臺灣博碩士論文加值系統

摘　　要
近幾年來，物價黏稠性的議題在總體經濟的領域中不斷地受到討論。從事這方面研究的是凱因斯學派的另一支派，經濟學界稱之為新凱因斯學派。新凱因斯學派引進理性預期因素的影響，強調勞動契約的束縛，使工資無法立即調整至均衡工資，因而促使工資並延伸至物價均具有調整遲滯的現象。此外，新凱因斯學派所強調的物價黏稠性模型，亦逐漸地在貨幣政策分析上受到重視。
整體而言，從1980年代起之近二十年資料顯示，台灣貨幣供給成長率(M2)約15.62%，實質GNP成長率約6.9%，物價上漲率大約只有2%；若假設貨幣流通速度很穩定，依據古典的貨幣數量學說，我們發現貨幣供給成長率與物價上漲率及產出成長率之間存在約6.5%的巨大缺口，此遠已違反了古典的貨幣數量學說。過去學者，如Wu and Lin(1994)，強調匯率因素對上述的巨大缺口可適度扮演填補的角色，他們認為在貨幣供給高度成長的1980年代，物價的平穩是因為匯率升值所導致。另外，從數據資料顯示貨幣供給的高度成長及低成長的物價，亦令人難以相信台灣的物價是具有完全伸縮性。因此，本文嘗試從總體經濟的角度，利用Dutkowsky(1996)所發展出來的方法，修正的AD-AS模型，推導出可測試一般物價是否具有完全伸縮的計量模型，並利用台總體資料驗證台灣物價的調整是否具有遲緩的特性。
一般而言，物價可能遵循三種調整路徑，包括了物價的調整具有完全伸縮性、調整遲滯(黏稠性)以及完全僵固，從實證的結果發現，台灣物價不具有完全伸縮性，從近二十年來總體的時間序列資料發現，一般物價會隨著時間的改變而改變，呈穩定成長的現象，並非呈完全僵固的現象，從實證結果並比對數據資料所顯示的現象，大致上可推論台灣的一般物價的調整符合新凱因斯的觀點，即物價具有黏稠性的特性。

Abstract
Recently, the issues of sticky price have been discussed in the foreign literature of the macroeconomics field. In order to illustrate sticky price, these authors, called New Keynesians, shown that, in a rational expectation model, an induction of constraint of labor contract has lead wages not to adjust to equilibrium level immediately, which in turn would lead prices to have stagnant adjustment. Besides, New Keynesian sticky-price model has received attention increasingly in monetary policy analysis in more recent year.
It could be shown using Taiwan''s annual data for 1982-2001 that the average annual growth rate of money supply (M2) was 15.62%, and the average annual growth rates of real GNP and price were 6.9% and 2%, respectively. In words, with stable money velocity, there existed a large gap around 6.5%, accordance with classical money quantity theory. Wu and Lin (1994) emphasized that exchange rate could reasonably play a key role to block up this big gap. They emphasized that the sharply appreciation in exchange rate was the reason why the high growth rates of money supply during the 1980s in Taiwan did not cause high inflation rates. From a different point of view, the fact that highly money supply growth rates and lowly inflation rates revealed by Taiwan''s data can also be illustrate by a postulate that price may never perfectly flexible in Taiwan. Therefore, from a viewpoint of macroeconomics, the method, a variation of AD-AS model, developed by Dutkowsky (1996), is employed in this thesis to derive a testable econometric model, which the hypothesis of perfectly flexible price can be examined. Using this empirical model, Taiwan''s macro data are, in turn, adopted to test the hypothesis of stick price.
Generally speaking, price level may follow three ways to adjust－perfect flexibility, stagnancy (stickiness) and perfect rigidity. The empirical results in this thesis show that price level may not be perfectly flexible in Taiwan. In addition, the general price level, shown from Taiwan''s macro time series data, appears stable growth over time. Combining empirical results and actuality phenomenon above can lead us to conclude that the adjustment of general price level in Taiwan may be approximately stagnant, which supports new Keynesians viewpoint of sticky price.

〔論文目次〕
目錄
第一章　 緒論…………………………………………………………1
第一節　 研究動機與目的………………………………………1
第二節　 研究方法及研究範圍…………………………………4
第三節　 本文的架構……………………………………………4
第二章　 物價黏稠性之文獻回顧……………………………………6
第一節　 文獻之分類……………………………………………6
第二節　 經濟問題方面…………………………………………9
第三節　 計量上的問題…………………………………………15
第四節　 資料衡量上的問題……………………………………15
第五節　 通膨衡量上的問題……………………………………17
第三章　 基本理論……………………………………………………18
第一節　 物價黏稠性……………………………………………18
第二節　 菲力普曲線……………………………………………19
第四章　 理論模型及研究方法………………………………………21
第一節　 AD-AS的計量模型之建構……………………………21
第二節　 定態與非定態…………………………………………30
第三節　 單根檢定………………………………………………31
第四節　 一般化動差估計法(GMM)……………………………34
第五章　　AD-AS的實證分析…………………………………………39
第一節　 資料來源與資料處理…………………………………39
第二節　 實證結果分析…………………………………………41
第六章　 結論…………………………………………………………55
參考文獻………………………………………………………………57
附錄……………………………………………………………………65
表次
表一 歷年總體變數的資料------------------------------------------------------------------------5
表二 各個變數單根檢定的結果-------------------------------------------------------------------46
表三 模型估計結果－( 以產出缺口為衡量變數、 以勞動力為衡量變數)-------------------------------47
表四 模型估計結果－( 以產出缺口為衡量變數、 以勞動參與率為衡量變數)---------------------------48
表五 模型估計結果－( 以產出缺口為衡量變數、 以勞動力為衡量變數)------------------------------ 49
表六 模型估計結果－( 以產出缺口為衡量變數、 以勞動參與率為衡量變數)---------------------------50
表七 估計結果－( 以存貨缺口為衡量變數、 以勞動力為衡量變數)-----------------------------------51
表八 估計結果－( 以存貨缺口為衡量變數、 以勞動參與率為衡量變數)-------------------------------52
表九 估計結果－( 以存貨缺口為衡量變數、 以勞動力為衡量變數)-----------------------------------53
表十 估計結果－( 以存貨缺口為衡量變數、 以勞動參與率為衡量變數)-------------------------------54
圖次
圖一 衝擊由需求面造成的-----------------------------------------------------------------------19
圖二 衝擊由供給面造成的-----------------------------------------------------------------------19
圖三 台灣菲力普曲線圖-------------------------------------------------------------------------20
圖四 工資率對工資意願的影響-------------------------------------------------------------------66
圖五 總合需求曲線與古典學派下的總合供給曲線---------------------------------------------------68
圖六 總合需求曲線與凱因斯學派下的總合供給曲線-------------------------------------------------69

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