稅制度對利潤移轉的影響。 故本篇研究以2005年至2012年台灣電子工業作為研究對象，利用橫斷面及時間序列的追蹤資料 (panel data) 之隨機模型做估計，探討台灣跨國公司之電子業海外子公司的利潤移轉是否會受到租稅規避行為的影響。結果顯示，利潤移轉會受到以下四種國際租稅規避工具所影響，分別是地主國是否有移轉訂價的規範、是否有預先移轉訂價規範、是否有反資本弱化條款以及地主國是否為租稅天堂。

本研究顯著地發展時間轉換Lévy過程在最適投資組合的運用性。在連續Lévy過程模型設定下，槓桿效果直接地產生跨期波動度不對稱避險需求，而波動度回饋效果則透過槓桿效果間接地發生影響。另外，關於無窮跳躍Lévy過程模型設定部分，槓桿效果仍扮演重要的影響角色，而波動度回饋效果僅在短期投資決策中發生作用。最後，在本研究所提出之一般化隨機波動度不對稱資產報酬動態模型下，得出在無窮跳躍的資產動態模型設定下，擴散項仍為重要的決定項。 / This study significantly extends the applicability of time-changed Lévy processes to the portfolio optimization. The leverage effect directly induces the intertemporal asymmetric volatility hedging demand, while the volatility feedback effect exerts a minor influence via the leverage effect under the pure-continuous time-changed Lévy process. Furthermore, the leverage effect still plays a major role while the volatility feedback effect just works over the short-term investment horizon under the infinite-jump Lévy process. Based on the proposed general stochastic asymmetric volatility asset return model, we conclude that the diffusion term is an essential determinant of financial modeling for index dynamics given infinite-activity jump structure.

本研究探討選擇權交易量之大小對於波動度預測之效率性所造成之對偶效果(dual effect)，驗證〝正常的高交易量〞與〝異常的高交易量〞對於波動度預測能力是否有不同的影響。本研究採用panel data之資料型態，以LIFFE上市的個股買權為對象，資料長度為三年左右。主要欲探討之假說為： 1.一般而言，交易量大的選擇權，其波動度估計誤差較交易量小的選擇權來得小。 2.相對於平日水準而言，某日交易量異常高的選擇權將有較大的波動度估計誤差。 本研究所使用的波動度預測模型為隱含波動度(ISD)，採用的是最接近到期月份及最接近價平的合約。實證以組合迴歸、固定效果模型、隨機效果模型分別估計之，加以比較。結果發現固定效果模型為較佳之解釋模型，然而結果顯示交易量的對偶效果並不明確影響波動度預測誤差，故推測有某種影響公司間差異的因素，即公司間之異質性，比相對交易量更容易影響波動度預測之誤差。另外，透過組間與組內效果之分析，發現不論是長期還是短期，由於公司間的異質性存在，使得相對交易量對於波動度預測誤差均無明顯影響。 / The purpose of this research is to study the dual effect on the efficiency of volatility forecasting which is caused by the volume of option market, with the intent to test whether〝normal high volume〞and〝abcdrmal high volume〞cause different results on the ability of volatility forecasting. The data used is in the form of panel data. It is drawn from LIFFE, and has a length of about three years. The hypotheses to be examined in this study are：1. High-average-volume options have smaller volatility forecasting errors than low-average-volume options; 2. Options have larger volatility forecasting errors on abcdrmally-high-volume days than on normal-volume days. In this research, volatility is forecasted by implied standard deviation (ISD) which is implied in the at-the-money and the nearest expiry month options. Pooled regression、fixed effect model、and random effect model methods were applied. The results show that the fixed effect model made the best analysis amongst the three models. However, the result does not support the hypotheses made above, which means that volume does not have much influence on volatility forecasting error. It is inferred that there exists some other factors which could cause the difference between firms, namely heterogeneity, and these factors have much more powerful influence over volatility forecasting error than volume. Finally, it was found that no matter for long run or short run, because of the existence of heterogeneity, relative volume doesn’t have obvious influence on volatility forecasting errors when analyzing the difference between the between-individual effect and the within-individual effect.

本論文提出追蹤特定目標線的二階段混合整數非線性隨機規劃模型，以建立追蹤目標線的投資組合。藉由引進情境樹(scenario tree)，我們將此類二階段隨機規劃問題，轉換成為等價的非隨機規劃模型。在金融商品的價格波動及交互作用下，所建立的投資組合在經過一段時間後，其追蹤目標線的能力可能會日趨降低，所以本論文亦提出調整投資組合的規劃模型。為符合實務考量，本論文同時考慮交易成本、股票放空的限制，並且加入期貨進行避險。為了反應投資者的預期心理，也引進了選擇權及情境樹。最後，我們使用台灣股票市場、期貨交易市場及台指選擇權市場的資料進行實證研究，亦探討不同成長率設定之目標線與投資比例對於投資組合的影響。 / To construct a portfolio tracking specific target line, this thesis studies how to do it via two-stage stochastic mixed-integer nonlinear model. We introduce scenario tree to convert this stochastic model into an deterministic equivalent model. Under the volatility of price and the interaction of each financial derivatives, the performance of the tracking portfolio may get worse when time elapses, this thesis proposes another mathematical model to rebalance the tracking portfolio. These models consider the transactions cost and the limitation of shorting a stock, and the tracking portfolio will include a futures as a hedge position. To reflect the expectation of investors, we introduce scenario tree and also include a options as a hedge position. Finally, an empirical study will be performed by the data from Taiwan stock market, the futures market and the options market to explore the performance of the proposed models. We will analyze how the different benchmarks settings and invest ratio will affect the value of the tracking portfolio.

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.

本篇論文將厚尾分配（Heavy-Tailed Distribution）應用在財務及保險精算上。本研究主要有三個部分：第一部份是用厚尾分配來重新建構Lee-Carter模型（1992），發現改良後的Lee-Carter模型其配適與預測效果都較準確。第二部分是將厚尾分配建構於具有世代因子（Cohort Factor）的Renshaw and Haberman模型（2006）中，其配適及預測效果皆有顯著改善，此外，針對英格蘭及威爾斯（England and Wales）訂價長壽交換（Longevity Swaps），結果顯示此模型可以支付較少的長壽交換之保費以及避免低估損失準備金。第三部分是財務上的應用，利用Schmidt等人（2006）提出的多元仿射廣義雙曲線分配（Multivariate Affine Generalized Hyperbolic Distributions; MAGH）於Boyle等人（2003）提出的低偏差網狀法（Low Discrepancy Mesh; LDM）來定價多維度的百慕達選擇權。理論上，LDM法的數值會高於Longstaff and Schwartz（2001）提出的最小平方法（Least Square Method; LSM）的數值，而數值分析結果皆一致顯示此性質，藉由此特性，我們可知道多維度之百慕達選擇權的真值落於此範圍之間。 / The thesis focus on the application of heavy-tailed distributions in finance and actuarial science. We provide three applications in this thesis. The first application is that we refine the Lee-Carter model (1992) with heavy-tailed distributions. The results show that the Lee-Carter model with heavy-tailed distributions provide better fitting and prediction. The second application is that we also model the error term of Renshaw and Haberman model (2006) using heavy-tailed distributions and provide an iterative fitting algorithm to generate maximum likelihood estimates under the Cox regression model. Using the RH model with non-Gaussian innovations can pay lower premiums of longevity swaps and avoid the underestimation of loss reserves for England and Wales. The third application is that we use multivariate affine generalized hyperbolic (MAGH) distributions introduced by Schmidt et al. (2006) and low discrepancy mesh (LDM) method introduced by Boyle et al. (2003), to show how to price multidimensional Bermudan derivatives. In addition, the LDM estimates are higher than the corresponding estimates from the Least Square Method (LSM) of Longstaff and Schwartz (2001). This is consistent with the property that the LDM estimate is high bias while the LSM estimate is low bias. This property also ensures that the true option value will lie between these two bounds.

量子擾動及挫折性兩者均可破壞絕對零溫的磁序，為近代凝態物 理關注的有趣現象。在外加橫場下的三角晶格易辛反鐵磁兼具量子臨 界現象(quantum criticality)及幾何挫折性，可謂量子磁性物質之一典 範理論模型。本論文利用平衡態及非平衡態量子蒙地卡羅(quantum Monte Carlo)方法探測三角晶格易辛反鐵磁之量子相變，其界定零溫 時無磁性的順磁態及具 Z6 對稱破缺的有序態(所謂時鐘態)。這裡的 量子蒙地卡羅方法為運用算符的零溫投射(zero-temperature projector) 及隨機序列展開(stochastic series expansion)演算法。在非平衡模擬 中，我們分別沿降溫過程及量子絕熱過程逼近量子相變點，藉此我們 得到動力學指數，及其它相關臨界指數。 / The destruction of magnetic long-range order at absolute zero temperature arising from quantum fluctuations and frustration is an interesting theme in modern condensed-matter physics. The triangular lattice Ising antiferromag- net in a transverse field provides a playground for the study of the combined effects of quantum criticality and geometrical frustration. In this thesis we use quantum Monte Carlo methods both in equilibrium and non-equilibrium setups to study the properties of the quantum critical point in the triangular lattice antiferromagnet, which separates a disordered paramagnetic state and an ordered clock state exhibiting Z6 symmetry breaking; The methods are based on a zero-temperature projector algorithm and the stochastic series ex- pansion algorithm. For the non-equilibrium setups, we obtain the dynamical exponent and other critical exponents at the quantum critical point approached by slowly decreasing temperature and through quantum annealing.