實質景氣循環理論的三個議題

Abstract

本文旨在設計全新的機制，藉以提升實質景氣循環(real business cycle, RBC)模型解釋實際資料的能力。首先，我們利用在職學習(on-the-job learning)機制解釋在預期驅動的景氣循環下(news-driven fluctuations)，消費與勞動具有同步增加的現象。本文發現，當我們考量在職學習機制，雇用新聘員工的價值將反映該員工於未來各期為廠商帶來的利潤，因此，廠商的勞動需求將具備前瞻(forward-looking)的特質。透過這項特質，再加上投資調整成本(investment adjustment cost)以及資本使用率內生化(the endogenous capacity utilization rate)的引入，我們將可完美地解釋在預期衝擊(news shocks)下，產出、消費、投資以及勞動具有同步循環(co-movement)的特性。其次，本文擬將家戶生產(home production)引進小型開放的實質景氣循環模型，藉以解釋已開發經濟體系(developed economy)與新興市場經濟體系(emerging market)的景氣循環。本文發現，當家戶生產的機制被納入實質景氣循環模型裡，家戶部門所生產的消費財與市場部門所生產的消費財將產生彼此替代的關係。由於這項替代關係意味著市場消費的波動程度將大幅增加，因此，即使在勞動供給具有所得效果(the income effect on labor supply)的情況下，我們依然能解釋已開發經濟體系景氣循環的特性。此外，本文發現，相較於已開發經濟體系，新興市場經濟體系的家戶生產具有較大的規模。更重要的是，我們發現較大的家戶生產規模可以有效地解釋在新興市場經濟體系中，消費的波動程度會大於產出的波動程度，以及貿易餘額與產出比具有較激烈的波動程度與反循環(countercyclical)的特性。最後，本文嘗試將研究與發展(research and development, R&D)機制結合實質景氣循環模型，藉以刻劃小型經濟體系景氣循環的主要特徵。在此模型中，我們發現兩個可以藉由資料觀察到的重要事實有助於釐清造成已開發經濟體系與新興市場經濟體系間景氣循環差異的原因：(1) 相較於已開發經濟體系，外國技術的使用在新興市場經濟體系具有較大的波動程度；(2) 相較於已開發經濟體系，新興市場經濟體系投入研究與發展的資源較少，因此具有較低的研發支出占產出比(the R&D expenditure to gross domestic product (GDP) ratio)。

This dissertation incorporates some new channels into the real business cycle (RBC) model to interpret the empirical pattern of business cycles. First, we propose a new channel of on-the-job learning to explain the positive co-movement between consumption and employment following good news about future productivity. It is found that the new recruits can generate an additional stream of output production in all future periods, and the firm’s labor demand is thus characterized by the forward-looking property. When such a channel is paired with investment adjustment costs and the endogenous capacity utilization rate, this dissertation provides a plausible explanation for simultaneous booms in current consumption, investment, output, and employment to match the empirical evidence under the news shock. Second, this dissertation offers a plausible explanation of the major features of business cycles in the small open economy by considering home production. The presence of home production introduces substitutability between market consumption and home consumption, which in turn generates a high volatility in market consumption in accordance with the data, even in the presence of a sizable income effect on labor supply. Moreover, given that home production is more prevalent in emerging markets than in developed economies, the model is also able to replicate empirical differences between emerging markets and developed economies in the volatility of market consumption and the volatility/countercyclicality of the trade balance. Finally, we introduce research and development (R&D) into a real business cycle model of a small open economy to capture different patterns of business cycles between developed economies and emerging markets. Based on this model, it is found that two stylized facts investigated from the empirical statistics are crucial for the interpretation of emerging market business cycles: (1) The volatility of foreign technology in the emerging market is higher than that in the developed economy; (2) The R&D expenditure to GDP ratio in the emerging market is less than that in the developed economy.