用於估計美國DSGE模型參數的資料共計有以下16項:
1. 名目消費:Personal consumption expenditures, billions of dollars, quarterly, season-ally adjusted at annual rate (table 1.1.5.: gross domestic product, line 2),來源: Bureau of Economic Analysis, US (從網站www.bea.gov搜尋下載, 以下相同來源的資料亦 同)
2. 名目非住宅投資:gross private domestic investment, fixed investment, nonresiden-tial, billions of dollars, quarterly, seasonally adjusted at annual rate (table 1.1.5.: gross domestic product, line 9),來源: Bureauof Economic Analysis, US
3. 名目住宅投資:gross private domestic investment, fixed investment, residential, bil-lions of dollars, quarterly, seasonally adjusted at annual rate (table 1.1.5.: gross do-mestic product, line 13),來源: Bureauof Economic Analysis, US
4. 消費隱含物價平減指數:personal consumption expenditures, index numbers, 2009=100, quarterly, seasonally adjusted (table 1.1.9.: implicit price deflators for gross domestic product, line 2),來源: Bureauof Economic Analysis, US
5. 非住宅投資隱含物價平減指數:private domestic investment, fixed investment, non-residential, index numbers, 2009=100, quarterly, seasonally adjusted (table 1.1.9.:
im-附錄 plicit price deflators for gross domestic product, line 9),來源: Bureauof Economic Analysis, US
6. 住宅投資隱含物價平減指數: private domestic investment, fixed investment, resi-dential, index numbers, 2009=100, quarterly, seasonally adjusted (table 1.1.9.: im-plicit price deflators for gross domestic product, line 13),來源: Bureauof Economic Analysis, US
7. 非農業的企業部門隱含物價平減指數:nonfarm business sector: implicit price defla-tor, index 2009=100, quarterly, seasonally adjusted, 來源: Federal Reserve Bank of St. Louis, US (從網站www.stlouisfed.org搜尋下載,以下相同來源的資料亦同) 8. 美國有效聯邦基金利率: effective federal funds rate, percent, quarterly (average), not
seasonally adjusted,來源: Federal Reserve Bank of St. Louis, US
9. 房價指數:price indexes of new single-family houses sold including lot value, 2005=100.0, index based on kinds of houses sold in 2005, 來源: Census Bureau, US (從網址 www.census.gov/const/price_sold_cust.xls下載)
10. 非農業的企業部門的總受雇者人數: all employees: total nonfarm payrolls, thou-sands of persons, quarterly (average), seasonally adjusted, 來源: Federal Reserve Bank of St. Louis, US
11. 營造業的受雇者人數: all employees: construction, thousands of persons, quarterly (average), seasonally adjusted,來源: Federal Reserve Bank of St. Louis, US
12. 所有私部門生產及非監督的受雇者每週平均工時: average weekly hours of produc-tion and nonsupervisory employees: total private, hours, quarterly (average), sea-sonally adjusted,來源: Federal Reserve Bank of St. Louis, US
13. 營造業生產及非監督的受雇者每週平均工時: average weekly hours of production
and nonsupervisory employees: construction, hours, quarterly (average), seasonally adjusted,來源: Federal Reserve Bank of St. Louis, US
14. 所有私部門生產及非監督的受雇者每小時平均薪資: average hourly earnings of pro-duction and nonsupervisory employees: total private, dollars per hour, quarterly (av-erage), seasonally adjusted,來源: Federal Reserve Bank of St. Louis, US
15. 營造業生產及非監督的受雇者每小時平均薪資: average hourly earnings of produc-tion and nonsupervisory employees: construcproduc-tion, dollars per hour, monthly, not seasonally adjusted,來源: Federal Reserve Bank of St. Louis, US
16. 達工作年齡的人口數: civilian noninstitutional population, thousands of persons, monthly, not seasonally adjusted,來源: Federal Reserve Bank of St. Louis, US 在針對上述用於參數估計的資料進行轉換之前,本研究將除了名目利率及達工作年齡 的人口數以外的序列資料,自行以軟體進行季節調整,如第9項的 「房價指數」,以及第15項 的 「營造業生產及非監督受雇者的每小時平均薪資」。 如果未經季節調整的資料的時間頻 率為月,則先進行季節調整,再以平均每3個月的數值的方式,轉換至時間頻率為季的資料。
另外,本研究參考Pfeifer (2013)的做法,利用Hodrick-Prescott濾波器(Hodrick-Prescott filter)將第16項的 「達工作年齡的人口數」(平滑參數為14,400)進行處理,再以經過HP分
附錄 房屋價格:(9)/(17),取對數後,減去序列的第1筆資料值
消費財生產部門工時: [(10) - (11)]× (12)/(16),取對數後,減去序列的平均值 消費財生產部門工資膨脹率:使用資料(14),方式同物價膨脹率
房屋生產部門工時:(11)× (13)/(16),取對數後,減去序列的平均值 房屋生產部門工資膨脹率:使用資料(15),方式同物價膨脹率