考量消息衝擊下的動態隨機一般均衡模型

On the news shocks in DSGE models

賴政澤(ZHENG-ZE LAI)

指導教授 ： 姚睿

國立中央大學/管理學院/經濟學系/碩士(2012年)

摘要

動態隨機一般均衡模型以個體最適化為基礎, 得以對總體經濟變數提供更具理論基礎的分析。 我們根據Traum and Yang (2011) 的模型, 在資本所得稅、 勞動所得稅與投資具體技術等內生變數中,納入消息衝擊; 試圖了解當經濟個體所掌握的資訊集合因消息衝擊而擴展時, 個人最適經濟決策將如何變動, 並因而影響總體經濟的動態調整過程。 結果發現, 當考量消息衝擊時, 衝擊反應函數將呈現一駝峰型態, 而非傳統的單調遞增遞減模式。

關鍵字

動態隨機一般均衡模型 ； 消息衝擊 ； 財政遠見

並列摘要

We construct a medium-scale dynamic stochastic general equilibrium (DSGE) model in which news shocks on two distortionary taxes rules and investment-specific technology are considered. We find that such anticipated shocks expand agents’ information set thus agents will take action preemptively before any tax policy act. The resulting impulse response functions display hump-shaped pattern that is different from those to contemporaneous policy shocks.

並列關鍵字

fiscal foresight ； DSGE model ； news shock

參考文獻

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Barsky, R. B., and Sims, E. R. (2011). News shocks and business cycles. Journal of

Monetary Economics 58 (3), 273-289.

Baxter, M., and King, R. G. (1993). Fiscal policy in general equilibrium. The American