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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 王泓仁(Hung-Jen Wang) | |
dc.contributor.author | Sheng-Lun Lin | en |
dc.contributor.author | 林聖倫 | zh_TW |
dc.date.accessioned | 2021-06-15T06:43:59Z | - |
dc.date.available | 2011-08-23 | |
dc.date.copyright | 2011-08-23 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-07-04 | |
dc.identifier.citation | 參考文獻
1. Friedman, B., and Kuttner, K. (1992). “Money, Income, Prices, and Interest Rates,” The American Economic Review 3, pp.472-492. 2. Walsh, C. (2003). Monetary Theory and Policy, 2nd Edition. Cambridge, MA: MIT Press. 3. Romer, C., and Romer, D. (2004). “A New Measure of Monetary Shocks: Derivation and Implications,” The American Economic Review 4, pp.1055-1084. 4. Weise, C. (1999). “The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach,” Journal of Money, Credit, and Banking 1, pp.85-108. 5. Dupasquier, C., Guay, A., and ST-Amant, P. (1999). “A Survey of Methodologies for Estimating Potential Output and Output Gap,” Journal of Macroeconomics 3, pp.577-595. 6. Morgan, D. (1993). “Asymmetric Effects of Monetary Policy,” Economic Review 2, pp.21-33. 7. Fernandez, D. (1997). “Breaking Trends and The Money-Output Correlation,” The Review of Economics and Statistics 4, pp.674-679. 8. Karras, G. (1996). “Are The Output Effects of Monetary Policy Asymmetric? Evidence from a Simple of European Countries,” Oxford Bulletin of Economics and Statistics 2, pp.267-278. 9. Wang, H.-J. (2002). “Heteroscedasticity and Non-Monotonic Efficiency Effects of a Stochastic Frontier Model,” Journal of Productivity Analysis 18, pp.241-253. 10. Wang, H.-J. (2003). “A Stochastic Frontier Analysis of Financing Constraints on Investment: The Case of Financial Liberalization in Taiwan,” Journal of Business & Economic Statistics 3, pp.406-419. 11. Wang, H.-J. (2006). “Stochastic Frontier Models,” The New Palgrave Dictionary of Economics, 2nd Edition, Palgrave Macmillan. 12. Cover, J. (1992). “Asymmetric Effects of Positive and Negative Money-Supply Shocks,” The Quarterly Journal of Economics 4, pp.1261-1282. 13. Boschen, J., and Mills, L. (1995). “The Relation Between Narrative and Money Market Indicators of Monetary Policy,” Economic Inquiry 1, pp.24-44. 14. Garcia, R., and Schaller, H. (2002). “Are The Effects of Monetary Policy Asymmetric? ,” Economic Inquiry 1, pp.102-119. 15. Hafer, R. and Kutan, A. (1997). “More Evidence on The Money-Output Relationship,” Economic Inquiry 1, pp.48-58. 16. Polachek, S. and Yoon, B. (1987). “A Two-Tiered Earnings Frontier Estimation of Employer and Employee Information in the Labor Market,” The Review of Economics and Statistics 2, pp.296-302. 17. Cerra, V. and Saxena, S. (2000). “Alternative Methods of Estimating Potential Output and the Output Gap: An Application to Sweden,” IMF Working Paper. 18. Ravn, M., and Sola, M. (1996). “A Reconsideration of The Empirical Evidence on The Asymmetric Effects of Money Supply Shocks: Positive vs. Negative or Big vs. Small?” Unpublished manuscript, University of Aarhus, Denmark. 19. Gavin, W., and Kydland, F. (1999). “Endogenous Money Supply and the Business Cycle,” Review of Economic Dynamics 2, pp.347-369. 20. Leeper, E., Sims, C., and Zha, T. (1996). “What does monetary policy do?,” Economic Activity 2, pp.1-48. 21. Bernanke, B., and Blinder, A. (1992). “The Federal Funds Rates and The Channels of Monetary Transmission,” American Economic Review 4, pp.901-921. 22. Bernanke, B., and Mihov, I. (1998). “Measuring Monetary Policy,” Ouarterly Journal of Economics 3, pp.869-902. 23. Kim, J., Ni, S., and Ratti, R. (1998). “Monetary Policy and Asymmetric Response In Default Risk,” Economics Letters 60, pp.83-90. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/47988 | - |
dc.description.abstract | 本文首度採用創新的計量模型-雙層隨機邊界模型-分析貨幣政策在景氣循環下的效果為何。估計變數方面,本文採用Romer and Romer (2004)提出的外生性貨幣政策衡量新指標,作為本文研究貨幣政策效果的依據。此外,本文同時將聯邦資金利率、領先景氣指標和政府財政政策等變數考慮進模型中,以避免文獻上所提出可能的內生性問題。樣本期間的選擇為1970年第一季至1996年第四季的資料。
實證結果發現,聯準會的外生性貨幣政策在景氣低迷時對於實質產出有刺激的效果;然而,在景氣熱絡時對於實質產出的緊縮效果則不顯著。更進一步發現,在1979年代以前的外生性貨幣政策,不論是在景氣熱絡或是低迷時均對於產出均無顯著的影響,而在1985年金融證券化以後的外生性貨幣政策在景氣低迷時的效果則較1985年以前的大且顯著。 | zh_TW |
dc.description.abstract | In this thesis, we first used an innovative econometric model, two-tiered stochastic frontier model, to analyze the effect of monetary policy in different phases of business cycles. In particular, we hypothesized that the monetary policy has different effects in booms (i.e., positive output gaps) and busts (i.e., negative output gaps) over business cycles, and the output gaps are suitably captured by the two-tiered frontier model. We used the US quarterly data from 1970:Q1 to 1996:Q4 as the empirical sample. The stance of monetary policy is measured by the index of Romer and Romer (2004) which is shown to have superior characteristics compared to other measures of monetary policy. Other variables are included in the model to control of the omitted variable problem.
Our results show that a positive monetary innovation in recession is more effective than the negative innovation in boom. Furthermore, we find that the monetary policy shock has no significant effect before 1979 in either expansion or recession periods. On the other hand, the monetary policy innovation is larger and more significant in recessions after 1985 than before 1985. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T06:43:59Z (GMT). No. of bitstreams: 1 ntu-100-R98323039-1.pdf: 1834731 bytes, checksum: 18aef59e68bb3d8096da23e32cc9113b (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 目 錄
口試委員會審定書…………………………………………………………………….i 謝辭………………………………………………………………………………..…..ii 中文摘要………………………………………………………………………….. ....iii 英文摘要…………………………………………………………………………...... iv 目錄…….…………………………………………………………………………...... v 1.前言……………...…………………………………………………………………..1 2.文獻回顧………...…………………………………………………………………..4 3.資料來源………...…………………………………………………………………..8 4.模型……………...…………………………………………………………………12 4.1.計量模型……………………………………………………………………12 4.2.隨機邊界模型………………………………………………………………15 4.3.模型設定……………………………………………………………………17 5.實證結果………...…………………………………………………………………19 6.結論……………...…………………………………………………………………25 表次 表(一) 樣本統計量…………………………………………………….………12 表(二) 基準模型:模型ㄧ(1970 至 1996 年)………………………...………27 表(三) 基準模型:模型二(1970 至 1996 年)………………………...………28 表(四) 基準模型:模型三(1970 至 1996 年)………………………...………29 表(五) 基準模型:模型四(1970 至 1996 年)………………………...………30 表(六) 延伸模型(ㄧ):模型ㄧ(1970 至 1979 年).…………………...………31 表(七) 延伸模型(ㄧ):模型二(1970 至 1979 年).…………………...………32 表(八) 延伸模型(ㄧ):模型三(1970 至 1979 年).…………………...………33 表(九) 延伸模型(ㄧ):模型四(1970 至 1979 年)….………………...………34 表(十) 延伸模型(ㄧ):模型ㄧ(1980 至 1996 年)….………………...………35 表(十一) 延伸模型(ㄧ):模型二(1980 至 1996 年).………………...………36 表(十二) 延伸模型(ㄧ):模型三(1980 至 1996 年).………………...………37 表(十三) 延伸模型(ㄧ):模型四(1980 至 1996 年).………………...………38 表(十四) 延伸模型(二):模型ㄧ(1970 至 1985 年).………………...………39 表(十五) 延伸模型(二):模型二(1970 至 1985 年).………………...………40 表(十六) 延伸模型(二):模型三(1970 至 1985 年).………………...………41 表(十七) 延伸模型(二):模型四(1970 至 1985 年).………………...………42 表(十八) 延伸模型(二):模型ㄧ(1986 至 1996 年).………………...………43 表(十九) 延伸模型(二):模型二(1986 至 1996 年).………………...………44 表(二十) 延伸模型(二):模型三(1986 至 1996 年).………………...………45 表(二十一) 延伸模型(二):模型四(1986 至 1996 年).……………...………46 圖次 圖(一)產出缺口(OECD估計)………………………………………….……….9 圖(二) 產出缺口(HP filter估計)…………………….………………...……..…9 圖(三) 外生性貨幣政策新指標…...…………...……………………..………..11 圖(四) 聯邦資金利率變動率….....…………………………………...………..11 圖(五) 生產效率的隨機邊界.…......…………………………………...……....15 圖(六) 產出缺口的隨機邊界... …………………………………...……..…….17 參考文獻…………………………………………………………………….……….47 | |
dc.language.iso | zh-TW | |
dc.title | 非對稱性貨幣政策效果之估計-雙層隨機邊界模型之應用 | zh_TW |
dc.title | Estimating the Asymmetric Effects of Monetary Policy using a Two-Tiered Stochastic Frontier Model | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 張勝凱(Sheng-Kai Chang) | |
dc.contributor.oralexamcommittee | 陳南光(Nan-Kuang Chen),傅祖壇(Tsu-Tan Fu) | |
dc.subject.keyword | 非對稱性貨幣政策,隨機邊界模型, | zh_TW |
dc.subject.keyword | Asymmetric Effects of Monetary Policy,Stochastic Frontier Model, | en |
dc.relation.page | 48 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2011-07-04 | |
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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