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題名 在動態隨機一般均衡模型下台灣消費習慣形成之估計
Habit formation in consumption in Taiwan: The estimation of a dynamic stochastic general equilibrium model作者 陳宏鈞
Chen, Hung Chun貢獻者 黃俞寧
陳宏鈞
Chen, Hung Chun關鍵詞 習慣形成
Habit Formation日期 2009 上傳時間 9-May-2016 13:27:35 (UTC+8) 摘要 Many studies have proved that a model with habit formation can well capture consumers’ responses to monetary policy and thus serves as a better platform for monetary policy analyses. However, most studies on monetary policy of Taiwan neglect habit formation. The goal of this paper is to verify the behavior of habit formation in consumption in Taiwan with the generalized methods of moments (GMM). Following Leith and Malley (2005), we develop a dynamic stochastic general equilibrium (DSGE) model in a closed economy and find that habit formation behavior is significant in Taiwan. The results from GMM estimation are as follows. The estimated value of habit persistence is 0.934, accord with that of other countries. Households would spend about 4 years to set the new wage contracts. Furthermore, it takes about 4.5 years for firms to reset the new price. 參考文獻 Abel, A. B. (1990), “Asset Prices under Habit Formation and Catching up with the Joneses” American Economic Review, 80(2), 38-42 Amato, J. D. and T. Laubach (2004), “Implications of Habit Formation for Optimal Monetary Policy” Journal of Monetary Economics, 51, 305-325 Bouakez, H., E. Cardia and F. J. Ruge-Murcia (2005), “Habit Formation and the Persistence of Monetary Shocks” Journal of Monetary Economics, 52, 1073-1088 Calvo, G. A. (1983) “Staggered Prices in a Utility-Maximizing Framework” Journal of Monetary Economics, 12, 383-398 Carroll, C. D. (2001), “Solving Consumption Models with Multiplicative Habits” Economics Letters, 68, 67-77 Christoffel, K. (2003), “Habit Formation in Consumption: Estimation Result for the US and the Europe Area” University of Frankfurt Constantinides, G. M. (1990), “Habit Formation: A Resolution of the Equity Premium Puzzle” Journal of Political Economy, 98, 519-543 Erceg, C. J., D. W. Henderson and A. T. Levin (2000) “Optimal Monetary policy with Staggered Wage and Price Contracts” Journal of Monetary Economics, 46, 281-313 Fuhrer, J. C. (2000), “Habit Formation in Consumption and Its Implications for Monetary-Policy Models” American Economic Review, 90(3), 367-390 Gali, J. and M. Gertler (1999), “Inflation Dynamics: A Structural Econometric Analysis” Journal of Monetary Economics, 44, 195-222 Gali, J., M. Gertler and J. D. Lopez-Salido (2001), “European Inflation Dynamics” European Economic Review, 45, 1237-1270 Gali, J., M. Gertler and J. D. Lopez-Salido (2005), “Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve” Journal of Monetary Economics, 52, 1107-1118 Leith, C. and J. Malley (2005), “Estimated General Equilibrium Models for the Evaluation of Monetary Policy in the US and Europe” European Economic Review, 49, 2173-2159 McCallum, B. T. and E. Nelson (1999), “Nominal Income Targeting in an Open-Economy Optimizing Model” Journal of Monetary Economics, 43, 553-578 Newey, W. and K. West (1987), “A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix” Econometrica, 55, 703-708 Pagano, P. (2004), “Habit Persistence and the Marginal Propensity to Consume in Japan” Journal of the Japanese and International Economies, 18, 316-329 Rotemberg, J. and M. Woodford (1998), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy” NBER Technical Working Papers, No. 0233 Stock, J., J. Wright and M. Yogo (2002), “A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments” Journal of Business and Economic Statistics, 20, 518-529 Teo, W. L. (2008), “An Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy” Pacific Economic Review Zhang, C. (1996), “Habit Formation and Dynamic Saving Behavior: Evidence from Taiwan” University Microfilms International Dissertation Services 描述 碩士
國立政治大學
經濟學系
95258013資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095258013 資料類型 thesis dc.contributor.advisor 黃俞寧 zh_TW dc.contributor.author (Authors) 陳宏鈞 zh_TW dc.contributor.author (Authors) Chen, Hung Chun en_US dc.creator (作者) 陳宏鈞 zh_TW dc.creator (作者) Chen, Hung Chun en_US dc.date (日期) 2009 en_US dc.date.accessioned 9-May-2016 13:27:35 (UTC+8) - dc.date.available 9-May-2016 13:27:35 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 13:27:35 (UTC+8) - dc.identifier (Other Identifiers) G0095258013 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/94921 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 95258013 zh_TW dc.description.abstract (摘要) Many studies have proved that a model with habit formation can well capture consumers’ responses to monetary policy and thus serves as a better platform for monetary policy analyses. However, most studies on monetary policy of Taiwan neglect habit formation. The goal of this paper is to verify the behavior of habit formation in consumption in Taiwan with the generalized methods of moments (GMM). Following Leith and Malley (2005), we develop a dynamic stochastic general equilibrium (DSGE) model in a closed economy and find that habit formation behavior is significant in Taiwan. The results from GMM estimation are as follows. The estimated value of habit persistence is 0.934, accord with that of other countries. Households would spend about 4 years to set the new wage contracts. Furthermore, it takes about 4.5 years for firms to reset the new price. zh_TW dc.description.tableofcontents I. Introduction 1.1 Motivation 1.2 Literature Review 1.3 Habit Formation and Phillips Curve 1.4 Framework II. The Model 2.1 Consumer behavior 2.2 Wage setting 2.3 Firm’s Pricing Setting III. Data IV. Estimation results V. Conclusion Appendix A Appendix B Appendix C References zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095258013 en_US dc.subject (關鍵詞) 習慣形成 zh_TW dc.subject (關鍵詞) Habit Formation en_US dc.title (題名) 在動態隨機一般均衡模型下台灣消費習慣形成之估計 zh_TW dc.title (題名) Habit formation in consumption in Taiwan: The estimation of a dynamic stochastic general equilibrium model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Abel, A. B. (1990), “Asset Prices under Habit Formation and Catching up with the Joneses” American Economic Review, 80(2), 38-42 Amato, J. D. and T. Laubach (2004), “Implications of Habit Formation for Optimal Monetary Policy” Journal of Monetary Economics, 51, 305-325 Bouakez, H., E. Cardia and F. J. Ruge-Murcia (2005), “Habit Formation and the Persistence of Monetary Shocks” Journal of Monetary Economics, 52, 1073-1088 Calvo, G. A. (1983) “Staggered Prices in a Utility-Maximizing Framework” Journal of Monetary Economics, 12, 383-398 Carroll, C. D. (2001), “Solving Consumption Models with Multiplicative Habits” Economics Letters, 68, 67-77 Christoffel, K. (2003), “Habit Formation in Consumption: Estimation Result for the US and the Europe Area” University of Frankfurt Constantinides, G. M. (1990), “Habit Formation: A Resolution of the Equity Premium Puzzle” Journal of Political Economy, 98, 519-543 Erceg, C. J., D. W. Henderson and A. T. Levin (2000) “Optimal Monetary policy with Staggered Wage and Price Contracts” Journal of Monetary Economics, 46, 281-313 Fuhrer, J. C. (2000), “Habit Formation in Consumption and Its Implications for Monetary-Policy Models” American Economic Review, 90(3), 367-390 Gali, J. and M. Gertler (1999), “Inflation Dynamics: A Structural Econometric Analysis” Journal of Monetary Economics, 44, 195-222 Gali, J., M. Gertler and J. D. Lopez-Salido (2001), “European Inflation Dynamics” European Economic Review, 45, 1237-1270 Gali, J., M. Gertler and J. D. Lopez-Salido (2005), “Robustness of the Estimates of the Hybrid New Keynesian Phillips Curve” Journal of Monetary Economics, 52, 1107-1118 Leith, C. and J. Malley (2005), “Estimated General Equilibrium Models for the Evaluation of Monetary Policy in the US and Europe” European Economic Review, 49, 2173-2159 McCallum, B. T. and E. Nelson (1999), “Nominal Income Targeting in an Open-Economy Optimizing Model” Journal of Monetary Economics, 43, 553-578 Newey, W. and K. West (1987), “A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix” Econometrica, 55, 703-708 Pagano, P. (2004), “Habit Persistence and the Marginal Propensity to Consume in Japan” Journal of the Japanese and International Economies, 18, 316-329 Rotemberg, J. and M. Woodford (1998), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy” NBER Technical Working Papers, No. 0233 Stock, J., J. Wright and M. Yogo (2002), “A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments” Journal of Business and Economic Statistics, 20, 518-529 Teo, W. L. (2008), “An Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy” Pacific Economic Review Zhang, C. (1996), “Habit Formation and Dynamic Saving Behavior: Evidence from Taiwan” University Microfilms International Dissertation Services zh_TW
