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https://ah.lib.nccu.edu.tw/handle/140.119/94921| 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 | 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\r\nAmato, J. D. and T. Laubach (2004), “Implications of Habit Formation for Optimal Monetary Policy” Journal of Monetary Economics, 51, 305-325\r\nBouakez, H., E. Cardia and F. J. Ruge-Murcia (2005), “Habit Formation and the Persistence of Monetary Shocks” Journal of Monetary Economics, 52, 1073-1088\r\nCalvo, G. A. (1983) “Staggered Prices in a Utility-Maximizing Framework” Journal of Monetary Economics, 12, 383-398\r\nCarroll, C. D. (2001), “Solving Consumption Models with Multiplicative Habits” Economics Letters, 68, 67-77\r\nChristoffel, K. (2003), “Habit Formation in Consumption: Estimation Result for the US and the Europe Area” University of Frankfurt\r\nConstantinides, G. M. (1990), “Habit Formation: A Resolution of the Equity Premium Puzzle” Journal of Political Economy, 98, 519-543\r\nErceg, 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\r\nFuhrer, J. C. (2000), “Habit Formation in Consumption and Its Implications for Monetary-Policy Models” American Economic Review, 90(3), 367-390\r\nGali, J. and M. Gertler (1999), “Inflation Dynamics: A Structural Econometric Analysis” Journal of Monetary Economics, 44, 195-222\r\nGali, J., M. Gertler and J. D. Lopez-Salido (2001), “European Inflation Dynamics” European Economic Review, 45, 1237-1270\r\nGali, 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\r\nLeith, 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\r\nMcCallum, B. T. and E. Nelson (1999), “Nominal Income Targeting in an Open-Economy Optimizing Model” Journal of Monetary Economics, 43, 553-578\r\nNewey, W. and K. West (1987), “A Simple Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix” Econometrica, 55, 703-708\r\nPagano, P. (2004), “Habit Persistence and the Marginal Propensity to Consume in Japan” Journal of the Japanese and International Economies, 18, 316-329\r\nRotemberg, J. and M. Woodford (1998), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy” NBER Technical Working Papers, No. 0233\r\nStock, 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\r\nTeo, W. L. (2008), “An Estimated Dynamic Stochastic General Equilibrium Model of the Taiwanese Economy” Pacific Economic Review\r\nZhang, 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 |
| Appears in Collections: | 學位論文 |
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