English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 50968588      Online Users : 932
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110701


    Title: 所得和利率及物價的關係 - 遞迴假設VAR和摒棄遞迴假設VAR實證結果比較
    The relationship between interest Rate, income and price level: empirical results of recursive form VAR and abandoned recursive form VAR
    Authors: 王廷宇
    Contributors: 饒秀華
    蕭明福

    王廷宇
    Keywords: 向量自我回歸
    貨幣政策
    VAR
    Money policy
    Date: 2017
    Issue Date: 2017-07-03 14:42:47 (UTC+8)
    Abstract: 貨幣政策對實體經濟的影響,一直是經濟學家長期關注的議題,為了解央行在制定貨幣政策的決策可能受那些經濟變數影響,以及貨幣政策對於本國實體經濟之效果,本研究以本國西元1995年第三季至2016年第三季季資料,進行向量自我回歸模型實證。
    本研究嘗試藉由遞迴式向量自我回歸模型(RVAR)及結構式向量自我回歸模型(SVAR),分別檢驗我國央行緊縮性貨幣政策對實質經濟活動的影響。遞迴式VAR主要參考Christiano et al.(1998)的變數擺放順序,結構式VAR則是以Sims & Zha(1995)的概念作為模型設定依據,並選擇最能反映央行貨幣政策立場的三個月國庫券利率作為貨幣政策代理變數。
    關於貨幣政策對實體經濟的實證結果,本研究發現不論是遞迴式VAR模型,抑或是結構式VAR模型,衝擊反應函數結果皆與外國參考文獻差異不大,模型都能有效解決物價迷惑現象,經濟變數大致上也都符合經濟理論與直覺。比較不同的地方在於,本國央行實施緊縮性貨幣政策後,兩者模型下的所得皆短暫上升後才開始下降,顯示本國貨幣政策效果可能存在延遲性。
    Reference: Bureau of Economic Analysis, Business Cycle Indicators, Survey of Current business, 3-4, May 1994.
    Christiano, Lawrence J., Eichenbaum, Martin, and Evans, Charles. (1996). The effects of monetary policy shocks: Evidence from the flow of funds. The Review of Economics and Statistics, Vol.78, 16-34.
    Christiano, L. J., M. Eichenbaum., C. Evans. (1998). Monetary Policy Shocks: What Have We Learned and to What End. NBER Working Paper, No. 6400.
    Kim ,S., 1999. Do monetary policy shocks matter in the G-7 countries? Using common identifying assumptions about monetary policy across countries, Journal of International Economics, 47 , 871–893.
    Kim, S., and Roubini, N. (2000). Exchange Rate Anomalies in Industrial Countries: a solution with a Structural VAR Approach. Journal of Monetary Economics, 561-586.
    Sims, C. A. (1992). Interpreting the Macroeconomic Time Series Facts. European Economic Review, 36, 975-1011.
    Sims, C. A. and T. A. Zha. (1995). Does Monetary Policy Generate Recession?, Working Paper, Yale University, New Haven, CT.
    朱芳、張文麗,2010。「我國核心CPI與貨幣政策有效性分析」,暨南學報,147期,47-52。
    沈中華(1995),〈貨幣對產出的敏感性檢定-SVAR-VECM模型的應用〉,《臺灣銀行季刊》, 46:4 , 頁71-95。
    黃仁德(1999),〈我國央行貼放政策效果與貨幣政策傳遞機能的實證分析〉,《中央銀行季刊》, 21:3 , 頁49-75。
    賴惠子(1991), 〈台灣之貨幣、信用與經濟活動〉,《臺灣銀行季刊》, 42:2,頁109-147。
    賴惠子(2000),〈小型開放經濟最適貨幣政策與貨幣政策傳遞管道之探討〉,台北大學經濟學研究所博士論文。
    賴惠子、徐維建、張萊華,2013。「我國央行對油價衝擊反應之探討」,應用經濟論叢,93期,4-17。
    Description: 碩士
    國立政治大學
    經濟學系
    104258029
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104258029
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback