政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152708

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152708

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政大典藏 > College of Social Science > Department of Economics > Theses > Item 140.119/152708

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/152708

Title:	美國貨幣政策法則演變- 貝氏向量自我迴歸模型之應用 The evolution of U.S. monetary policy rules - an application of Bayesian VAR model
Authors:	賴沛承 Lai, Pei-Cheng
Contributors:	林馨怡 Lin, Hsin-Yi 賴沛承 Lai, Pei-Cheng
Keywords:	向量自我迴歸模型貨幣政策法則
Date:	2024
Issue Date:	2024-08-05 13:38:19 (UTC+8)
Abstract:	本論文使用美國1951年Q1至2023年Q4的季資料，並應用貝氏結構向量自我迴歸模型估計不同聯準會主席之貨幣政策法則。實證結果顯示，Martin時期聯準會積極面對通膨，而對產出缺口反應較溫和，且對兩變數反應受利率平滑效果壓縮程度較大。Burns時期對產出缺口反應亦較溫和，而對通膨反應程度上升，此時期政策反應受利率平滑效果壓縮程度較小。Volcker時期政策動機與Burns時期相似，聯準會欲快速調整利率至理想值。另外，此時期聯準會對實質經濟活動反應程度大幅上升。Greenspan時期對產出缺口與通膨亦有積極反應，然而政策反應被壓縮程度大於Volcker時期。我們也發現，自Bernanke時期開始，聯準會之貨幣政策較難使用一般政策法則詮釋。
Reference:	Bae, J., Kim, C.J., and Kim, D.H., 2012. The evolution of the monetary policy regimes in the U.S.. Empirical Economics, 43(2): 617-649. Baumeister, C., and Hamilton, J.D., 2015. Sign restrictions, structural vector autoregressions, and useful prior information. Econometrica, 83(5): 1963-1999. Baumeister, C., and Hamilton, J.D., 2018. Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations. Journal of Monetary Economics, 100: 48-65. Boivin, J., 2006. Has U.S. monetary policy changed? Evidence from drifting coefficients and real-time data. Journal of Money, Credit and Banking, 38(5): 1149–1173. Boivin, J., and Giannoni, M.P., 2006. Has monetary policy become more effective? The Review of Economics and Statistics, 88(3): 445-462. Carvalho, C., Nechio, F., and Tristão, T., 2021. Taylor Rule Estimation by OLS. Journal of Monetary Economics, 124: 140-154. Clarida, R., Gali, J., and Gertler, M., 2000. Monetary policy rules and macroeconomic stability:Evidence and some theory. The Quarterly Journal of Economics, 115(1): 147-180. Davig, T., and Leeper, E.M., 2011. Monetary–fiscal policy interactions and fiscal stimulus. European Economic Review, 55(2): 211-227. Del Negro, M., and Schorfheide, F., 2004. Priors from general equilibrium models for VARs. International Economic Review, 45(2): 643-673. Dery, C., and Serletis, A., 2023. Monetary policy and economic fluctuations. Macroeconomic Dynamics, Published online: 1-19. Grisse, C., 2020. The effect of monetary policy on the Swiss franc: An SVAR approach. Working paper, Swiss National Bank. Hanson, M.S., 2004. The “price puzzle＂reconsidered. Journal of Monetary Economics, 51(7): 1385-1413. Jayawickrema, V., 2019. Monetary policy rules and macroeconomic stability. MPRA Paper. Judd, J.P., and Rudebusch, G.D., 1998. Taylor’s Rule and the Fed: 1970-1997. Economic Review, Federal Reserve Bank of San Francisco: 3-16. Karlsson, S., 2013. Forecasting with Bayesian vector autoregression. Handbook of Economic Forecasting, 2: 791-897. Kim, C.J., and Nelson, C.R., 2006. Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data. Journal of Monetary Economics, 53(8): 1949-1966. Lubik, T., and Schorfheide, F., 2004. Testing for indeterminacy: An Application to U.S. monetary policy. American Economic Review, 94(1): 190-217. Murray, C.J., Nikolsko-Rzhevskyy, A., and Papell, D.H., 2015. Markov switching and the Taylor principle. Macroeconomic Dynamics, 19(4): 913-930. Nikolsko-Rzhevskyy, A., Papell, D.H., and Prodan, R., 2019. The Taylor principles. Journal of Macroeconomics, 62: 103159. Orphanides, A., 2004. Monetary policy rules, macroeconomic stability, and inflation: A view from the trenches. Journal of Money, Credit and Banking, 36(2): 151-175. Sims, C.A., 1980. Macroeconomics and reality. Econometrica, 48(1): 1-48. Taylor, J.B., 1993. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy, 39(1): 195-214. Taylor, J.B., 1999b. A historical analysis of monetary policy rules. Monetary Policy Rules, 319-341. Waggoner, D.F., and Zha, T., 2003. A Gibbs sampler for structural vector autoregressions. Journal of Economic Dynamics and Control, 28(2): 349-366.
Description:	碩士國立政治大學經濟學系 111258032
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0111258032
Data Type:	thesis
Appears in Collections:	[Department of Economics] Theses

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