總體經濟計量模型的建立與應用

Constructing and Applying a Macroeconometric Model

10.6277/ter.2010.381.1

林建甫(Chien-Fu Jeff Lin)

總體計量 ； 聯立方程式 ； 時間數列 ； 敏感性分析 ； 政策模擬 ； macroeconometrics ； simultaneous equations ； time series ； scenario analysis ； policy simulation

經濟論文叢刊

38卷1期（2010 / 03 / 01）

1 - 64

繁體中文

本文的目的在闡明總體計量模型的方法論及建構技巧。我們先討論總體計量模型的建立方法論應融合時間數列及經濟理論的觀念，採用共整合迴歸的觀念，進行單一方程的設定。再使用Gauss-Seidel解法對預測做聯立方程式的求解。本文也說明模型的部門連結與建構步驟。爲避免模型的連結出錯，我們主張應由小模型，再逐步放大爲大模型的「由簡而繁」設定。最後我們以模型分析台灣的總體經濟現況，模擬討論政府財政政策、原油價格、以及中國大陸經濟狀況的變動，來作敏感性分析。

In this paper, we develop a methodology for constructing a macro-econometric model. First we combine economic theory and time series techniques. This allows us to adapt the cointegration regression to set up the single equations. Then we use the Gauss-Seidel method to solve the simultaneous equations. We also demonstrate how to link sectors in the model and the procedure for building the model system. We begin with the simplest model and add more relations gradually. Finally, we use a macro-econometric model to analyze the economy in Taiwan, and simulate changes in the fiscal policy, crude oil price and growth rate of mainland China to do scenario analysis.

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