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博碩士論文 etd-0728109-160942 詳細資訊
Title page for etd-0728109-160942
論文名稱
Title
石油價格衝擊對台灣景氣循環之影響
The Oil Price Shocks on Taiwan Business Cycles
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
42
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2009-06-22
繳交日期
Date of Submission
2009-07-28
關鍵字
Keywords
石油價格衝擊、景氣循環、動態隨機一般均衡
Business Cycle, DSGE, Oil Price Shock
統計
Statistics
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中文摘要
實質景氣循環(Real Business Cycle,RBC)理論與應用,一直是總體經濟學界研究的重點之一。近年因Finn Kydland 與Edward Prescott 於2005年,獲得諾貝爾經濟學獎。RBC在近年的總體經濟學界的地位,更是越來越重要。RBC本身深受新興古典學派(Neo Classical School)影響,其中如Solow model所強調的固定規模報酬之生產函數,在RBC模型中,即廣為被應用。近年來,新凱因斯學派(New Keynesian Economics,NKE)中,則利用非完全競爭的個體基礎,並將名目面的價格僵固與工資僵固作為探討引起總體變數波動的主要原因。兩種學派的思想上的融會與實證應用上的突破,孕育了動態隨機一般均衡模型(Dynamic Stochastic General Equilibrium,DSGE)的產生。DSGE綜合了RBC與NKE為一個體理論基礎模型,考慮家戶與廠商的最適化選擇,但同時可以融合實質與名目衝擊,使得理論總體經濟體系,更接近現實的世界型態。
本文完全採用Schmidt and Zimmermann (2005)所發展之DSGE模型,以台灣為研究樣本。探討自1981年至2006年,以國際原油價格波動為衝擊來源,研究此一小型開放經濟體系之總體變數之波動與變化,與石油價格波動之影響之間之關係。本論文主要的貢獻為:第一、回顧並整理過去本國相關文獻,所提供的重要參數值。這些台灣學者所提供的先驗資訊(prior information),是本文得以完成的重要基礎。第二、現存文獻中,本論文首先以台灣最重要的能源來源-石油為探討衝擊來源的文章。將時間序列區分為兩個期間1981-1997年與1998-2006年,在1981-1997年石油價格衝擊可以解釋47%的台灣景氣循環波動,到了1998-2006年間石油價格衝擊的解釋力則上升到69%,石油對台灣景氣循環波動的影響呈現越來越重要的趨勢。
Abstract
Real Business Cycle (RBC) theory together with its applications is one of the most important studies in macroeconomics. Recently, Finn Kydland and Edward Prescott received Nobel Memorial Prize in Economics. RBC is deeply affected by New Keynesian School (NKS). For example, Solow model emphasizes using CES of production function in RBC. Recently, New Keynesian Economics gives microeconomic foundations of incomplete competition, and explains macroeconomic fluctuations by prices and wages sticky. RBC and NKE were generalized into a new brake through model called DSGE. DSGE combines RBC and NKE to be a microeconomics foundation model. They consider household and firm optimal choice and integrate real and nominal shocks to let theory in macroeconomic to be close to the real world situation.
This paper adopts DSGE model in Schmidt and Zimmermann (2005) into Taiwan. From 1981 to 2006, we discuss fluctuaction of macroeconomic variables in a small open economy by national oil price shocks between effect of oil price fluctutaion relationship. There are two main contributions: First, to review and put related Taiwan’s literatures together which supply important calibration values. These sources provide prior information to finish foundations of this thesis. Second, this is the first thesis based on importance of price of imported oil in Taiwan. We split time-series data from 1981 to 1997 and 1998 to 2006. In the period from 1981 to 1997 the oil price shocks can explain 47% of the Taiwan business cycle fluctuations. In the second period, from 1998 to 2006, the oil price shocks can explain 69% of the Taiwan business cycle fluctuations. The main result is that the oil price shocks have more significant influence on the business cycle in Taiwan.
目次 Table of Contents
第一章 緒 論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 3
第四節 研究架構 4
第二章 文獻回顧 5
第一節 國外景氣循環文獻 5
第二節 國內景氣循環文獻 10
第三章 模型與研究方法 12
第一節 理論模型 12
第二節 均衡解 17
第四章 研究結果與分析 19
第五章 結論 29
參考文獻 31
附錄 35
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