總體三篇短文

Three essays on macroeconomics

鄭漢亮(Han-Liang Cheng)

指導教授 ： 毛慶生

共同指導教授 ： 陳南光(Nan-Kuang Chen)

國立臺灣大學/社會科學院/經濟學研究所/博士(2009年)

https://doi.org/10.6342/NTU.2009.10009

摘要

第壹章
藉由建立一個帶有價格僵固DSGE模型，探討中央銀行對石油價格做政策反應的福利效果，我們發現傳統極小化通貨膨脹與產出波動做為福利指標可能會與近幾年來文獻認較為準確以效用基礎福利計算方式得到恰為相反的結果，因此政府若依照傳統的分析方法做為政策施行依據，可能會導致錯誤的結果。另外一方面，中央是否應對石油價格做政策反應決定於模型設定，我們發現當實質貨幣與消費的替代彈性越小、資本的僵固相對價格僵固低、石油與資本間替代彈性越高，則中央銀行最適貨幣政策為不對石油價格做政策反應。

第貳章
我們建立一個帶有信用限制與價格僵固DSGE模型，藉由一階條件我們導出房屋價格Euler equation，得出房屋價格決定於產出、消費，長短利率差，房屋成交量、短期利率，我們利用這些總體變數預測房屋報酬與booms and bust，其結果發現短期利率，為一致有效的預測指標。另外一方面，我們藉由模型與不同外生衝擊模擬出房屋價格走勢，發現出貨幣政策為造成美國房屋市場結構改變一個重要因素，此結果與實證結果一致。

第參章
新菲利普曲線斜率變緩是一個全世界共同現象，文獻認為造成原因有兩個（一）穩定貨幣政策安定通貨膨脹使得廠商重新改變定價次數減少，物價僵固程度增加，因此output gap為基礎菲利普曲線斜率變緩。（二）全球化的影響，國內需求不足部分可由進口品取代，廠商邊際成本與ouput gap關連性降低，因此邊際成本為基礎菲利普曲線斜率變緩。我們藉由建立一個小型開放的經濟體系DSGE，利用最大蓋似法估計模型中的結構參數，我們發現在1988年後，台灣價格僵固程度增加，隱含output gap為基礎菲利普曲線斜率將減緩。而資金流動成本並無大幅改變，顯示邊際成本為基礎菲利普曲線斜率不會有太大改變。我們藉由GMM縮減式估計，證實上述結構性參數的結果。

關鍵字

DSGE ； 福利 ； 石油 ； 價格僵固 ； 2階展開 ； 菲利普曲線 ； 價格僵固 ； GMM預測 ； 房價 ； 價格僵固 ； 信用限制

並列摘要

Abstract
Oil Price and Monetary policy in the Business Cycle-A Welfare an Analysis
This paper studies the utility-based welfare implications of monetary policy reacting to oil price shocks. We build a dynamic stochastic general equilibrium (DSGE) model with staggered price-setting and oil as an imported input in the production function. To precisely measure the level of welfare, we follow Schmitt-Grohe Uribe (2004) by evaluating the expected lifetime utility function of the households (condition welfare function) up to the second order approximation. We first show that welfare analysis based on inflation-output volatility stabilization and conditional welfare function may lead to drastically different policy implications from the welfare point view. We also find that welfare implications for the conditional welfare function are sensitive to specifications of model. Specifically, it is better of not to response to oil price shocks when the elasticity of substitution between consumption and real money balance is lower, the elasticity of substitution between oil and capital is larger, or the adjustment cost of capital relative to that of price is lower.

Forecasting the Booms and Busts of Housing Market
This paper studies the determination as well as predictability of house prices. We first construct a DSGE model and simulate the house price by different stochastic shocks. Monetary shock is able to capture the run up of housing returns in earlier 2000s. Next, we test the predictability of housing returns and the turning point of the housing market, using macro-variables from the equilibrium determination of house price implied by the model. Given US data 1970Q1-2008Q4, we find that the federal funds rate performs best for the out-of-sample forecasting on housing returns. Moreover, using Markov switching model, again the federal funds rate performs best for the out-of-sample prediction on the probability of the bust regime. Together with the simulate house price, our results support the view that monetary policy plays an important role in the boom-bust cycles of housing.

An Estimation of the New Phillips Curve of Taiwan
A succession of opening reform policies and switching monetary policy in Taiwan after 1988 caused the whole of economic activity to experience a change. Therefore, we have attempted to discuss whether the New Keynesian Phillips curve of Taiwan has changed and what drives the business cycle in Taiwan. We built a dynamic stochastic general equilibrium (DSGE) model with staggered price setting and followed Ireland's (2003) MLE method to estimate the structural parameters of model. The results indicate that, moderate monetary policy lowers trend inflation leading to more infrequent price resetting and hence flattening Phillips curve after 1988, but it is unclear whether globalization changes the New Phillips curve. We do three exercises to confirm the MLE results including the Kalman filter, AR model and GMM to construct the reduced form of the New Keynesian Phillips curve. All results obtained here confirm that stable monetary policy is more important leading to flattening Phillips curve than globalization.

並列關鍵字

DSGE ； Oil Price ； Welfare ； Second Order ； Sticky Price ； House Price ； Forecasting ； Sticky Price ； Credit Constraint ； New Phillips Curve ； Sticky Price ； GMM

參考文獻

Balke, N.S., Brown, S.P.A., Yucel, M.K., 2008. An International Perspective on Oil Price Shocks and U.S. Economic Activity. Globalization and Monetary Policy Institute Working Paper 20, Federal Reserve Bank of Dallas.

Barsky, R.B., Kilian, L., 2002. Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative. NBER Macroeconomics Annual, 137-183, B.S.

Barsky, R.B., Kilian, L., 2004. Oil and the Macroeconomy Since the 1970s. Journal of Economic Perspectives 18(4), 115-134.

Benigno, P., Woodford, M., 2005. Inflation Stabilization and Welfare: The Case of a Distorted Steady State. Journal of the European Economic Association 3(6), 1185-1236.

Bernanke, B.S., Gertler, M., Watson, M., 1997. Systematic Monetary Policy and the Effects of Oil Price Shocks. Brookings Paper on Economic Activity, 91-142.