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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 沈中華 | |
dc.contributor.author | Yu-Kun Tseng | en |
dc.contributor.author | 曾昱焜 | zh_TW |
dc.date.accessioned | 2021-05-20T20:17:13Z | - |
dc.date.available | 2011-07-14 | |
dc.date.available | 2021-05-20T20:17:13Z | - |
dc.date.copyright | 2009-07-14 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-07-02 | |
dc.identifier.citation | 一、中文專書
沈中華 (1998),《貨幣銀行學-全球的觀點》,台北市:新陸書局,初版。 黃台心 (2007),計量經濟學,初版,雙葉書廊有限公司。 李榮謙 (1993),貨幣銀行學,三版,智勝文化事業有限公司。 楊奕農 (2005),時間序列分析-經濟與財務上之應用,初版,雙葉書廊有線公司。 二、中文期刊論文 梁發進 (1991),我國貨幣政策反應函數之推估,《經濟研究》,31 期,頁47-72。 沈中華、陳華倫 (1996),貨幣政策指標的建立與貨幣政策反應函數,《經濟論 文》,24卷4期,頁559-590。 沈中華、李卿企 (2005),央行公開市場操作對貨幣市場利率的影響,Jonural of Financial Studies Vol.13 No.1。 沈中華 (1997),貨幣與利率字典序列關係-流動性效果,基層金 融,34期, 51~70。 葉翔渝 (2008),我國貨幣政策反應函數之非對稱性,國立清華大學經濟學系 碩士論文。 林家瑋 (2006),我國中央銀行貨幣政策反應函數與政策偏好,國立清華大學 經濟學系碩士論文。 林美榕 (2003),不對稱貨幣政策之分析-以結構轉換模型為對象,國立政治大 學經濟學系碩士論文。 三、 西文專書 Chris Brooks (2008),Introductory Econometrics for Finance Second edition, Cambridge University Press. T.W. Anderson and Jeremy D.Finn (1997),New Statistical Analysis of Data. 四、西文期刊論文 Allen (1986), The Federal Reserve and the Electoral Cycle, Journal of Money, Credit, and Banking, Vol. 18, No. 1 Abrams, Froyen, and Ward (1980), Monetary Policy Reaction Functions, Consistent Expectations, and The Burns era, Journal of Money, Credit, And Banking, Vol. 12, No. 1 Dolado, Maria-Dolores, and Naveira (2003), Are monetary-policy reaction functions asymmetric?: The role of nonlinearity in the Phillips curve, European Economic Review, Vol 49, Issue 2, pp 485-503 Felmingham and Bennett (1978), Monetary Policy Reaction in an Interdependent Instrument Setting, The Economic Record. Vol. 54, p.g 264-70 Fkinman(1993), Estimating the Open Market Desk'sDaily Reaction Function, Journal of Money. Credit, and Banking. Vol. 25, No. 2 Hayo and Hofmann (2006), Comparing monetary policy reaction functions : ECB versus Bundesbank, Empirical Economics, 31:645–662 Hakes (1990), The Objectives and Priorities of Monetary Policy under Different Federal Chairmen, Journal of Money, Credit, and Banking, Vol. 22, No.3 Hakes and Gamber (1992), Does the Federal Reserve Respond to Errant Money Growth? Evidence from Three Monetary Regimes, Journal of Money, Credit, and Banking, Vol. 24, No. 1 Havrilesky (1988), Monetary Policy Signaling from the Administration to the Federal Reserve, Journal of Money. Credit, and Banking. Vol, 20, No. I Mcnees, S. K. (1986), “Modeling the Fed A Forward-Looking Monetary Policy Reaction Function,” New England Economic Review, November/ December,3-8 Romer, C. D. and Romer, D. H. (1989), “Does Monerary Policy Matter? A New Test in the Spririt of Friendment and Schwarz,” in O. J. Blanchard and S. Fischer, NBER Macroeconomics Annual,121-169 Renshaw and Trahan (1990),Presidential Elections and the Federal Reserve’s Interest Rate Reaction Function, Journal of Policy Modeling, 12(1):29-34 Richards (1986), Unanticipated Moneyand the Political Business Cycle, Journal of Money, Credit, and Banking, Vol, 18, No 4 Rigobon and Sack(2003), Measuring The Reaction Of Monetary Policy To The Stock Market, The Quarterly Journal of Economics, , Vol. 118, No. 2, pp 639-669 Shen and Hakes (1995), Monetary Policy as a Decision-Making Hierarchy; The Case of Taiwan, Journal of Macroeconomics, Vol 17, No.2, pp.357-368 Shen (2000), Estimation of a Taiwan monetary reaction function with time varying parameters, Applied Economics, 32,459-466 Shen, Hakes, and Brown (1999), Time-Varying Response of Monetary Policy to Macroeconomic Conditions, Southern Economic Journal, 65,3 Tsay (1989), Testing and Modeling Threshold Autoregressive Processes, Journal of The American Statistical Association, Vol. 84, No.405 ,pp 231-240 Taylor (1993), Discretion Versus Policy Rules in Practice, Carnegie-Rochester Conference Series on Public , 39,pp195-214 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/9315 | - |
dc.description.abstract | 研究中央銀行的貨幣政策一直是學術界、業界持續關心的議題,大國的貨幣政策更是全世界注目的焦點,中國經濟這幾年開始高速成長,加上近來兩岸開始密切交流,未來中國的景氣榮枯、貨幣政策皆會超越美國而成為台灣最大的影響者。
本文藉由人民銀行貨幣政策執行報告以及各貨幣工具的變動來建立人民銀行的貨幣政策指標,並嘗試估計出人民銀行從2001年1月至2008年12月的貨幣政策反應函數,並分為對稱模型以及非對稱模型,對稱模型透過敘述法估計分為兩類(Logit、Probit Model)以及三類(Ordered Probit Model)的貨幣政策反應函數,而在非對稱模型下,本文分別採用通貨膨脹率以及上海綜合指數報酬率作為門檻值變數,採用Rolling Chow Test估計門檻值。 本文實證結果發現,在對稱模型下可確實看出人民銀行是採取反循環貨幣政策,而在非對稱模型下,以通貨膨脹率做為門檻變數時確實存在顯著的非對稱性,而以上海綜合指數報酬率作為門檻變數時,有可能是隨機性的因素而出現與預期相反的情況。 | zh_TW |
dc.description.abstract | Studying the monetary policy of central bank is always the issue which academia and the finance community concentrate on. China economy has been highly developed in the recent years. In addition, Taiwan and China start to communicate to each other closely in the recent years. China will become the most important economy which effects Taiwan in the world in the future.
In this article the monetary policy implementing report of PBC and the change of each monetary instrument were used to build the monetary policy indicator of PBC. In addition, the monetary policy reaction function of PBC was estimated from January, 2001 to December, 2008. There are symmetric model and asymmetric model in this article. There are symmetric model and asymmetric model in this article. In symmetric model the Logit, Probit and Ordered Probit model of monetary policy reaction function were estimated by narrative approach. On the other hand, the inflation rate and the return rate of Shanghai Composite were used as threshold variables and the threshold value was estimated in Rolling Chow Test method in asymmetric model. The practical result shows that PBC used the countercyclical policy in the symmetric model. On the other hand, there is significant asymmetrical In the asymmetric model when inflation rate is taken as threshold variable. However, it shows opposed situation to the theory when the return rate of Shanghai Composite is taken as threshold variable. | en |
dc.description.provenance | Made available in DSpace on 2021-05-20T20:17:13Z (GMT). No. of bitstreams: 1 ntu-98-R96723014-1.pdf: 767235 bytes, checksum: c666cadab02637c1c41cf25c4674ea52 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 第一章 研究動機與目的 1
第二章 文獻回顧 3 第三章 人民銀行簡介與貨幣政策指標的建立 9 第一節 人民銀行簡介 9 第二節 貨幣政策指標的建立 21 第四章 實證結果 38 第一節 對稱模型 38 第二節 非對稱模型 50 第五章 結論 58 參考文獻 60 附錄 63 | |
dc.language.iso | zh-TW | |
dc.title | 人民銀行的貨幣政策反應函數 | zh_TW |
dc.title | The Monetary Policy Reaction Function of PBC | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 楊朝成 | |
dc.contributor.oralexamcommittee | 李建興,王儷容,彭金隆 | |
dc.subject.keyword | 人民銀行,貨幣政策反應函數, | zh_TW |
dc.subject.keyword | PBC,monetary policy reaction function, | en |
dc.relation.page | 65 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2009-07-03 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
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