財政政策經濟效果之研究：動態隨機一般均衡(DSGE)模型之應用

Abstract

自2008年美國發生次貸危機(Subprime crisis)以來，全球經濟受到巨大的影響，各國政府因而施行各種貨幣及財政政策，以期能提振國內景氣。然而這些政策是否真的能對國內總體經濟產生影響？本文利用一新興凱因斯(New Keynesian)小型開放經濟之動態隨機一般均衡(Dynamic stochastic general equilibrium, DSGE)模型，並加入勞動搜尋模型之架構來觀察財政政策對總體經濟變數，包括對勞動市場之效果。 本文首先使用台灣資料進行結構式向量自我迴歸模型(Structural vector autoregression, SVAR)分析，再利用建構出之DSGE模型進行模擬。結果發現於實際資料中，擴張性財政政策可使國內生產毛額(GDP)增加，其中貿易財部門生產毛額減少，而非貿易財部門生產毛額增加；且政府支出增加時可使貿易財與非貿易財相對價格下降、民間消費支出上升、整體勞動就業率無大幅變動、貿易財部門就業率下降、非貿易財部門就業率上升等結果。而於模型動態模擬中，當政府支出偏重於非貿易財時，貿易財與非貿易財相對價格下降，本國中間貿易財生產毛額及就業率先上升後下降，非貿易財部門生產毛額及就業率皆上升，整體就業率則受本國中間貿易財部門影響也為先升後降之情況。此外，政府支出偏重於本國中間貿易財時，其生產毛額及就業率卻反而呈現下降之情況，而非貿易財部門及全國之就業率及生產毛額則皆為上升。 綜合以上，擴張性財政政策確實可達到增加GDP、提高民間消費等效果，但由實際資料觀察可發現財政政策對整體就業率之影響似乎不大。此外，政府施行政策時應特別注意不同部門間之互動及影響，如此才能使政策發揮最佳效果。

Since the subprime crisis launched in 2008, the world economy has been damaged seriously, so the government in every country conducted both monetary and fiscal policy to boost the economy. However, do these policies really have effects on macroeconomic environment? This paper investigates the impact of fiscal policy on macro economy, including labor market, using a New Keynesian small open economy dynamic stochastic general equilibrium (DSGE) and labor search model. We conduct a structural vector autoregression (SVAR) analysis for Taiwan’s data, and use the DSGE model to simulate real world conditions. First, we find that expansionary fiscal policy can increase gross domestic product (GDP) and private consumption, lower the relative price of traded goods and non-traded goods in the real data, but it has not significant impact on the unemployment rate. Moreover, in our dynamic simulation, when government spends more on non-traded goods, the relative price of traded goods and non-traded goods will lower, the product and employment rate of home traded goods sector will also decrease; in contrast, the product and employment rate of non-traded goods sector will increase. On the other hand, when government spends more on home traded goods, the product and employment rate of non-traded goods sector will increase, but the product and employment rate of home traded goods sector would decrease. To sum up, expansionary fiscal policy can indeed increase GDP and private consumption. However, it seems to have little effect on employment rate of whole country in real data. So, government should pay attention to the effect between traded goods and non-traded goods sectors in order to achieve the desired policy goals.