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標題: | 美國貨幣政策對台灣與南韓總體經濟的影響 The Impact of U.S. Monetary Policy on Taiwan and South Korea |
作者: | Chia-Hui Hsu 許家卉 |
指導教授: | 陳思寬 |
關鍵字: | Mundell-Fleming模型,貨幣政策衝擊,跨國傳遞,向量誤差修正模型,衝擊反應函數, Mundell-Fleming model,Monetary policy shocks,International transmission,Vector Error Correction Model,Impulse Response Function, |
出版年 : | 2013 |
學位: | 碩士 |
摘要: | 自1980年代初期即開始有學者將Mundell-Fleming理論延伸為兩國模型,探討兩國間之互動關係,由於台灣和南韓皆為貿易依存度高的小型開放經濟體,面對世界大國貨幣政策衝擊,利率、匯率的波動皆可能影響最終產出。因此,本研究主要利用時間序列之計量模型的各種方法,探討美國貨幣政策對台灣及南韓總體經濟變數間之長期均衡與短期互動關係,而以美國聯邦基金利率為其貨幣政策之代理變數,觀察期間為1981年M1至2013年M1,合計共385個觀察值。
由於從對兩兩變數的Johansen共整合分析發現,台韓兩國匯率皆無共整合關係,亦即無長期均衡關係存在,因此後續再做整體變數的共整合分析時,並無放入匯率(E)變數,最後以美國聯邦基金利率(FFR)分別與台灣、韓國之利率(IR)、貨幣總計數(M2)、工業生產指數(IP)、消費者物價指數(CPI)、貿易收支(TB)等變數進行向量誤差修正模型的估計,並進行衝擊反應函數分析。實證結果證實,貿易管道在美國貨幣政策跨國傳遞機制下扮演比較重要的角色,對台灣和南韓的總體經濟變數產生影響。 Since the early 1980s, some scholars began to extend Mundell-Fleming model to the two-countries model and explored the relationship between the two countries. Taiwan and South Korea are both small open economy so that their economic environments are easily impacted by foreign economy. Therefore, this study focuses on the short-run and long-run interaction between U.S., Taiwan and South Korea macroeconomy during January 1981 to January 2013 The study use various time-series econometric methods. After the two-variable Johansen co-integration analysis, we find that Taiwan and South Korea’s exchange rates are not co-integrated, that is there is no long-run equilibrium relationship. It’s the reason we filter out exchange rates (E) in the following procedure, the overall variable co-integration analysis. This thesis compares U.S. federal funds rate (FFR) with Taiwan and South Korea’s Interest Rates (IR), Monetary Aggregation (M2), Industrial Index (IP), Consumer Price Index (CPI), and Trade Balance (TB), respectively using Vector Error Correction Model. It then further conduct Impulse Response Function Analysis. The empirical results show that U.S. monetary policy will impact Taiwan and South Korea’s overall economic variables by trade balance transnational channel. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/17714 |
全文授權: | 未授權 |
顯示於系所單位: | 國際企業學系 |
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ntu-102-1.pdf 目前未授權公開取用 | 5.83 MB | Adobe PDF |
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