臺灣博碩士論文加值系統

為了評估金融變數的波動對勞動供給與失業率的影響，本文分別以修正的跨期選擇模型與Layard-Nickell模型建立理論與實證上的分析架構。在修正的跨期選擇理論中，利用非預期效用最大化分析架構及Selden的序列確定均等（ordinal certainty equivalent）偏好，配合勞動者多樣化資產配置行為，推估國內外利率風險與匯率風險對勞動供給與失業率的影響。由理論模型的推導顯示，國內外利率與匯率風險對勞動供給的衝擊效果決定於跨期替代彈性，而非多數文獻上所認為的風險趨避程度。當跨期替代彈性小於一時，國內外利率與匯率風險增加會提升勞動供給，在其他條件不變下，此過剩的勞動供給將使失業率上升；反之，彈性大於一時，則勞動供給與失業率下降。即使勞動者進行資產多樣化配置，各資產報酬率風險對勞動供給的影響仍決定在跨期替代彈性值的大小。
實證上為了有更完整的模型來分析國內外利率與匯率風險對勞動供給與失業率的影響，文中另修正Layard-Nickell的小型總體經濟模型中的勞動市場，將國內外利率與匯率風險變數一併納入勞動供給方程式中，透過聯立方程式體系的估計，以求得更精確的估計結果。實證結果顯示，1993年至1999年期間，模型中大部分的外生變數對勞動市場是具有顯著的影響效果。國內利率與匯率確實影響勞動供給，且是負向的，此隱含消費者跨期替代彈性大於一。
由失業率對國內外利率與匯率風險變數，以及Layard-Nickell模型中的外生變數所作的迴歸式結果得知，國內外利率風險對失業率的影響為負向的。表示國內外利率風險增加將使得失業率減少，由理論模型的結論判斷，即隱含勞動者的跨期替代彈性大於一。換言之，國內外利率風險兩個金融變數確實影響1993年至1999年期間台灣的失業率。此外，增加資本存量與降低邊際稅率均有助於高失業率的改善；廠商利潤的提升則無助於失業率的下降。

When the rate of return on an individual’s savings is risky, the access to a labor market to work for a riskless wage provides a means of hedging this capital income risk by working more. In a non-expected utility maximizing framework using Selden’s OCE preference we investigate the effects of a change in the rate of return risk or the exchange rate of return risk on such precautionary labor supply decision. It is shown that an increase in the rate of return risk or the exchange rate of return risk leads to an increase (a decrease) in the optimal labor supply only when the elasticity of intertemporal substitution for consumption falls short of (exceeds) unity. An OLS regression of unemployment rate on interest rate and exchange rate risks is clearly problematic because of omitted-variables’ bias due to the exclusion of important macroeconomic variables influencing aggregate unemployment rate. So we use the fixed Layard-Nickell model.
An empirical analysis, using a GARCH model to estimate the interest rate risk; using the two stage least square approach to estimate the fixed Layard-Nickell model, reveals that in the Taiwan, unemployment rate has responded positively to an decrease in time-varying real interest rate risk.

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構流程 4
第二章 文獻回顧 6
第一節 失業與就業之相關定義 6
第二節 影響失業的因素 12
第三章 理論模型 15
第一節 修正的跨期選擇模型－利率風險與匯率風險之考量 15
第二節 修正的LAYARD-NICKELL模型 21
第四章 實證方法與資料來源 26
第一節 資料來源 26
第二節 單根檢定 28
第三節 GARCH模型 31
第四節 兩階段最小平方法 34
第五章 實證結果分析 36
第一節 利率與匯率風險之估計 36
第二節 修正後LAYARD-NICKELL 模型及失業率之估計 38
第六章 結論與建議 46
第一節 結論 46
第二節 後續研究建議 48
參考文獻 49
附錄 53

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