本文將馬可夫轉換模型引入動態隨機一般均衡模型中，建構一個屬於台灣的馬可夫轉換模型動態隨機一般均衡模型，並探討台灣央行的貨幣政策及外生衝擊波動性是否會隨著時間變動。本文使用台灣的資料估計，並發現台灣央行的政策行為大致可以分為兩種，一種為溫和較關心通膨率的政策、另一種為激烈但較不關心通膨率的政策。外生衝擊波動性則是具有高波動性及低波動性兩種狀態。

The thesis combines the Markov-Switching Model with Dynamic Stochastic General Equilibrium Model and derives a Markov-Switching Dynamic Stochastic General Equilibrium Model for Taiwan. The main purpose of my thesis is to investigate whether the monetary policy of Taiwan central bank and the volatility of exogenous shock will vary over time or not in Taiwan. Based on the analysis of the data from Taiwan, it is found that the monetary policies can be roughly classified into two types in strategy. One is the moderate policy which is more related to inflation rate, and the other is the aggressive policy which has a less relation with inflation rate. Moreover, my thesis argues that there are two conditions of exogenous shocks: high volatility and low volatility.

1. 研究動機及文獻回顧....... 4
2. 模型設定................ 7
2.1 家計單位 (Household).... 8
2.2 本國廠商 (Domestic Firms)..10
2.3 市場結清條件 (Market Clearing)..11
2.4 貨幣政策 (Monetary Policy)..12
2.5 對數線性化模型 (Log-linear Model)..12
3. MS-DSGE Model...........15
3.1 模型求解................15
3.2 資料處理................16
3.3 模型調校(calibration)....17
3.4 估計結果比較.............17
3.4.1 Model1：固定參數 (No Switching)......19
3.4.2 Model2：僅對貨幣政策參數轉換 (Markov switching in the policy rule)..20
3.4.3 Model3: 僅對外生衝擊波動性轉換(Markov switching in volatility)..22
3.4.4 Model4：對貨幣政策參數及外生衝擊波動性轉換(Markove switching both in the policy rule and volatility of the seven structural shocks)..23
3.5 模型概似值比較..27
4. 衝擊反應函數分析..28
4.1 貨幣政策衝擊..28
4.2 消費偏好衝擊..29
4.3 技術衝擊..29
5. 結語..30

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