新凱恩斯模型之貨幣政策效果與家庭生產

Effects of Monetary Policy in a New Keynesian Model with Household Production

江承彬(Cheng-Bin Jiang)

指導教授 ： 唐震宏

國立清華大學/科技管理學院/經濟學系/碩士(2012年)

摘要

近幾年經濟文獻對家庭生產(home production)的研究都已經開始關注家庭生產與景氣循環的關係，以及它在總體經濟實質生產部門中扮演的角色。傳統總體模型認為企業資本(business capital)生產消費與投資財貨，而家庭資本只能單純生產家庭消費。Fisher (2007)透過實證資料發現家庭投資與企業投資具有正向同步移動(comovement)特性，此外當面臨總體外生衝擊時，家庭投資甚會領先於企業投資變動。Fisher (2007)對家庭資本的特性有兩個觀點:(1)第一個觀點是家庭資本可直接影響勞動的生產力 (2)另一個觀點是將家庭資本視為企業資本在生產上的互補品。本文採用動態隨機一般均衡模型 (Dynamic stochastic general equilibrium model, DSGE model) 作為研究工具並加入Fisher (2007)對家庭資本的看法，最後得到以下結論:(1) 家庭資本相對於效率市場勞動投入份額比例越大，外生衝擊所造成的實質效果越不顯著。這可能是由於Fisher (2007)所設定的家庭資本內每期家庭投資所能影響的部分很小，所以當家庭資本相對於效率市場勞動投入份額比例越大，總體外生衝擊所造成的實質效果反而會較不
顯著。(2)另外，我們也得到與Fisher(2007)相同結論，當家庭資本相對於效率市場勞動投入份額比例較高時，傳統實質景氣循環模型家庭資本與企業資本具有一降一升的對稱關係將不再存在，取而代之的是兩者亦步亦趨的同向變動關係；當家庭資本相對於效率市場勞動投入份額比例較高時，家庭資本將會領先於企業資本增加。(3)最後，若貨幣管理當局政策目標為穩定經濟，使景氣循環波動趨於平緩，可以試著用政策引導有助於勞動生產力提升的家庭投資增加，此舉會使得家庭資本佔效率市場勞動投入份額比例上升，總體經濟在面對外生衝擊時的波動將會較不顯著。

關鍵字

動態隨機一般均衡 ； 家庭生產 ； 景氣循環 ； 外生衝擊反應分析

並列摘要

Recent years, more and more economists show their interests in study of home production. While real business cycle (RBC) theory suggests household capital can only help to produce consumption good in home , Fisher (2007) considers RBC theory with the lead-lag pattern, co-movement and relative volatility of household and business investment and household capital is assumed to be a complementary input with business capital and labor in market production contributes most to this finding. This paper deals with the implications of household capital for monetary policy design. We build a dynamic general equilibrium model with the consideration of Fisher (2007). Our major findings are: (1) when household capital’s share of effective labor is larger, the real effect caused by the exogenous monetary shock is less significant than the time when household capital’s share of effective labor is smaller.(2)Moreover, our model has the same conclusions with Fisher (2007); following a transitory productivity shock in the economic system with household capital’s share of effective labor is larger, since household capital is a complementary input in market production, and it contributes to producing both market and home goods, while business capital produces only market goods, investment in household capital initially falls as business investment rises.(3)Lastly, to stabilize the business cycle, the monetary authority can use the subsidy policy to encourage household raise their investment in household capital. As mentioned above, the larger household capital’s share of effective labor means the less exogenous shock effect.

並列關鍵字

New Keynesian DSGE model ； home production ； business cycles ； exogenous shocks ； impulse responses analysis

參考文獻

2. Aruoba, S. Boragan and Davis, Morris A.(2011): “Homework in Monetary Economics:Infation, Home Production, and the Production of Homes” University of Wisconsin -Madison and NBER

3. Barsky, Robert B., Christopher L. House, and Miles S. Kimball. (2007) “Sticky-Price Models and Durable Goods” American Economic Review, 97(3), 984–998.

4. Bernanke. Ben and M. Gertler (1989):“Agency Costs, Net Worth, and Business Fluctuations.” The American Economic Review 79,14-31.

5. Erceg, Christopher J. and Levin, Andrew T.(2002):“Optimal Monetary Policy with Durable and Non-durable Goods” FRB International Finance Discussion Paper No.

6. Fisher, Jonas D. M.(2007):“Why Does Household Investment Lead Business Investment Over the Business Cycle?”Journal of Political Economy, Vol. 115, pp. 141-168, February 2007.