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題名 社會網路與貨幣政策: 兼論「權衡」與「法則」
Social network and monetary policy: rule versus discretion
作者 溫明昌
貢獻者 陳樹衡
溫明昌
關鍵詞 社會網路
互動
新凱因斯動態隨機一般均衡模型
貨幣政策
權衡與法則
產出缺口
通貨膨脹
波動性
Social Network
Interaction
DSGE model
Monetary policy
Rule versus Discretion
Output gap
Inflation
Volatility
日期 2011
上傳時間 30-Oct-2012 14:04:52 (UTC+8)
摘要 本文建構代理人基之社會網路新凱因動態隨機一般均衡模型(Social Network-Based DSGE model)，並分別使用權衡性門檻型泰勒法則與一般線型泰勒法則作為代理人基之社會網路新凱因斯動態一般均衡模型中的貨幣政策方程式，模擬產出缺口、通貨膨脹、利率等總體經濟變數資料，接著利用模擬資料，探討不同網路結構對產出缺口、通貨膨脹等總體經濟變數的影響，同時比較權衡性貨幣政策與法則性貨幣政策穩定經濟的有效性。
　　透過產出缺口與通貨膨脹的波動性分析，本研究發現某些特定社會網路結構的影響力大於貨幣政策的影響力，決定了經濟變數的波動程度。在完全連結網路(Fully)的結構下，通貨膨脹與產出缺口的波動度明顯低於其他結構，而無標度網路(Scalefree)的結構會使產出與通膨的波動程度最大。經過驗證，本研究發現群聚度大、平均路徑短的網路結構內節點之間資訊流通速度較快，對穩定經濟有正面助益；相反的，由於無標度網路強大的中心性，使該網路內指標性節點對其餘節點具有龐大影響力，增加節點內決策的不確定性，連帶造成經濟的大幅波動。另外，在相同的網路結構下比較權衡與法則貨幣政策，研究結果指出權衡性政策會造成較大的產出缺口波動，但對抑制通貨膨脹波動的效果較佳；相對的，法則性政策對產出缺口的穩定效果較好，但卻無法兼顧通貨膨脹的波動性。
We construct an agent-based New Keynesian DSGE model (Dynamic Stochastic General Equilibrium) with different social network structures to investigate the effects of the rule and discretion monetary policy. According to our simulation results, we find the economic stability depends on the specific social network structure rather than the monetary policy basis like rule and discretion. Generally speaking, the more average path length (the less average clustering coefficient) the network structure is, the more economic fluctuation would be. Also, the results show that scalefree network will lead the most dramatic economic fluctuations. These results are ascribed to scale
-free’s high centrality. However, if the social network structure is too complicate to control, the central banker can only manipulate the monetary policy to stabilize the economy. With different policy basis, we find the rule monetary policy will lead less output gap volatility.
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描述 碩士
國立政治大學
經濟學系
99258034
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099258034
資料類型 thesis
dc.contributor.advisor 陳樹衡zh_TW
dc.contributor.author (Authors) 溫明昌zh_TW
dc.creator (作者) 溫明昌zh_TW
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 14:04:52 (UTC+8)-
dc.date.available 30-Oct-2012 14:04:52 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 14:04:52 (UTC+8)-
dc.identifier (Other Identifiers) G0099258034en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54884-
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) 99258034zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 本文建構代理人基之社會網路新凱因動態隨機一般均衡模型(Social Network-Based DSGE model)，並分別使用權衡性門檻型泰勒法則與一般線型泰勒法則作為代理人基之社會網路新凱因斯動態一般均衡模型中的貨幣政策方程式，模擬產出缺口、通貨膨脹、利率等總體經濟變數資料，接著利用模擬資料，探討不同網路結構對產出缺口、通貨膨脹等總體經濟變數的影響，同時比較權衡性貨幣政策與法則性貨幣政策穩定經濟的有效性。
　　透過產出缺口與通貨膨脹的波動性分析，本研究發現某些特定社會網路結構的影響力大於貨幣政策的影響力，決定了經濟變數的波動程度。在完全連結網路(Fully)的結構下，通貨膨脹與產出缺口的波動度明顯低於其他結構，而無標度網路(Scalefree)的結構會使產出與通膨的波動程度最大。經過驗證，本研究發現群聚度大、平均路徑短的網路結構內節點之間資訊流通速度較快，對穩定經濟有正面助益；相反的，由於無標度網路強大的中心性，使該網路內指標性節點對其餘節點具有龐大影響力，增加節點內決策的不確定性，連帶造成經濟的大幅波動。另外，在相同的網路結構下比較權衡與法則貨幣政策，研究結果指出權衡性政策會造成較大的產出缺口波動，但對抑制通貨膨脹波動的效果較佳；相對的，法則性政策對產出缺口的穩定效果較好，但卻無法兼顧通貨膨脹的波動性。		zh_TW
dc.description.abstract (摘要) We construct an agent-based New Keynesian DSGE model (Dynamic Stochastic General Equilibrium) with different social network structures to investigate the effects of the rule and discretion monetary policy. According to our simulation results, we find the economic stability depends on the specific social network structure rather than the monetary policy basis like rule and discretion. Generally speaking, the more average path length (the less average clustering coefficient) the network structure is, the more economic fluctuation would be. Also, the results show that scalefree network will lead the most dramatic economic fluctuations. These results are ascribed to scale
-free’s high centrality. However, if the social network structure is too complicate to control, the central banker can only manipulate the monetary policy to stabilize the economy. With different policy basis, we find the rule monetary policy will lead less output gap volatility.		en_US
dc.description.tableofcontents 摘要 i
Chapter 1 緒論 1
Chapter 2 文獻回顧 5
2.1 社會網路與總體經濟 5
2.1.1 社會網路簡介 5
2.1.2 社會網路與經濟學 6
2.1.3 新凱因斯動態隨機一般均衡模型 6
2.2 貨幣政策論證-權衡與法則 8
2.2.1 法則論 9
2.2.2 權衡論 9
Chapter 3 模型介紹 11
3.1 社會網路 11
3.1.1 網路結構定義 11
3.1.2 網路結構拓樸(Network Topologies) 11
3.1.3 網路結構統計指標 17
3.2 代理人基新凱因斯動態隨機一般均衡模型(DSGE) 21
3.2.1 模型介紹 21
3.3 易行模型（Ising Model） 25
3.3.1 模型簡介 25
3.3.2 模型應用 26
Chapter 4 實驗設計 29
4.1 模擬變數資料 29
4.2 資料統計分析 31
Chapter 5 實驗結果 32
5.1 資料處理 32
5.2 討論-不同網路結構之下的波動性差異 36
5.2.1 網路特徵性分析 39
5.2.2 進階討論(一) : 完全聯結網(Fully) 41
5.2.3 進階討論(二) : 無標度網路(Scalefree) 45
5.2.4 迴歸分析 46
5.2.5 最佳策略選擇 47
5.2.6 改變網路結構的可行性 49
5.3 討論-不同貨幣政策選擇下的波動性差異 49
Chapter 6 結論 55
6.1 網路結構與總體經濟 55
6.2 單一網路結構下的政策選擇 57

參考文獻 58
附錄 65


表目錄

表3.1 社會網路統計指標 20
表4.1 權衡式門檻模型貨幣政策(政策A) 29
表4.2 固定施政目標的法則式貨幣政策(政策B) 30
表5.1 產出缺口之平均變異數 34
表5.2 通貨膨脹之平均變異數 35
表5.3 利率之平均變異數 36
表5.4 波動性排序比較(λ=0.1) 37
表5.5 不同 下的波動性排序比較 38
表5.6 網路結構特徵分析 40
表5.7 新建構網路結構之統計指標 40
表5.8 特殊網路波動性比較 41
表5.9 產出缺口偏離百分比 (%) 42
表5.10 通膨缺口偏離百分比 (%) 43
表5.11 網路結構特徵分析 43
表5.12 權衡政策之迴歸分析 46
表5.13 法則政策之迴歸分析 46
表5.14 降低產出波動的最佳與最差組合 48
表5.15 降低通膨波動的最佳與最差組合 48
表5.16 同時降低產出波動與通膨波動的最佳與最差組合 48
表5.17 貨幣政策波動性比較-環狀網路(Circle) 51
表5.18 貨幣政策波動性比較-小世界05(SW05) 52
表5.19 貨幣政策波動性比較-隨機網路(Random) 52
表5.20 貨幣政策波動性比較-小世界03(SW03) 52
表5.21 貨幣政策波動性比較-無標度網路(Scalefree) 53
表5.22 貨幣政策波動性比較-小世界01(SW01) 53
表5.23 貨幣政策波動性比較-小世界07(SW07) 53
表5.24 貨幣政策波動性比較-小世界09(SW09) 53
表5.25 貨幣政策波動性比較-規則網路(Regular) 54
表5.26 貨幣政策波動性比較-完全聯結網路(Fully) 54
表5.27 不同貨幣政策與變數波動性的關係 54
附表1 網路結構與不同貨幣政策組合之平均波動計算(λ=0.1) 65
附表2 網路結構與不同貨幣政策組合之平均波動計算(λ=0.3) 66
附表3 網路結構與不同貨幣政策組合之平均波動計算(λ=0.5) 66
附表4 網路結構與不同貨幣政策組合之平均波動計算(λ=0.7) 67
附表5 網路結構與不同貨幣政策組合之平均波動計算(λ=0.9) 67
附表6 迴歸分析樣本之網路結構特徵統計量 68
附表7 迴歸樣本之總體變數平均波動度計算 69


圖目錄

圖2.1 社會網路圖 5
圖3.1 Fully Connected Network 12
圖3.2 Circle Network 12
圖3.3 Regular Network 14
圖3.4 Small-World Network: p=0.1 14
圖3.5 Random Network: p=1 15
圖3.6 ScaleFree Network 15
圖5.1 產出缺口時間趨勢圖 32
圖5.2 通貨膨脹時間趨勢圖 33
圖5.3 利率時間趨勢圖 33		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099258034en_US
dc.subject (關鍵詞) 社會網路zh_TW
dc.subject (關鍵詞) 互動zh_TW
dc.subject (關鍵詞) 新凱因斯動態隨機一般均衡模型zh_TW
dc.subject (關鍵詞) 貨幣政策zh_TW
dc.subject (關鍵詞) 權衡與法則zh_TW
dc.subject (關鍵詞) 產出缺口zh_TW
dc.subject (關鍵詞) 通貨膨脹zh_TW
dc.subject (關鍵詞) 波動性zh_TW
dc.subject (關鍵詞) Social Networken_US
dc.subject (關鍵詞) Interactionen_US
dc.subject (關鍵詞) DSGE modelen_US
dc.subject (關鍵詞) Monetary policyen_US
dc.subject (關鍵詞) Rule versus Discretionen_US
dc.subject (關鍵詞) Output gapen_US
dc.subject (關鍵詞) Inflationen_US
dc.subject (關鍵詞) Volatilityen_US
dc.title (題名) 社會網路與貨幣政策: 兼論「權衡」與「法則」zh_TW
dc.title (題名) Social network and monetary policy: rule versus discretionen_US
dc.type (資料類型) thesisen
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