請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/89065
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 王泓仁 | zh_TW |
dc.contributor.advisor | Hung-Jen Wang | en |
dc.contributor.author | 陳敬宇 | zh_TW |
dc.contributor.author | Ching-Yu Chen | en |
dc.date.accessioned | 2023-08-16T16:59:03Z | - |
dc.date.available | 2023-11-09 | - |
dc.date.copyright | 2023-08-16 | - |
dc.date.issued | 2023 | - |
dc.date.submitted | 2023-08-09 | - |
dc.identifier.citation | 劉淑敏 (2011),「臺灣產出缺口與通貨膨脹關係之研究」,中央銀行季刊 ,33(4) ,17–43。
吳懿娟 (2005),「台灣中性短期實質利率的估測」,中央銀行季刊 ,27(2) ,41–70。 陳旭昇、湯茹茵 (2012),「動態隨機一般均衡 (DSGE) 模型在貨幣政策制定上的應用: 一個帶有批判性的回顧與展望」,經濟論文叢刊 ,40(3) ,289–323。 Andrade, P., J. Gali, H. Le Bihan and J. Matheron (2019), “The Optimal Inflation Target and the Natural Rate of Interest.” , Brookings Papers on Economic Activity , 173–256. Archibald, J. and L. Hunter (2001), “What is the neutral real interest rate, and how can we use it?” , Reserve Bank of New Zealand Bulletin , 64(3) , 15–28. Ball, L. M. (1999), “Policy rules for open economies”, Monetary Policy Rules, 127–156. Basdevant, O., N. Björksten and Ö. Karagedikli (2004), Estimating a time varying neutral real interest rate for New Zealand, Technical report, Reserve Bank of New Zealand. Berger, T. and B. Kempa (2014), “Time-varying equilibrium rates in small open economies: Evidence for Canada” , Journal of Macroeconomics , 39 , 203–214. Clark, P. K. (1987), “The cyclical component of US economic activity” , The Quarterly Journal of Economics , 102(4) , 797–814. Clark, T. E. and S. Kozicki (2005), “Estimating equilibrium real interest rates in real time”, The North American Journal of Economics and Finance , 16(3) , 395–413. Del Negro, M., D. Giannone, M. P. Giannoni and A. Tambalotti (2019), “Global trends in interest rates” , Journal of International Economics , 118 , 248–262. Engle, R. F. (1978), “Estimating structural models of seasonality”, Seasonal analysis of economic time series, 281–308. Fiorentini, G., A. Galesi, G. Pérez Quirós and E. Sentana (2018), “The rise and fall of the natural interest rate” , Documentos de trabajo/Banco de España , (22). Friedman, M. (1968), “The Role of Monetary Policy” , American Economic Review , 58(1), 1–17. Galı́, J. (2008), Introduction to Monetary Policy, Inflation, and the Business Cycle: An Introduction to the New Keynesian Framework, Technical report, Princeton University Press. Grossman, V., E. Martinez-Garcia, M. A. Wynne and R. Zhang (2019), Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies, Technical report, Federal Reserve Bank of Dallas. Hamilton, J. D. (1986), “A standard error for the estimated state vector of a state-space model” , Journal of Econometrics , 33(3) , 387–397. Hamilton, J. D., E. S. Harris, J. Hatzius and K. D. West (2016), “The equilibrium real funds rate: Past, present, and future” , IMF Economic Review , 64 , 660–707. Harvey, A. C. (1990), Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge University Press. Harvey, A. C. (1985), “Trends and cycles in macroeconomic time series” , Journal of Business & Economic Statistics , 3(3) , 216–227. Harvey, A. C. and P. H. Todd (1983), “Forecasting economic time series with structural and Box-Jenkins models: A case study” , Journal of Business & Economic Statistics , 1(4) , 299–307. Hledik, T. and J. Vlcek (2018), Quantifying the Natural Rate of Interest in a Small Open Economy-The Czech Case, Technical report, Czech National Bank. Holston, K., T. Laubach and J. C. Williams (2017), “Measuring the natural rate of interest: International trends and determinants” , Journal of International Economics , 108 , S59–S75. Humala, A. and G. H. R. Briones (2011), Estimation of a time varying natural interest rate for Peru , Pontificia Universidad Católica del Perú. Departamento de Economı́a. Kalman, R. E. (1960), “A new approach to linear filtering and prediction problems” , Journal of Basic Engineering , 82 , 35–45. Karabarbounis, L. and B. Neiman (2014), “The global decline of the labor share” , The Quarterly Journal of Economics , 129(1) , 61–103. Kupkovič, P. (2020), “R-star in transition economies: evidence from Slovakia” , Ekonomickỳ časopis , 68(8) , 761–786. Kuttner, K. N. (1994), “Estimating potential output as a latent variable” , Journal of Business & Economic Statistics , 12(3) , 361–368. Laubach, T. and J. C. Williams (2003), “Measuring the natural rate of interest” , Review of Economics and Statistics , 85(4) , 1063–1070. Laubach, T. and J. C. Williams (2016), “Measuring the natural rate of interest redux” , Business Economics , 51 , 57–67. Lubik, T. A. and C. Matthes (2015), “Time-varying parameter vector autoregressions: specification, estimation, and an application” , Economic Quarterly , 101(4) , 323–353. MacDonald, R. and J. L. Stein (1999), Equilibrium Exchange Rates , vol. 69, Springer Science & Business Media. Mehra, R. (1974), “Topics in stochastic control theory identification in control and econometrics: Similarities and differences” , Annals of Economic and Social Measurement, 3(1) , 21–48. Mesonnier, J.-S. and J.-P. Renne (2007), “A time-varying “natural”rate of interest for the euro area” , European Economic Review , 51(7) , 1768–1784. Nerlove, M., D. Grether and J. L. Carvalho (1979), Analysis of Economic Time Series, Technical report, Elsevier. Pagan, A. R. et al. (1975), “A Note on the Extraction of Components from Time Series” , Econometrica , 43(1) , 163–168. Pedersen, J. (2015), The Danish natural real rate of interest and secular stagnation, Technical report, Danmarks Nationalbank Working Papers. Rudebusch, G. and L. E. Svensson (1999), “Policy rules for inflation targeting”, Monetary Policy Rules, 203–262. Sax, C. and D. Eddelbuettel (2018), “Seasonal adjustment by x-13arima-seats in r” , Journal of Statistical Software , 87 , 1–17. Shumway, R. H. and D. S. Stoffer (1982), “An approach to time series smoothing and forecasting using the EM algorithm” , Journal of Time Series Analysis , 3(4) , 253–264. Silva, F. B. da and F. de Holanda Barbosa (2021), “Measuring the natural interest rate in a small open economy” , Available at SSRN 3970456. Smets, F. and R. Wouters (2007), “Shocks and frictions in US business cycles: A Bayesian DSGE approach” , American Economic Review , 97(3) , 586–606. Stock, J. H. (1994), “Unit roots, structural breaks and trends” , Handbook of econometrics , 4 , 2739–2841. Stock, J. H. and M. W. Watson (1998), “Median unbiased estimation of coefficient variance in a time-varying parameter model” , Journal of the American Statistical Association , 93(441) , 349–358. Svensson, L. E. (1997), “Inflation forecast targeting: Implementing and monitoring inflation targets” , European Economic Review , 41(6) , 1111–1146. Svensson, L. E. (2000), “Open-economy inflation targeting” , Journal of International Economics , 50(1) , 155–183. Taylor, J. B. (1993), “Discretion versus policy rules in practice” , Carnegie-Rochester conference series on public policy , 39 , 195–214. Watson, M. W. and R. F. Engle (1983), “Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models” , Journal of Econometrics , 23(3) , 385–400. Wicksell, K. (1936), Interest and Prices , Ludwig von Mises Institute, translation of 1898 edition by R.F. Kahn. Williams, J. C. (2015), “The decline in the natural rate of interest” , Business Economics, 50 , 57–60. Woodford, M. (2003), Interest and Prices , Princeton Univ. Press. Wynne, M. A. and R. Zhang (2018), “Estimating the natural rate of interest in an open economy” , Empirical Economics , 55 , 1291–1318. | - |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/89065 | - |
dc.description.abstract | 本研究旨在估計臺灣的中長期自然利率,我們採用不可觀測成分(UC) 模型,結合卡爾曼濾波器(Kalman Filter) 以及最大期望演算法(EM Algorithm) 進行估計,並分析1995 年至2021 年臺灣自然利率的走勢。我們的UC 模型參考自Berger and Kempa (2014),相比於Laubachand Williams (2003) 的原始版本,前者納入實質匯率的影響,並引進未拋補利率平價等式,用以解釋匯率缺口和利率缺口的關係。比對估計結果後我們發現,這些調整使得原先不顯著的IS Curve 係數變為顯著之負數,並且讓自然利率的平均標準誤從3.98 個百分點大幅下降至1.27 個百分點。根據本文的估計結果,臺灣的自然利率呈現下滑的趨勢,並且從2008 年起長期處在低於0 的水準。 | zh_TW |
dc.description.abstract | This paper aims to estimate the medium to long-term natural rate of interest in Taiwan. We adopt the Unobserved Components (UC) model, incorporating the Kalman Filter and the EM Algorithm for the estimation. Furthermore, we conduct an analysis on the natural rate of interest in Taiwan, tracing its trend from 1995 to 2021. Our UC model is based on the approach presented by Berger and Kempa (2014). In comparison with the model pioneered by Laubach and Williams (2003), the former incorporates the influence of the real exchange rate, introducing the uncovered interest rate parity equation to link the exchange rate gap with the interest rate gap. After comparing the estimation results, we found that these adjustments turned the initially insignificant IS curve coefficient into a significant negative value. Also, the average standard error of the natural rate of interest was greatly reduced from 3.98 percentage points to 1.272 percentage points. Based on our estimates, the natural rate of interest in Taiwan has been on a downward trend and has remained below zero since 2008. | en |
dc.description.provenance | Submitted by admin ntu (admin@lib.ntu.edu.tw) on 2023-08-16T16:59:03Z No. of bitstreams: 0 | en |
dc.description.provenance | Made available in DSpace on 2023-08-16T16:59:03Z (GMT). No. of bitstreams: 0 | en |
dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 摘要 iii Abstract iv 1 前言 1 2 文獻回顧 5 2.1 自然利率 5 2.2 UC 模型與自然利率 6 2.3 UC 模型的小型開放經濟體版本 7 3 變數與模型設定 9 3.1 資料與變數說明 9 3.2 自然利率 13 3.3 封閉經濟體UC 模型 16 3.4 小型開放經濟體UC 模型 19 4 估計方法 21 4.1 狀態空間表達式與卡爾曼濾波器(Kalman Filter) 21 4.2 最大期望演算法(EM Algorithm) 21 4.3 單端式估計與雙端式估計 23 4.4 堆積問題(Pile-Up Problem) 23 4.5 三階段估計過程 25 5 實證結果分析 26 5.1 係數與參數估計結果 26 5.2 狀態變數估計結果 29 6 問題與討論 35 7 結論 38 參考文獻 39 附錄一 44 附錄二 45 | - |
dc.language.iso | zh_TW | - |
dc.title | 臺灣自然利率的估計 | zh_TW |
dc.title | Estimating the Natural Rate of Interest in Taiwan | en |
dc.type | Thesis | - |
dc.date.schoolyear | 111-2 | - |
dc.description.degree | 碩士 | - |
dc.contributor.coadvisor | 陳南光 | zh_TW |
dc.contributor.coadvisor | Nan-Guang Chen | en |
dc.contributor.oralexamcommittee | 陳旭昇;徐之強 | zh_TW |
dc.contributor.oralexamcommittee | Shiu-Sheng Chen;Chih-Chiang Hsu | en |
dc.subject.keyword | 自然利率,小型開放經濟體,不可觀測成分模型,卡爾曼濾波器,最大期望演算法, | zh_TW |
dc.subject.keyword | Natural Rate of Interest,Small Open Economy,Unobserved Components Model,Kalman Filter,EM Algorithm, | en |
dc.relation.page | 45 | - |
dc.identifier.doi | 10.6342/NTU202302935 | - |
dc.rights.note | 同意授權(全球公開) | - |
dc.date.accepted | 2023-08-11 | - |
dc.contributor.author-college | 社會科學院 | - |
dc.contributor.author-dept | 經濟學系 | - |
顯示於系所單位: | 經濟學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-111-2.pdf | 1.36 MB | Adobe PDF | 檢視/開啟 |
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。