小型開放經濟體下之存貨投資

Inventory Investment in a Small Open Economy

謝金怡(Chin-Yi Hsieh)

指導教授 ： 張永隆

國立臺灣大學/社會科學院/經濟學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.01945

摘要

回顧過往以美國為主要研究對象的諸多文獻，國民所得帳中的存貨投資部門，已被普遍認為在一定程度上影響國內生產毛額的波動性，顯示存貨投資與景氣循環之間可能存在密切的互動關係；然而，存貨投資部門在其他國家的表現是否能夠獲致相似的結論，仍缺乏廣泛且深入的討論。是故，本文旨在探究新加坡整體經濟景氣循環之特性，並且特別著重存貨投資部門在經濟衝擊下之變動行為。
本文架構如下，首先針對新加坡整體經濟景氣循環之特性做一背景介紹，繼而建構一個小型開放經濟體之動態隨機一般均衡模型 (DSGE model)，模擬各經濟變數面對衝擊時的反應行為，用以解釋各經濟部門的循環性特徵。透過比較模擬與實際資料的結果顯示，該模型的模擬結果僅能與部份實際資料相吻合；其他變數如存貨投資的一階自我相關係數，及其與產出之間的相關係數，反而呈現與實際資料相反的結果。
為解決模型與資料之間的誤差問題，本文另提出下列三種方法試圖改進模型的配適度：（1）在原本單一供給面衝擊下之模型，考慮需求面帶來的衝擊效果；（2）將原先由當期決定的勞動供給更改為預先決定，即當期的勞動供給在上一期已決定；（3）降低生產要素之間的替代彈性，以提高存貨投資此一投入要素與產出之間的相關性。前述三種方法，僅第三種明顯降低存貨投資在模型與實際資料之間的誤差，惟此方法的採用也將導致另一經濟變數－銷售部門－的模擬結果與資料相反。

關鍵字

新加坡 ； 存貨投資 ； 小型開放經濟體 ； 景氣循環 ； 動態隨機一般均衡模型(DSGE Model)

並列摘要

This paper investigates the business cycle properties in Singapore with particular attention to the behavior of inventory investment. We first document the stylized facts of business cycles in Singapore and then develop a dynamic stochastic general equilibrium (DSGE) model of a small open economy to account for those stylized facts. The results show that the benchmark model captures several features of business cycles in Singapore. However, there are some discrepancies between the model and the data, especially with regard to the cyclicality of inventory investment. We introduce three modifications to attempt to resolve the discrepancies: 1. adding a demand shock; 2. choosing labor hours one period in advance; 3. changing the parameter that determines the elasticity of substitution among productive factors. The first two modifications fail to improve the fit of the model enough to resolve the discrepancies. Although the last modification succeeds in improving the fit of the correlation between inventory investment and output, it worsens the prediction of the model with regard to the relative volatility of output and sales.

並列關鍵字

Singapore ； Inventory Investment ； Small Open Economy ； Business Cycles ； DSGE Model

參考文獻

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