本文係以建構新凱因斯動態隨機一般均衡模型，模型內考量一定程度的工資與價格僵固，並同時考慮含油價衝擊等五種隨機的外生衝擊，以及四種常見的政府對國內油價的管制。此外，本模型以小型開放總體經濟為主要架構，並嘗試探討： 1.將石油納入中間財生產投入因子之一是否有助於捕捉總體經濟變數更多的景氣循環變動？ 2.當總體經濟環境面臨各式各樣的隨機外生衝擊時，政府對國內石油價格的管制是否也會對總體經濟產生影響？
本文係以Kollmann (2001)與Bouakez (2008)所提供的參數估計作為本文模型主要的參數設定。數值分析結果發現，貨幣供給在解釋景氣循環變動仍扮演至為重要的角色。油價對總體經濟的衝擊並未受名目僵固存在與否產生較大的影響。此外，油價的波動在本模型並無法有助於捕捉匯率更多的變動。
另一方面，本研究發現，當國內總體經濟環境面臨國內貨幣供給增加，相較於其他油價管制政策，國內油價的凍漲能有助於提升更多投資、產出與資本的使用。然而面臨國內技術進步時，國內總體經濟環境並未隨不同的油價政策而產生較為不同的反應。此外，面臨國外通貨膨脹的衝擊時，相較於國內油價的凍漲，完全浮動的國內油價將使得短期內投資、消費與產出有較大的衰退。然而，隨著國外實質利率上升的衝擊將促使國內實質匯率升值，此時完全浮動的國內油價政策將進而造成國內實質油價的下降。因此，相較於國內油價的凍漲，完全浮動的油價政策將有助於投資、產出與資本的使用上更多的提升。而當國內總體經濟環境面臨國外實質油價的衝擊時，國內油價的凍漲政策將能顯著降低短期內油價衝擊對總體經濟的影響。

In this paper, we have built a New Keynesian DSGE model to quantitatively investigate two main issues concerning a small open economy: (1) whether incorporating oil as an intermediate input in the production process would help the New Keynesian DSGE model explain the cyclical properties of key macroeconomic variables; (2) whether the policy interventions on domestic oil prices would affect the economy’s responses to exogenous shocks.
The numerical results suggest that in the model with nominal rigidities, the money supply shock plays a dominant role in explaining the volatility of the variables of interest. The role that oil-price shock plays in explaining the volatility of macroeconomic variables is limited, and this result is not substantially affected by the presence of nominal rigidities. Even if oil-price shock is included, the theoretical model still falls short of capturing the volatility of exchange rates.
This paper also aims to explore the implications of alternative policy interventions on oil prices for the model dynamics. First, in response to domestic money supply shock, the zero pass-through regime may induce sharper rises in output, investment, utilization of capital for all periods than other policy interventions. Second, the responses to domestic productivity shock seem not to be substantially affected by policy interventions. Third, in response to an increase in foreign price level, the real domestic oil price rises. The complete pass-through regime would induce sharper declines in investment, consumption, and output in the short run than the zero pass-through regime. Fourth, in contrast with the foreign price level shock, an increase in foreign real interest rate induces an appreciation of real exchange rate. This further implies a decline in real domestic oil price under the complete pass-through regime. Thus, the complete pass-through regime would induce greater increases in the capital utilization, investment, and output than the zero pass-through regime. Lastly, in response to the real world price of oil shock, the zero pass-through regime markedly dampens the short-run effects of oil-price shocks on nominal and real variables.

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