貨幣、工資契約與小型開放經濟之景氣循環－台灣之實證研究

Taiwan's Business Cycles: Money and Wage Contracts in a Small Open Economy

10.6277/ter.2004.321.2

張淑華(Shu-Hwa Chang)

貨幣景氣循環 ； 小型開放經濟 ； 工資契約 ； 名目僵固性 ； monetary business cycles ； small open economy ； wage contracts ； nominal rigidity

經濟論文叢刊

32卷1期（2004 / 03 / 01）

25 - 61

繁體中文

本文將貨幣引進跨期選擇模型，試圖從小型開放經濟的角度，來探討工資契約的名目僵固性是否有助於姐是台灣之景氣循環。結果發現，當通資契約體系同時考慮國內技術進步、貨幣干擾與實質世界利率衝擊，模型對於總體變數之變異性、共變性、儲蓄-投資相關係數與實質工資-工時相關係數都有頗佳的解釋能力。其中貨幣干擾的飲盡有助於改善，傳統RBC模型物價高度反循環以及實質工資-工時相關係數過高的異常現象，這項結論與Benassy(1995)相一致。再者，實質世界利率衝擊的引進，可進一步改善模型僅考慮國內技術與貨幣干擾之模擬動差。顯示在工資契約架構下，除了國內的技術進步與貨幣干擾，實質世界利率衝擊在解釋台灣的景氣循環上亦扮演重要的角色。

This paper introduces money and wage contracts into a small open-economy intertemporal optimization model to explain Taiwan's business cycles. We attempt to explore the effects of the rigidity in nominal wages on business cycles in this model. It appears that the combination of money and predetermined nominal wages allows the model to successfully mimic the important features of Taiwan's business cycles, including volatilities and comovements of macroeconomic variables, the coefficient of hours worked and real wage as well as the coefficient of investments and savings. Furthermore, this paper concludes that technology shocks, monetary shocks and foreign interest rate shocks are the important sources of disturbances to Taiwan's business cycles.

1. Barro, R. J.,X. Sala-i-Martin(1995).Economic Growth.New Youk:McGrawhill, Inc. press.
2. Baxter, M.,M. J. Crucini(1993).Explaining saving-investment.American Economic Review,83(3),416-436.
3. Benassy, J. P.(1995).Money and Wage contracts in an optimal model of the business cycle.Journal of Monetary Economics,35,303-315.
4. Blanchard, O.,C. M. Kahn(1983).Financial Policies and the World Capital Market;the Problem of Latin American Countries.
5. Blanchard, O.,C. M. Kahn(1980).The solution of linear difference models under rational expectations.Econometrica,48(5),1305-1312.
6. Cardia, E.(1991).The dynamics of a small open economy in response to monetary, fiscal, and productivity shock.Journal of Monetary Economics,28,411-434.
7. Chang, W Y,H. Y. Lee,Y. L. Wang(2003).Solving the real business cycles model of small-open economy by a sample-independent approach.Journal of Economic Dynamics and Control
8. Cho, J. O.(1993).Money and the business cycles with one-period nominal contracts.Canadian Journal of Economics,26(3),629-659.
9. Cho, J. O.(1990).Money, nominal contracts and the business cycles: I. One period contract case.Kingston:Queen's University.
10. Cho, J. O.,L. Phaneuf(1993).A business cycle model with nominal contracts and government.Montreal:University du Quebec a Montreal.
11. Cho, J. O.,T. F. Colley(1992).The business cycle with nominal contracts.University of Rochester.
12. Cho, J. O.,T. F. Colley(1990).The business cycle with nominal contracts.
13. Christiano, L. J.,M. Eichenaum(1992).Liquidity effects and the monetary transmission mechanism.American Economic Review,82,346-353.
14. Christiano, L. J.,M. Eichenaum(1991).Quarterly Review, Federal Reserve Bank of Minneapolis, Winter.
15. Christiano, L. J.,M. Eichenaum(1992).Current real-business-cycle theories and aggregate labor market nuctations.American Economic Review,82(3),430-450.
16. Cooley, T.,G. D. Hansen(1995).Frontiers of Business Cycle Research.Princeton University.
17. Cooley, T.,G. D. Hansen(1989).The inflation tax in a real business cycle model.American Economic Review,79,733-748.
18. Cooley, T.,K. Nam(1998).Asymmetric information, financial intermediation, and business cycles.Economic Theory,12(3),599-620.
19. Cooley, T.,L. E. Ohanian(1991).The cyclical behavior of price.Journal of Monetary Economics,28,25-60.
20. Correia, I.,J. C. Neves,S. Rebelo(1995).Business cycles in small open economy.European Economic Review,39,1089-1113.
21. Danthine, J. P.,J. B. Donaldson(1990).Efficiency wage and the business cycle puzzle.European Economic Review,34,1275-1310.
22. Danthine, J. P.,J. B. Donaldson(1991).Risk sharing, the minimum wage and the business cycle.European Economic Review,36,468-475.
23. Dotsey, M. and C. Mao(1992).How well do approximation methods work?.Journal of Monetary Economics,29,25-58.
24. Feldstein, M.,C. Horioka(1980).Domestic saveing and international capital flows.Economic Journal,90,314-329.
25. Fischer, S.(1977).Long-term contracts, rational expectations, and the optimal money supply rule.Journal of Political Economy,85,191-206.
26. Friedman, M.(1968).The role of monetary policy.American Economic Review,58,1-17.
27. Gali, J.(1999).Technology, employment, and the business cycle: do technology schoks explain aggregate fluctuations?.American Economic Review,89,249-271.
28. Gray, J. A.(1976).Wage indexation: a macroeconomic approach.Journal of Monetary Economics,2,221-235.
29. Griffin, T. J.(1989).Taiwan, Republic of China-Opening up to the World.
30. Hairault, J. O.,F. Portier(1993).Money, new-keynesian macroeconomis and the business cycle.European Economics Review,37,1533-1568.
31. Hall, R.(1978).Stochastic implication of the life-cycle permanent income hypothsis: theory and evidence.Joural of Political Economy,86,971-987.
32. Harvey, A. C.(1989).Forecasting, Structural Time Series Models and the Kalman Filter.Cambrige:Cambridge University Press.
33. Harvey, A. C.,A. Jaeger(1993).Detrending, stylized facts and the business cycle.Journal of Applied Economics,8,231-247.
34. Hayashi, F.(1982).Tobin's marginal q and average q: a neoclassical interpretions.Econometrica,50,213-224.
35. Kim, J.(2000).Constructing and estimating a realistic optimizing model of monetary policy.Journal of Monetary Economics,45(2),329-359.
36. King, R. G.(1990).Money and business cycles.
37. King, R. G.,C. I. Plosser(1984).Money, credit and prices in a real business cycle.Amencan Economic Review,74,363-386.
38. King, R.,C. I. Plosser,S. Rebelo(1988).Production growth and business cycles: I the basic neoclassical model.Journal of Monetary Economics,21,195-231.
39. Kydland, F. E.,E. C. Prescott(1982).Time to build and aggregate fluctuations.Econometrica,50,1345-1370.
40. Kydland, F. E.,E. C. Prescott(1990).Federal Reserce Bank of Minneopoliis Quarterly Review.
41. Lucas, R. E.(1972).Expectations and the neutrality of money.Journal of Economic Theory,4,103-124.
42. Lucas, R. E.,E. C. Prescott(1971).Investment under uncertainty.Econometrica,39,659-681.
43. Lundvik, P.(1992).Business cycles in a small open economy: Sweden 1871-1987.Stockholm University.
44. McCallum, B. T.(1990).Handbook of Monetary Economics, Volumn 2.Elsevier Science Publishers B.V..
45. McCallum, B. T.(1989).Monetary Economics:Theory and Policy.New York:Macmillan Press.
46. Mendoza, E. G.(1991).Real busiiness cycles in a small open economy.American Economic Review,81(2),797-818.
47. Rankin, N.(1998).Nominal rigidity and monetary uncertainty in a small open economy.Journal of Economic Dynamics and Controls,22,679-720.
48. Ravn, M. O.,S. Martin(1995).Stylized facts and regime changes: are prices procyclical?.Journal of Monetary Economics,36,426-497.
49. Rotemberg, J.(1996).Prices, output and hours: an empirical analysis based on sticky price model.Journal of Monetary Economics,37,505-533.
50. Selahattin Imrohoroglu(1994).GMM estimation of currency substitution between the Canadian dollar and the U.S. Dollar.Journal of Money, Credit and Banking,26(4),792-807.
51. Sidrauski, M.(1967).Rational choice and patterns of choice in a monetary economy.American Economic Review Papers and Proceedings,57,530-544.
52. Sim, C. A.(1972).Money, income and causality.American Economic Review,62,540-552.
53. Smith, R. S.(1992).The cyclical behavior of prices.Journal of Money, Credit and Banking,24(4),413-430.
54. Stadler, G. W.(1994).Real business cycles.Jouenal of Economics Literature,32,1750-1783.
55. Stockman, A. C.(1990).International transmission and real business cycles.American Economic Review,80(2),134-138.
56. Stockman, A. C.,L. L. Tesar(1990).Test and technology in a two-country model of explaining international comovement.University of Rochester.
57. Taylor, J.(1979).Staggered price setting in a macro model.American Economic Review,69,108-113.
58. Uzawa, h.(1969).Time preference and penrose effect in a two-class model of economic growth.Journal of Political Economy,629-652.
59. 吳致寧(1995)。貨幣干擾、技術衝擊與景氣循環一台灣的實證研究。經濟論文叢刊，23(2)，171-193。
60. 吳致寧、陳秀淋(1993)。戰後台灣之實質景氣循環一動差配適。經濟論文，21(2)，395-423。
61. 李秀雲(1994)。由實質景氣循環理論看台灣貿易收支的成長與波動。經濟論文叢刊，22(1)，37-62。
62. 李秀雲(1992)。經濟成長、國內外景氣波動與小型開放體系之貿易收支一台灣的實證分析。台灣大學。
63. 汪義育(1989)。台灣景氣波動基本性質之分析。經濟論文叢刊，17(2)，155-177。
64. 張淑華(1996)。戰後台灣之景氣循環分析一小型開放經濟與國際資本移動。
65. 張淑華(2000)。2000財經學術研討會論文。
66. 張淑華、毛慶生(1997)。戰後台灣之景氣循環分析一小型開放經濟與國際資本移動。經濟論文叢刊，25(3)，401-440。
67. 陳旭昇(1996)。貨幣、政府支出與實質景氣循環。