請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/43636
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 毛慶生(Ching-Sheng Mao) | |
dc.contributor.author | Yu-Mei Tseng | en |
dc.contributor.author | 曾玉玫 | zh_TW |
dc.date.accessioned | 2021-06-15T02:24:51Z | - |
dc.date.available | 2009-08-19 | |
dc.date.copyright | 2009-08-19 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-08-18 | |
dc.identifier.citation | 沈中華(1998), ”使用門檻Taylor Rule 衡量台灣貨幣政策,” 1998 年總體計量模型研討會,中央研究院經濟研究所.
林玫吟(1995, 1999), ”小型開放體系的貨幣法則,” 國立台灣大學經濟研究所碩, 博士論文. 侯德潛,田慧琦(2000), ”通貨膨脹預期與泰勒法則–台灣地區實證分析,”中央銀行季刊, 22(3):21-48. 侯德潛(2005), ”開放經濟之貨幣政策法則–台灣地區實證分析,”中央銀行季刊, 27(2):23-40. 徐千婷(2000), ”權衡性貨幣回饋法則:以台灣為例,”國立政治大學經濟研究所博士論文. 陳旭昇,吳聰敏(2008), ”台灣貨幣政策法則之檢視,”台灣大學經濟系. 郭雅筑(2009), ”小型開放經濟下央行外匯干預政策不對稱性探討,” 國立台灣大學經濟研究所碩士論文. 楊雅惠,許嘉棟(2005), ”新台幣匯率與央行干預行為,”台灣經濟預測與政策, 中央研究院經濟研究所編輯,第35卷第2期,頁23-41。 劉文昱(2001), ”泰勒法則在小型開放經濟中政策效果之模擬比較,”國立台灣大學經濟研究所碩士論文. 劉完淳(2000), ”台灣央行貨幣政策行為之研究-1983 年以來之貨幣政策法則,”文化大學經濟研究所博士論文. Altavilla, Carlo and Luigi Landolfo (2005), ”Do central banks act asymmetrically ? Empirical evidence from the ECB and the Bank of England,” Applied Economics, 2005, 37, 507-519. Barro, R. J. and D. B. Gordon (1983), ”Rule, Discretion, and Reputation in a Model of Monetary Policy,” Journal of Monetary Economics, 12, 101-21. Bernanke, B. S. and A. S. Blinder (1992), ”The federal funds rate and the channels of monetary transmission,” American Economic Review, 82(4), 901-21. Bernanke, B. S. and F. S. Mishkin (1992), ”Central Bank Behavior and the Strategy of Monetary Policy: Observations from Six Industrialized Countries,”in O.blanchard and S.fischer (eds) NBER Macroeconomics Annual. Camvridege, MA:MIT Press. Carlstrom, Charles T. and Timothy S. Fuerst (2000), ”Forward-looking Versus Backward-looking Taylor rules,” Federal Reserve Bank of Cleveland working paper 0-09. Clarida, R., Jordi Gali and Mark Gertler (1998), ”Monetary policy rules in practice: Some international evidence,” European Economic Review, 42, 1033-1067. Cukierman, Alex and Anton Muscatelli (2008), ”Nonlinear Taylor Rules and Asymmetric Preferences in Central Banking: Evidence from the United Kingdom and the United States,” The B. E. Journal of Macroeconomics contributions, Volume 8, Issue 1, Article 7. Dueker, M. and A. M. Fischer (1996), ”Interest targeting in a small open economy: empirical results for Switzerland,” Journal of Monetary Economics, 37, 89-103. Dueker, M. and Kim G. (1999), ”A monetary policy feedback rule in Korea's fast-growing economy,” Journal of International Financial Markets, Institutions and Money, 19-31. Gramilich, Edward M. (1998), ”Monetary Rules,”Member of Board of Governors of the Federal Reserve System at the Eastern Economics Association, New York, February 27. Hall,Thomas E. (1990), ”McCallum's Base Growth Rule: Results for the United States, West Germany, Japan, and Canada,” Weltwirtschaftliches Archiv Review of World Economics, 126, 630-42. Hamilton, J. D. (1989), ”A New Approach to the Economic Analysis of Nonstationary Time Series and the Business cycle,” Econometrica, 57, 357-384. Harris, Ethan S. (1997), ”United States: Monetary Policy is Taylor-Made,”Global Weekly Monitor, 9 may, 2-6. Judd, J. P. and Glenn D. Rudebusch (1998), ”Taylor's Rule and the Fed : 1970-1997,” Federal Reserve Bank of San Francisco Economic Review, 3, 1-16. Kim, S (1999), ”Does Monetary Policy Shocks Matter in the G-7 Countries ? Using Common Identifying Assumptions about Monetary Policy across Countries,” Journal of International Economics, 47, 871-93. Kroner, K. F. and W. D. Lastrapes (1993), ”The impact of Exchange Rate Volatility on International Trade:Reduced Form Estimates Using Garch in-mean Model,” Journal of International Money and Finance, 12, 298-318. Kydland, F. and E. Prescott (1977), ”Rules rather than discretion:The inconsistency of optimal plans,” Journal of Political Economy, 473-92. Nelson, Edward(2008), ”Friedman and Taylor on Monetary Policy Rules,”Federal Reserve Bank of St. Louis Review. March/April 2008.90(2),99.95-116. McCallum, B. T. (1987), ”The Case for Rules in the Conduct of Monetary Policy:A Concrete Example,” Economic Review, 10-18. McCallum, B. T. (1988), ”Robustness Properties of a Rule for Monetary Policy,”Carnegie-Rochester Conference Series on Public Policy, 29, 173-203. McCallum, B. T. (1999), ”Recent Developments in the Analysis of Monetary Policy Rules,” Federal Reserve Bank of St. Louis. McCallum, B. T. (2001), ”Monetary Policy Analysis,” Carnegie Mellon University and National Bureau of Economic Research, NBER Report. Muscatelli,V.A., Tirelli, P. and Trecroci, C., (1999), ”Does institutional change really matter ? Inflation targets, central bank reform and interest rate policy in the OECD countries,” University of Glasgow, mimeo. Parrado, E. (2004), ”Singapore's Unique Monetary Policy: How Does It Work?,”MAS Staff Paper No. 31. Sims, Chrtstopher A. (1999), ”Drift and Breaks in Monetary Policy,” Princeton University, mimeo. Sims, Chrtstopher and A.T. Zha (2002), ”Macroeconomic switching,” Princeton University, mimeo. Smets, Frank (1998), ”Output Gap Uncertainty: Does it matter for the Taylor Rule,” Bank for International Settlement Working Paper, 60. Taylor, John B. (1993), ”Discretion Versus Policy Rule in Practice,” Carnegie-Rochester Conference Series on Public Policy 39 (1993) 195-214 North-Holland. Taylor, John B. (2002), ”The Role of the Exchange rate in Monetary Policy Rules,” manuscript, Stanford University. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/43636 | - |
dc.description.abstract | 在面對通貨膨脹與經濟衰退不同的經濟情勢下,貨幣決策當局是否有不同的政策法則向為學者所關注。 自 B. T. McCallum 的數量法則與 1993 年 John B .Taylor 提出泰勒法則之後,有關貨幣法則的研究便大量出現,惟傳統泰勒法則僅考慮產出缺口與通貨膨脹率缺口對短期利率的影響,並未加入匯率的變數,而臺灣為一小型開放的經濟體,受匯率影響的程度不小,故本文嘗試研究以貨幣數量及利率為政策工具並考量匯率變動對中央銀行決策法則的影響。 首先以傳統的線性法則描述貨幣決策當局的行為,最終則嘗試以 Markov Switching Model為計量方法,以究明何者較能妥適地描繪自利率及外匯自由化後的臺灣地區之實證資料。 | zh_TW |
dc.description.abstract | This paper studies the monetary rule for Taiwan. In addition to output and inflation targeting, we also consider the role of exchange rate fluctuations in the
central bank's decision process. Our empirical results indicate that the behavior of Taiwan's central bank is strongly influenced by the state of the economy, and is best described by a nonlinear and asymmetric specification of the model, either McCallum's type or Taylor's type. We estimate the monetary rules using two types of specifications: (1) linear model with dummies representing the state of the economy, and (2) Markov switching model. Using quarterly data from 1985 to 2008, we find that the central bank in Taiwan is particularly sensitive to the real performance of the economy. The central bank would devote its efforts to fight inflation only when the economy is prosperous. During recessions, the central bank would typically adopt a counter-cyclical policy, inflation is not its major concern. After controlling the state of output growth, exchange rate fluctuations do not seem to play an important role in the monetary policy. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T02:24:51Z (GMT). No. of bitstreams: 1 ntu-98-P96323006-1.pdf: 3775407 bytes, checksum: 5c04974869092998bee1e10e0635a056 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 目錄
1 前言1 2 理論背景4 2.1 貨幣政策法則的定義. . . . . . . . . . . . . . . . . . . . . . . 4 2.2 McCallum 法則與 Taylor 法則. . . . . . . . . . . . . . . . . 5 2.3 貨幣政策的操作. . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.4 非線性的政策法則. . . . . . . . . . . . . . . . . . . . . . . . . 8 2.5 政策環境的不確定性. . . . . . . . . . . . . . . . . . . . . . . 10 3 實證文獻回顧12 3.1 國外文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 3.2 國內文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 4 台灣貨幣政策法則之實證分析–線性模型17 4.1 基準實證模型. . . . . . . . . . . . . . . . . . . . . . . . . . . 17 4.2 基準實證模型之延伸. . . . . . . . . . . . . . . . . . . . . . . 20 4.3 資料來源及說明. . . . . . . . . . . . . . . . . . . . . . . . . . 21 4.4 實證結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 4.4.1 貨幣成長法則-表2之估計結果. . . . . . . . . . . . 22 4.4.2 貨幣成長法則–表3之估計結果. . . . . . . . . . . 25 4.4.3 名目利率法則–表4及表5之估計結果. . . . . . . 27 4.5 小結. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 5 以Markov SwitchingModel估計台灣的貨幣法則33 5.1 非對稱的時間序列模型. . . . . . . . . . . . . . . . . . . . . . 34 5.2 實證模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 5.3 樣本期間. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 5.4 估計結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38 5.4.1 M1B貨幣成長法則. . . . . . . . . . . . . . . . . . . 38 5.4.2 M2貨幣成長法則. . . . . . . . . . . . . . . . . . . . 41 5.4.3 名目利率法則. . . . . . . . . . . . . . . . . . . . . . . 43 5.4.4 小結. . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 6 結論 46 參考文獻 47 | |
dc.language.iso | zh-TW | |
dc.title | 臺灣貨幣法則之實證研究 | zh_TW |
dc.title | Monetary Rule in Taiwan - An Empirical Study | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 吳聰敏(Tsong-Ming Wu),陳旭昇(Shiu-Sheng Chen) | |
dc.subject.keyword | 貨幣政策,貨幣法則,McCallum 法則,Taylor 法則,馬可夫轉換模型,非對稱時間序列模型, | zh_TW |
dc.subject.keyword | Monetary Policy,Monetary Rule,McCallum Rule,Taylor Rule,Markov Switching Model,Asymmetric Time Series Model, | en |
dc.relation.page | 50 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2009-08-18 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-98-1.pdf 目前未授權公開取用 | 3.69 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。