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    Title: 匯率自由化後台灣總體經濟之分析
    A macro econometric analysis of Taiwan`s economy after exchange rate liberalization
    Authors: 羅茵藍
    Contributors: 毛維凌
    羅茵藍
    Keywords: SVAR
    貨幣政策
    匯率自由化
    Date: 2009
    Issue Date: 2010-12-08 02:02:21 (UTC+8)
    Abstract: 1980年代後國際間金融市場自由化潮流及全球化快速發展,使現代國家難以置身事外,央行為達穩定國內幣值及經濟成長,需要考量外匯市場、實質經濟、資產市場這三方面的互動情形,平衡以免於衝擊,此時了解總體變數受國內外衝擊大小及其背後傳遞管道更為必要,如此才能訂定適當的貨幣政策以抵禦未預期衝擊。
      本文係以SVAR模型探討匯率自由化時期總體經濟受國內外衝擊大小及變異因素變化,得到實證結果如下:緊縮性貨幣政策實施產出與物價短期不受影響,但匯率會先降後升,短期內可抵禦匯率波動;未預期匯率上升短期產出與物價有遲滯性反應,央行會對抵禦匯率波動沖銷,但不過度干預;國際原油價格上漲產出有落後反應,物價受衝擊後緩慢收斂,央行會因應供給面衝擊升息,匯率也會上升反應通膨預期;美國聯邦資金利率調升,我國產出會落後反應,物價短期則不能為國外利率解釋,利率則隨美國升息,匯率則會急降後回復原水準。利率的變異成分主要是M2與美國聯邦資金利率,顯見我國小型開放經濟特質;匯率變異,M2與美國聯邦資金利率占重要因素,另外美國產出也對我國匯率波動有重要影響;產出代理變數-失業率變異來源,貨幣總計數M2重要性次於本身,支持貨幣對產出有影響學說;核心CPI變異實質匯率、失業率占重要成分,顯見供給面對物價決定貢獻。
      匯率自由化後貨幣對實質面與金融面變異有極高解釋力,可見貨幣在今日資金移動快速的全球化環境有重要影響,另外,美國產出對我國匯率波動有重要貢獻,顯現我與美方貿易密切,其國外產出變化會進而傳導至我國經濟。
    Reference: 陳旭昇(2007)「時間序列分析」,台北市:東華書局
    沈中華(1995)「貨幣對產出的敏感性檢定-SVAR-VECM模型的應用」,台灣銀行季刊,第十六卷第四期,頁71-95。
    王泓仁(2005)「台幣匯率對我國經濟金融活動之影響」,中央銀行季刊,第二十七卷,第一期,頁13-46。
    楊仲民(2007)「價格謎團現象探討-新凱因斯模型下的計量分析」,國立中正大學國際經濟所,碩士論文。
    王書盛(2007)「貨幣政策與信用管道:資本不完全移動之動態分析」,國立政治大學經濟學系,碩士論文。
    賴建興(1995)「貨幣對產出與物價敏感性檢定-小型開放經濟體系下var與svar模型應用」,淡江大學財務金融學系,碩士論文。
    林憶華(2003)「利用結構VAR模型推估台灣貨幣政策之效果」,國立台北大學經濟學系,碩士論文。
    蘇慧瓊(2004)「國際景氣循環對台灣經濟的影響」,國立中山大學中山學術研究所,碩士論文。
    高崇銘(2002)「實質匯率和產出的關係-台灣地區的動態實證分析」,東吳大學經濟學系,碩士論文。
    Balke, N.S. and K.M. Emery (1994) “Understanding the price puzzle”, Federal Reserve Bank of Dallas Economic Review 4th quarter, 15-26.
    Bernanke, B. S. and A. S. Blinder (1988), “Credit, Money, and Aggregate Demand”, American Economic Review78, 435-439.
    Bjørnland, H.C. (2005), “Monetary Policy and Exchange Rate Interactions in a Small Open Economy,” Working Paper 2005/16, Norges Bank.
    Cooley, T. F. and S. F. Leroy (1985)“Atheoretical Macroeconometrics. A Critique”, Journal of Monetary Economics16, 283-308.
    Creel, J. (2006)“The “price puzzle”, once more”, Applied Economics Letters,
    13,183-187
    Christiano, L.J., Eichenbaum, M. and C.L. Evans (1999), “Monetary Policy Shocks: What Have we Learned and to What End?” in J.B. Taylor and M. Woodford, eds., Handbook of Macroeconomics. Volume 1A. New York: Elsevier Science, 65-148
    Cushman, David O., and Tao Zha (1997) “Identifying Monetary Policy in a Small Open Economy under Flexible Exchange Rates”, Journal of Monetary Economics 39, 433-48.
    Giordani, P. (2004) “An alternative explanation of the price puzzle”, Journal of Monetary Economics 51, 1271-96.
    Kim and Roubini (2000) “Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach”, Journal of Monetary Economics 45,561-586
    Sims, C.A. (1980) “Macroeconomics and reality”, Econometrica 48, 1-48.
    Sims , C.A. (1992) “Interpreting the macroeconomic time series facts: The effects of monetary policy”, European Economic Review 36, 975-1000.
    Sims, C.A., Zha, T. (1995) “Does monetary policy generate recessions?: Using less aggregate price data to identify monetary policy”,Working paper, Yale University, CT.
    Description: 碩士
    國立政治大學
    經濟學系
    97258028
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097258028
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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