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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 王泓仁,陳南光 | |
dc.contributor.author | I-Chun Lai | en |
dc.contributor.author | 賴宜君 | zh_TW |
dc.date.accessioned | 2021-06-13T15:48:01Z | - |
dc.date.available | 2013-06-30 | |
dc.date.copyright | 2008-06-30 | |
dc.date.issued | 2008 | |
dc.date.submitted | 2008-06-30 | |
dc.identifier.citation | 中文論文與專書
汪建南,李光輝 (2004),「我國貨幣政策操作及傳遞機制之實證分析--兼論銀行信用管道與股票價格管道」,中央銀行季刊,第26卷第3期 (2004年9月),頁17-55。 吳懿娟 (2004),「我國貨幣政策傳遞機制之實證分析」,中央銀行季刊,第26卷第4期 (2004年12月),頁33-68。 陳南光、徐之強 (2002),「資產價格與中央銀行政策-台灣的實證分析」,中央銀行季刊,第二十四卷第一期,中央銀行,頁45-80。 陳禮潭、胡勝正 (2000),「不完全借貸市場、短視行為與恆常所得假說-台灣消費函數之實證研究」,經濟論文28:8,頁127-148。 張金鶚 (1999),「住宅資訊系統之整合與規劃研究」,內政部營建署。 蔡曜如 (2003),「我國房地產市場之發展、影響既政府因應對策」,中央銀行季刊第二十五卷第四期,頁31-62。 賴惠子 (2002),「台灣地區貨幣政策信用傳遞管道之探討」,經濟研究 38:1 (2002),頁57-95。 林立珊 (2004),「股票市值變動與各類消費支出之關聯性」,碩士論文。 英文論文與專書 Aoki, Kosuke, James Proudman, and Gertjan Vlieghe (2002), “ House Prices, Consumption and Monetary Policy: A Financial Accelerator Approach,” Bank of England Working Paper No. 169(London: Bank of England) Bernanke, Ben S and Alan S Blinder (1992), “The Federal Funds Rate and the Channels of Monetary Transmission,” American Economic Review, American Economic Association, vol. 82(4), pages 901-21, September. Bernanke, Ben S. and Kenneth N. Kuttner (2005), “What Explains the Stock Market's Reaction to Federal Reserve Policy?,” Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, 06 Bernanke, Ben S. and Mark Gertler (2001), “Should Central Banks Respond to Movements in Asset Prices?,” American Economic Review, American Economic Association, vol. 91(2), pages 253-257, May. Bordo, Michael D. and David C. Wheelock (2004), “Monetary policy and asset prices: a look back at past U.S. stock market booms,” Review, Federal Reserve Bank of St. Louis, issue Nov, pages 19-44 Bostic, Raphael, Stuart Gabriel, and Gary Painter (2005), “Housing Wealth, Financial Wealth and Consumption: New Evidence from Micro Data,” The Lusk Center for Real Estate Working Paper 2004-1005 Campbell, John Y. and João F. Cocco (2005), “How do House Prices Affect Consumption? Evidence from Micro data,” NBER Working Paper 11534 Canner, Glenn, Karen Dynan, and Wayne Passmore (2002), “Mortgage refinancing in 2001 and early 2002,” Federal Reserve Bulletin, 88:469–481 Carroll, Christopher D., Misuzu Otsuka, and Jirka Slacalek (2006), “How Large is the Housing Wealth Effect ? A New Approach,” NBER Working Paper Case, Karl, John Quigley, and Robert Shiller (2005), “Comparing Wealth Effects: The Stock Market versus the Housing Market,” Advances in Macroeconomics: Vol. 5: no. 1, article 1. Chen, Chien-Liang, Chung-Ming Kuan and Chu-Chia Lin (2007), “Saving and housing of Taiwanese households: New evidence from quantile regression analyses,” Journal of Housing Economics, vol. 16(2), 102-126, June. Dvornak, Nikola, and Marion Kohler (2003), “Housing Wealth, Stock Market Wealth and Consumption: A Panel Analysis for Australia,” Reserve Bank of Australia, Research Discussion Paper 2003-07 Enders (2004), “Applied Econometric Time Series, ” 2nd Edition, John Wiley& Sons, Inc. Feldstein, Martin S. (2007), “Housing, Credit Markets and the Business Cycle,” NBER Working Paper, No. 13471(Cambridge, Mass.: National Bureau of Economic Research, October) Goto, Shingo and Rossen Valkanov (2000), “The Fed’s Effect on Excess Returns and Inflation is Much Bigger Than You Think,” Unpublished manuscript, UCLA Anderson School. Lettau, Martin and Sydney Ludvigson (2001), “Consumption, aggregate wealth and expected stock returns”, Journal of Finance 56 (3), 815-849 Lettau, Martin and Sydney Ludvigson (2002), “Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment,” Journal of Monetary Economics, Elsevier, vol. 49(1), pages 31-66, January. Ludvigson, Sydney and Charles Steindel (1999), “How important is the stock market effect on consumption ?” Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 29-51 Ludvigson, Sydney, Charles Steindel and Martin Lettau (2002), “Monetary policy transmission through the consumption-wealth channel,” Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 117-133 Ludwig, Alexander and Torsten Slok (2004), “The Relationship between Stock Prices, House Prices, and Consumption in OECD Countries,” Berkeley Electronic Press, 4(1): 1114-1114. Pichette, Lise (2004), “Are Wealth Effects Important for Canada,” Bank of Canada Review, Bank of Canada, vol. 127(Spring), 29-35 Poterba, James M. (2000), “Stock Market Wealth and Consumption,” Journal of Economic Perspectives, 14, 2000: 99-118 Romer, Christina D. and Romer, David H (1989), “Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz,” in Olivier J. Blanchard and Stanley Fischer, eds., NBER macroeconomics annual 1989. Cambridge, MA: MIT Press, 1989, 121–70. Romer, Christina D. and David H. Romer (2004), “A New Measure of Monetary Shocks: Derivation and Implications,” American Economic Review, American Economic Association, vol. 94(4), 1055-1084, September Rigobon, Roberto and Brian Sack (2002), “The impact of monetary policy on asset prices,” Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.). Sellin, Peter (2001), “Monetary Policy and the Stock Market: Theory and Empirical Evidence,” Journal of Economic Surveys, Blackwell Publishing, vol. 15(4), 491-541, September. Sellon, Gordon H., Jr. (2002), “The changing U.S. financial system: some implications for the monetary transmission mechanism,” Economic Review, Federal Reserve Bank of Kansas City, issue Q I, 5-35. Sierminska, Eva and Yelena Takhtamanova (2007), “Wealth Effect out of Financial and Housing Wealth: Cross-Country and Age Group Comparisons,” FRBSF Working Paper, forthcoming. Slacalek, Jiri (2006), “What Drives Personal Consumption? : The Role of Housing and Financial Wealth,” Discussion Papers of DIW Berlin 647, DIW Berlin, German Institute for Economic Research. Thorbecke, Willem (1997), “On Stock Market Returns and Monetary Policy,” Journal of Finance, American Finance Association, vol. 52(2), pages 635-54, June. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37864 | - |
dc.description.abstract | 本文主要討論貨幣政策資產財富管道在貨幣政策傳遞上的重要性。藉由Structural vector autoregressive (SVAR)模型,以台灣1989年第三季至2007年第二季的資料進行實證討論。並考量資產性質差異對不同消費型態可能有不同影響,因此在討論貨幣政策在總資產與總消費中扮演的角色之下,再使用四個子分類模型,分開討論貨幣政策分別透過股票資產與房屋資產對非耐久財消費與耐久財消費的影響。另外,除了計算衝擊反應函數外,本文將進一步模擬關閉資產財富管道的情形。經由觀察利率同幅度的上升衝擊下,消費在管道關閉前與管道關閉後減少幅度的差異,討論貨幣政策資產財富管道的效果。
從本文總資產(包含股票資產與房屋資產)與總消費模型的結果,可發現當發生緊縮性的貨幣政策衝擊時,將造成物價、所得、總消費、總資產市值以及匯率顯著下降;資產價值上升造成物價及消費顯著的增加。在四個子分類模型中,利率上升衝擊同樣造成非耐久財消費、耐久財消費,與股票資產、房屋資產價值顯著的減少;股票資產以及房屋資產價值上升衝擊皆對非耐久財消費有顯著的正向影響,而房屋資產價值上升也會造成耐久財消費增加。最後,在模擬關閉資產價格管道後,雖然衝擊反應函數變動並沒有超出關閉前正負一個標準差的區間,但符合預期地出現面對利率同幅度的上升衝擊下,總消費減少幅度變小的情形,顯示關閉資產財富管道能改變利率對消費的影響力,但資產財富管道可能不是貨幣政策傳遞上唯一重要的管道。 | zh_TW |
dc.description.provenance | Made available in DSpace on 2021-06-13T15:48:01Z (GMT). No. of bitstreams: 1 ntu-97-R95323002-1.pdf: 1163749 bytes, checksum: e6ce2cb2bbe6d2f07fc2fad7659d2421 (MD5) Previous issue date: 2008 | en |
dc.description.tableofcontents | 目錄
圖目錄.......................................................................................................................... ....iii 表目錄.............................................................................................................................. iv 第一章 緒論………………………………………………………………………….....1 1.1貨幣政策管道概述……………………………………………………………...3 1.2資產型態對資產財富效果的影響……………………………………………...5 1.3台灣資料概述…………………………………………………...………………8 第二章 文獻回顧………………………………………………………….…………..10 第三章 實證方法………………………………………………………….…………..15 3.1模型設定…………………………………………………………….…………17 3.1.1計量模型:Structural Vector Autoregressive Model….………….……..…17 3.1.2模擬關閉資產價格管道…………………………………………...………20 3.2 變數資料處理、定義與來源說明………………………………….…..…….21 第四章 SVAR實證結果…………………………………………………….……..….29 4.1 結構式向量自我回歸衝擊反應圖形……………….……………….…..……29 4.2模擬關閉資產財富管道………………………………………………...……..41 第五章 結論……………………………………………………………………...……46 參考文獻…………………………………………………..……………………….…..48 | |
dc.language.iso | zh-TW | |
dc.title | 消費、資產財富管道、與貨幣政策 | zh_TW |
dc.title | Consumption, Asset Wealth Channel and Monetary Policy | en |
dc.type | Thesis | |
dc.date.schoolyear | 96-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 黃朝熙,印永翔 | |
dc.subject.keyword | 貨幣政策,資產財富管道,向量自我迴歸模型, | zh_TW |
dc.subject.keyword | Monetary Policy,Asset Wealth Channel,SVAR, | en |
dc.relation.page | 54 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2008-06-30 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
顯示於系所單位: | 經濟學系 |
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