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    題名: 不對稱貨幣政策之分析－－－以結構轉換模型為對象
    作者: 林美榕
    Lin Mei-Long
    貢獻者: 毛維凌
    林美榕
    Lin Mei-Long
    關鍵詞: 不對稱貨幣政策
    LSTAR
    Switching Regressive Model
    日期: 2002
    上傳時間: 2009-09-18 17:22:14 (UTC+8)
    摘要: 摘 要
    本文係以LSTAR及Switching Regression 模型作為計量分析工具，嘗試使用不同之狀態變數來解釋經濟狀之移轉，同時，利用LM Test檢驗各種法則中，目標變數前之係數在不同狀態下，是否會有顯著差異；即央行是否會因處經濟狀態之不同而有不同之貨幣政策行為。
    經由實證結果可知：在LSTAR模型之下，我們無法確定央行是否會因所處狀態之差異而存在不同的貨幣政策行為；但是，在Switching Regression 模型之下，則可以明顯得出央行會在不同的狀態下，存在不同之貨幣政策行為；其中，在本文中所設定之各種央行目標下，央行對於實產出缺口具有較高之敏感性，亦即在不同狀態下，央行會給予實產出缺口不同之權重，其貨幣政策的確具有不對稱性。
    參考文獻: 參考文獻：
    [1] 杜家雯, “台灣貨幣政策法則之理與實證分析-央行價量操作之比較”,國立政治大學經濟學系碩士論文, 2001.
    [2] 吳中書、林金龍, “台灣潛在國內生產毛額的推估及其在政策上的應用”, 自由中國之工業, 2002年10月, 1-35頁.
    [3] 劉淑敏, “泰勒法則在台灣的實證研究”, 中央銀行季刋，第二十一卷, 1999, 第四期, 77-98頁。
    [4] Barro, R. J. and Gordon, D. B. “A Positive Theory of Monetary Policy in a Natural Rate Model,” Journal of Political Economy, 1983, 92, 589-610.
    [5] Blinder, A. S. “Central Banking in Theory and Practice,” Cambridge MA： MIT Press, 1998.
    [6] Dijk, D. V., T. , and H. F. Philip, “Smooth Transition Autoregressive Models-A Survey of Recent Developments,” Econometric Reviews, 2002, 21, 1-47.
    [7] Granger, C.W.J. and T. , “Modeling Nonlinear Economic Relationships,” Oxford University Press, 1993.
    [8] Granger, C.W.J. and T. , “A Simple Nonlinear Time Series Model with Misleading Linear Properties,” Economics Letters, 1999, 62, 161-165.
    [9] Huang, H. C. and C. H. Shen, “Estimation of Taiwan’s binary monetary policy reaction function. ” Journal of Economic Studies, 2002.
    [10] Jensen, H., “Targeting Nominal Income Growth or Inflation? ” Mimeo, University of Copenhagen, 1999.
    [11] Kydland, F. E. and E. C. Prescott, “Rules Rather than Discretion： The Inconsistency of Optimal Plans,” Journal of Political Economy, 1998, 85, 473-491.
    [12] Lin C. F. and T. , “Testing the Constancy of Regression Parameters against Continuous Structural Change,” Journal of Econometrics, 1994, 62, 211-228.
    [13] McCallum, B. T., “Specification and Analysis of a Monetary Rule for Japan,” Bank of Japan, Monetary and Economic Studies, Nov., 1993.
    [14] Michael, P., A. R. Nobay, and D. A. Peel, “Transactions Costs and Nonlinear Adjustment in Real Exchange Rates： An Empirical Investigation,” The Journal of Political Economy, 1997, 105, 862-879.
    [15] Tatom, J. A., “Energy Price and Capital Formation： 1972-1977,”Federal Reserve Bank of ST. Louis Economic Review, 2-17.
    [16] Taylor, J. B., “Information Technology and Monetary Policy,” Monetary and Economic Studies, Des., 1988, 79-27.
    [17] Taylor, J. B., “A History Analysis of Monetary Policy Rules,” Monetary Policy Rules, J. B. Taylor. Ed., University of Chicago Press, 1999, 319-341.
    [18] , T., “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models,” In Handbook of Applied Economic Statistics, Marcel Dekker, 1998, 507-552.
    [19] , T., and H. M. Anderason, “Characterising Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models,” Journal of Applied Econometrics, 1992, 7, 119-139.
    [20] Tetlow, R. J. and P. Muehlen, “Simplicity versus Optimality： The Choice of Monetary Policy Rules when Agents Must Learn,” Journal of Economics Dynamics Control, 2001, 25, 245-279.
    [21] Timmermann, “Moments of Markov Switching Models,” Journal of Econometrics, 2000, 96, 75-111.
    [22] Tong, Howell, “Non-Linear Time Series： A Dynamical Systems Approach,” Oxford University Press, 1990.
    [23] Rogoff, K., “The Optimal Degree of Commitment to an Intermediate Monetary Target,”Quarterly Journal of Economics, 1985, Vol. 100 No. 4, 1169-1189.
    描述: 碩士
    國立政治大學
    經濟研究所
    90258023
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0902580231
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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