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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15767
Title: | 資產價格與貨幣政策分析 Asset Price and Monetary Policy Analysis |
Authors: | Ying-Jyun Shih 施盈君 |
Advisor: | 王泓仁 |
Co-Advisor: | 陳南光 |
Keyword: | 資產價格,物價指數,損失函數, asset price,price index,loss function, |
Publication Year : | 2012 |
Degree: | 碩士 |
Abstract: | 本文主要探討的議題是,貨幣當局納入資產價格或者包含資產價格資訊的物價指數做為貨幣政策的考量,對於穩定經濟波動是否有幫助?我們使用1998年第一季至2010年第二季台灣研究資料,並且採用前瞻性泰勒法則做為模型研究基礎,估計以下四種模型,分別為(1)原始泰勒法則模型、(2)以包含房價訊息的動態均衡物價指數(DEPI)做為政策指標、(3)以房價取代消費者貨物籃中的房屋租金項目、以及(4)納入房價做為泰勒法則反應變數。首先,我們使用一般化動差法與模型預測能力的檢定,發視我國央行可能採行的政策法則為模型一。意即我國央行目前政策未考慮房屋價格的波動或者使用包含房價資訊的物價指數做為政策指標。
其次,我們採用貨幣政策損失函數評估模型穩定經濟波動的能力。估計結果指出模型二是相對上最具有穩定經濟波動的能力。而模型四直接將房價作為政策反應變數,因應波動劇烈的房價變化,使其穩定經濟波動的能力為四種模型中最差的模型。 但由於DEPI在文獻上仍存在爭議性,我們退一步比較模型三與模型一,比較結果發現此模型相對上具有不錯的穩定經濟波動的能力。此外,模型三以房價取代房租項目重新設算消費者物價的方法相對簡易,並且能夠適度矯正目前使用的消費者物價指數對於生活成本反映的偏誤。 Is consumer price index a good policy target? How will the monetary policy act if we include the asset price as a variable of monetary policy? These are the main problems we considered. There are four models in the thesis. First, we use generalized method of moments to estimate the monetary policy adopted by Taiwan’s central bank. Second, we use the quadratic loss function to evaluate the stability of monetary policy. We consider Dynamic equilibrium price index (DEPI) as the variable predicting inflation in the future. The model is the smallest loss of four models. And the model which including housing price in the monetary policy directly is the biggest loss of four models. But there is controversy over DEPI. We use housing price to replace rent item in CPI basket of goods. The result points out that the model has less loss than original Taylor’s rule. It also means that using asset price in CPI basket of goods may be a good policy index. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/15767 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 經濟學系 |
Files in This Item:
File | Size | Format | |
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ntu-101-1.pdf Restricted Access | 1.96 MB | Adobe PDF |
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