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    Title: 量化寬鬆政策之跨國效果分析-GVAR模型應用
    Cross-Country Effects of the Quantitative Easing Policy - A GVAR Analysis
    Authors: 楊凱翔
    Contributors: 徐士勛
    楊凱翔
    Keywords: 全球化向量自我回歸模型
    衝擊反應函數
    量化寬鬆政策
    跨國效果
    貨幣政策
    利差
    Date: 2013
    Issue Date: 2014-07-14 11:23:55 (UTC+8)
    Abstract: 近年來各國多採用量化寬鬆政策以因應全球不景氣對國內造成的衝擊,故本文主要針對日美可能採取的量化寬鬆政策工具,分析其對國內之影響以及對台灣造成之跨國效果進行實證研究。本文使用 GVAR 模型以捕捉多國間相互影響關係,利用 1981 年第 1 季至 2011 年第 2 季之季資料,分析日美施行寬鬆貨幣政策可能造成的影響。首先我們先針對台灣選定一合適之模型規模以進行後續研究,並比較以短期利率、長期利率、匯率(單一變數)與利差(複合變數)為政策工具所造成之振興經濟效果是否符合理論預期。實證結果指出,從台灣的角度觀之,選定較小之模型規模於估計結果並無明顯不同,且較少的國家個數更有利資料蒐集與更新;而以利差為衝擊作為模擬政策工具之效果,優於其他僅操作單一變數衝擊之影響;此外,倘若中國採行調降短期利率的量化寬鬆政策時,台灣經濟成長亦會受到有顯著且正向的影響。
    Reference: 林曉伶(2008). 「日本貨幣政策操作方式與政策目標之達成」,〈〈國際金融參考資料〉〉, 56,頁 99-139。
    高超洋(2009). 「日本零利率及量化寬鬆政策與當前美國貨幣政策之比較」,〈〈國際金融參考資料〉〉, 58,頁 102-134。

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    Description: 碩士
    國立政治大學
    經濟學系
    101258001
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101258001
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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