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| ???org.dspace.app.webui.jsptag.ItemTag.dcfield??? | Value | Language |
|---|---|---|
| dc.contributor.advisor | 林建甫 | |
| dc.contributor.author | Hsiao-Yi Huang | en |
| dc.contributor.author | 黃孝怡 | zh_TW |
| dc.date.accessioned | 2021-05-16T16:27:14Z | - |
| dc.date.available | 2015-02-05 | |
| dc.date.available | 2021-05-16T16:27:14Z | - |
| dc.date.copyright | 2013-02-05 | |
| dc.date.issued | 2013 | |
| dc.date.submitted | 2013-01-31 | |
| dc.identifier.citation | Beidas-Storm S.,Poghosyan T. (2009), “An Estimated Dynamic Stochastic General equilibrium Model of the Jordanian Economy”, International Monetary Fund, IMF Working Paper No. 11/28, 2011, 251pp.
Calvo, G.(1983), ”Staggered Prices in a Utility-Maximizing Framework”, Journal ofMonetary Economics, 12, 3, pp. 383-398. Christiano L.J., Eichenbaum M. and Evans C.(2005),”Nominal Rigidities and theDynamic Effects of a Shock to Monetary Policy”, Journal of Political Economy, 113,1, pp. 1-45. De Fiore,F., Lombardo, G., and Stebunovs, V.(2006), ”Oil Price Shocks, Monetary Policy Rules and Welfare”, Computing in Economics and Finance, Society for Computational Economics 402 DeJonga,D. N.,Ingram,B. F., and Whiteman, C. H.(2000), “A Bayesian Approach to DynamicMacroeconomics”,Journal of Econometrics, Volume, 98, Issue 2, October 2000, Pages 203–223 Funke M., Paetz M., and Ernest Pytlarczyk,E.(2011),”Stock Market Wealth Effects in an Estimated DSGE Model for Hong Kong”,Economic Modelling , vol. 28, no. 1, 2011, pp. 316-334 Griffoli, T.M. (2007),“DYNARE User Guide: An Introduction to theSolution and Estimation of DSGE models.”,http://www.dynare.org/documentation-and-support/user-guide Golosov, M., Hassler, J., Krusell, P. and Tsyvinski, A.(2011),“Optimal Taxes on Fossil Fuel In General Equilibrium”, NBER Working Paper 17348. Hamilton, J.D.(1983), ”Oil and the Macroeconomy since World War II”, Journal of Political Economy, 91, 2, pp. 228-248. Hamilton, J.D. and Herrera, A.M.(2004),”Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy”, Journal of Money, Credit, and Banking, 36, 2, pp. 265-286. Hongzhi,T.(2010),“Effects of Oil Price Shocks on Japan’s Economy: A DSGE Approach”, International Research Journal of Finance and Economics, Issue 42, pp63-73 Ireland, P. N.(1997),“ASmall,Structural,Quarterly Model for Monetary Policy Evaluation”, Carnegie-Rochester Conference Series on Public Policy, 47, pp 83-118 Liu, guangling and Gupta,R.(2007),”A small-scale DSGE Model for Forecasting the South African economy “,South African Journal of Economics, Volume 75, issue 2 (June 2007), pp. 179-193. Liao, E.A.Teng, C.H.(2008),”The Effects of Monetary Policy: a DSGE Model analysis of Taiwan”, Applied Economics, 40, pp.1043-1051 Lucas, Robert(1976), 'Econometric Policy Evaluation: A Critique', Carnegie-Rochester Conference Series on Public Policy 1 (1): pp19-46 Medina, J. P. and Soto, C.(2006), “Model for Analysis and Simulations: A Small Open Economy DSGE for Chile”, Conference Paper, Central Bank of Chile Millard,S.(2011), ”An Estimated DSGE Model of Energy, Costs and Inflation in the United Kingdom”, Bank of England Working Paper No. 432, July 26 Peersman, G. and Stevens, A.(2012), ”Analyzing Oil Demand and Supply Shocks in an Estimated DSGE-Model”, Ghent University, manuscript Rabanal, P.(2007), “Does Inflation Increase after a Monetary Policy Tightening? Answers Based on aEstimatedDSGE Model”, Journal of Economic Dynamics & Control, 31, pp.906–937 Smets, F. and Wouters, R.(2007),“Shocks and Frictions in US Business Cycles: ABayesian DSGE Approach”, American Economic Review, 97, 3, pp. 586-606 Smets, F. and Wouters R.(2003),“An Estimated Dynamic Stochastic General EquilibriumModel of the Euro Area,” Journal of European Economic Association, 1(5), 1123–1175 Teo, W.L.(2009), “An Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy”, Pacific Economic Review, 14(2), 194-231 Unalmis,D.,Unalmis,I. andUnsa F. D.(2009),“On the Sources of Oil Price Fluctuations”, International Monetary Fund, IMF Working Paper No. 09/285 Uhlig, H.(2007),” Explaining Asset Prices with External Habits and Wage Rigidity in a DSGEModel”, American Economic Review, 97, pp.239–243 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/6365 | - |
| dc.description.abstract | 本文試圖以發展並估計一個新凱恩斯動態隨機一般均衡模型以探討石油稅對台灣經濟的影響。本文主要依循ChristianoChristiano、Eichenbaum and Evans(2005）、Ireland (1997) 與Peersmanand Stevens (2012)發展的模型，模型的結構參數以Bayesian方法估計，模型構建假設調整工資的頻率較少。在此模型中，石油作為生產的輸入，也是消費的一部分，石油和其他類型的消費產品之間有靈活的替代彈性。我們並模擬具有石油稅時動態隨機一般均衡模型的結果並和比較根據不同的石油稅率假設時動態隨機一般均衡模型的結果。
本文的主要結果是生產要素的衝擊，消費者偏好衝擊，工資調整成本衝擊將立即引起輸出和附加價值的生產消費的提升。資金利用率造成輸出的提升導因於的勞動量的改變。價格調整成本衝擊、石油價格衝擊將升通貨膨脹和減緩消費。利率調整的成本衝擊將使輸出和附加值商品下降。石油稅會影響消費者的偏好並加強價格調整的負面影響，石油稅也將減少工資調整的效應、消費和生產。不同石油稅率造成的估計衝擊沒有明顯的不同。在政策的意義上來說，石油稅可能會降低石油的消費量並衝擊經濟成長，但不同類型的石油稅間不會有明顯的差別。 | zh_TW |
| dc.description.abstract | This paper is an attempt to develop and estimate a New Keynesian dynamic stochastic general equilibrium model of Taiwan. In this paper, the model is following Christiano, Eichenbaum and Evans(2005), Ireland (1997) and Peersman and Stevens (2012).The structural parameters of this model are estimated by using a Bayesian approach and the model is constructing by being assumed to adjust wages infrequently. Oil is used as an input to production and is also a part of the household’s consumption in this paper.There is a flexible elasticity of substitution between oil and other types of consumption goods in the consumption bundle. We also simulate the DSGE model including oil tax and compare the results under various oil tax rules.
The main results of this paper are the production factor shock, consumer preference shock, wage adjustment cost shock will immediately rise output and the value-add production consumption. The capital utilization shock will rise output due to the raise of number of labor. The price adjustment cost shock, oil price shock will rise inflation and fall consumption. The interest rate adjustment cost shock will fall output and added-value goods.Then the oil tax will affect the consumer preference and strengthen the negative effects of price adjustment, and the oil tax will reduce the effects of wage adjustment, the consumption and production. The estimated impulses between the oil tax rule which the amount of oil tax is proportion to oil price and the oil tax rule which is that the amount of oil tax is proportion to the amount of oil are not obviously different. The main contribution of this paper is that we simulate how the exogenous shocks would affect macroeconomic by using the estimated DSGE model. And the numerical results show that the variables are not substantially affected by the presence of nominal rigidities. This paper also aims to explore the complications of the effects between these exogenous shocks. The suggestions of this paper are followings. First, the oil tax would reduce oil consumption and impact economic growth. Second, the effects of different types of oil tax are not obviously different. | en |
| dc.description.provenance | Made available in DSpace on 2021-05-16T16:27:14Z (GMT). No. of bitstreams: 1 ntu-102-P99323025-1.pdf: 901172 bytes, checksum: bba5951f0a2ee8f1e100d1bcb5a708f0 (MD5) Previous issue date: 2013 | en |
| dc.description.tableofcontents | 誌謝………………………………………………………………vi
摘要………………………………………………………………vii Abstract…………………………………………………………viii Chapter 1 Introduction 1.1 Oil and Macroeconomic………………………………………………1 1.2 DSGE model……………………………………………1 1.3 Oil Tax and DSGE model…………………………………………4 1.4 Literature review…………………………………………………4 1.5 Structure of the paper……………………………………6 Chapter 2 DSGE model 2.1 Household……………………………………………………………7 2.2 Firms………………………………………………………………10 2.2.1 Final firms……………………………………………………10 2.2.2 Intermediate firms……………………………………………11 2.3 Log-Linearized Model………………………………………13 Chapter 3Estimation methodology 3.1 Parameter estimation……………………………………………17 3.2 Priors distribution……………………………………………18 3.3 Posteriors distribution………………………………………24 3.4 Solving of the DSGE model……………………………26 Chapter 4 Experiment result 4.1 Estimated results………………………………………………28 4.2 Estimated Impulse responses of structural shocks………35 4.2.1 The production factor shock………………………………35 4.2.2 The consumer preference shock……………………36 4.2.3 The price adjustment cost shock………………………38 4.2.4 The wage adjustment cost shock…………………………39 4.2.5 The oil price shock…………………………………………41 4.2.6 The capital utilization shock………………….……….41 4.2.7 The interest rate adjustment cost shock………………43 Chapter 5 Discussion about Oil Tax 5.1 Oil tax and the DSGE model…………………………..………45 5.2 Impulse responses of structural shocks - the amount of oil tax is proportion to oil price ……………………………………………………………………………46 5.2.1 The production factor shock………………………………46 5.2.2 The consumer preference shock……………………46 5.2.3 The price adjustment cost shock………………………47 5.2.4 The wage adjustment cost shock…………………………48 5.2.5 The oil price shock………………………………………50 5.2.6 The capital utilization shock……………………………51 5.2.7 The interest rate adjustment cost shock……………52 5.3 Impulse responses of structural shocks - the amount of oil tax is proportion to amount of oil consumption……53 Chapter 6 Conclusion……………………………………………55 Reference…………………………………………………………57 Appendix A: Log-linear Model of DSGE model………………59 Appendix B: Dynare core ………………………………………61 | |
| dc.language.iso | en | |
| dc.title | 以動態一般均衡模型評估石油稅對台灣經濟之影響 | zh_TW |
| dc.title | The Impact on Oil Tax of Taiwan:
A Dynamic Stochastic General Equilibrium Model Approach | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 101-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 翁永和,莊慶達,葉欣誠 | |
| dc.subject.keyword | New Keynesian,DSGE模型,石油稅, | zh_TW |
| dc.subject.keyword | New Keynesian,DSGE model,oil tax, | en |
| dc.relation.page | 64 | |
| dc.rights.note | 同意授權(全球公開) | |
| dc.date.accepted | 2013-01-31 | |
| dc.contributor.author-college | 社會科學院 | zh_TW |
| dc.contributor.author-dept | 經濟學研究所 | zh_TW |
| Appears in Collections: | 經濟學系 | |
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| ntu-102-1.pdf | 880.05 kB | Adobe PDF | View/Open |
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