本論文建構一個具備小型開放經濟體系的動態隨機一般均衡模型來分析台灣經濟環境並利用貝氏方法進行估計。 利用perpetual youth的方法,在台灣經濟環境下,分析由股票價格波動所引發的財富效果。 小型開放經濟體系的動態隨機一般均衡模型具有短期物價僵固以及泰勒法則與釘住匯率的混合型態貨幣政策等特徵。 樣本期間為1981第一季至2009第四季。 從本篇論文當中獲得兩個重要的結論,分別是: 1.生產力衝擊是影響台灣景氣循環最重要的因素;貨幣政策衝擊的影響微乎其微。 2.台灣貨幣政策的偏好為釘住匯率。
We develop a small open economy dynamic stochastic general equilibrium (DSGE) model for the economy of Taiwan and estimate it with Bayesian estimation techniques. As one of the main objectives of our paper is to examine the wealth effects, captured by the stock price dynamics, on the Taiwanese economy, we adopt the perpetual youth approach. The small open economy DSGE model features with short-run price rigidities, generated by monopolistic competition and staggered re-optimization, and a monetary policy that mixes Taylor rule and exchange rate peg. With sample period of 1981Q1-2009Q4, the two main results obtained from this paper are: 1. the productivity shock appears to be the most important driving force of the output fluctuations in Taiwan, while monetary policy shock is unimportant; and 2. monetary policy in Taiwan leans more toward exchange rate peg than Taylor rule.