非零偏度與高峰度之收入變化對個體決策與一般均衡的影響

Abstract

本研究旨在分析收入變化的不同樣態對個體經濟行為和決策的影響，並探討其對總體經濟模型中的一般均衡及資產分配的影響。過去的實證研究文獻發現收入增長顯示出高峰度和左偏現象，這種特性可能會加劇收入不平等，進而影響個體的經濟行為。台灣的經濟發展也面臨著收入不平等問題，因此理解收入變化樣態對經濟行為的影響對於制定有效的經濟和社會政策具有重要意義。 本研究使用Normal Mixture AR (1) 模擬偏度與高峰度，再使用擴展Tauchen方法對NMAR過程進行Markov Chain的推估。結果顯示，峰度與偏度均顯著影響著儲蓄決策。在Aiyagari經濟模型中，隨著峰度增加和偏度由負轉正，資本總量增加、均衡利率降低、吉尼係數上升，意味著更多預防性儲蓄和更不均的收入分配。本研究為理解收入變化對經濟行為的影響提供了新視角，對政策制定具有重要意義。

關鍵字：收入變化、偏度、峰度、擴展Tauchen方法、常態混和AR (1)

This research aims to analyze how various patterns of income changes influence individual economic behavior and decision-making, and how they affect general equilibrium and asset distribution in macroeconomic models. Previous empirical research has found that income growth exhibits high kurtosis and left skewness, which may exacerbate income inequality and influence individual economic behavior. Given Taiwan''s own challenges with income inequality, understanding the effects of income change patterns on economic behavior is crucial for devising effective economic and social policies. To achieve this, the study employs a Normal Mixture AR(1) process to simulate skewness and kurtosis, followed by using the extended Tauchen method to estimate the Markov Chain of the NMAR process. The findings indicate that both kurtosis and skewness significantly influence saving decisions. Within the Aiyagari economic model, as kurtosis increases and skewness shifts from negative to positive, total capital rises, the equilibrium interest rate falls, and the Gini coefficient increases, suggesting greater precautionary savings and a more unequal income distribution. This study offers a fresh perspective on how income changes affect economic behavior, holding vital implications for policy formulation.

Keywords: Income change, Skewness, Kurtosis, Extended Tauchen method, Normal Mixture AR (1)