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    Title: 貨幣政策的不對稱效果 - 分量迴歸門檻模型之應用
    Asymmetric Effects of Monetary Policy - The Application of Quantile Regression Threshold Model
    Authors: 李騏宇
    Contributors: 林馨怡
    李騏宇
    Keywords: 貨幣政策
    不對稱效果
    分量迴歸門檻模型
    Date: 2016
    Issue Date: 2016-09-02 01:06:56 (UTC+8)
    Abstract: 貨幣政策不對稱效果是近年來相當重要的課題。不對稱效果指的有三種,第一種是不同景氣循環下的不對稱效果,第二種是擴張與緊縮性貨幣政策的不對稱效果,最後則是不同規模的貨幣政策衝擊的不對稱效果。本文除了使用 Koenker and Basset (1978) 的分量迴歸模型進行分析外,還使用 Su, Ju and Xu (2014) 的分量迴歸門檻模型分析 1954 年第三季至 2015 年第四季,美國貨幣政策的不對稱效果。實證結果發現美國的貨幣政策確實具有景氣循環下的不對稱效果。另外,我們也發現美國的貨幣政策同時存在第一種與第二種不對稱效果。然而,當我們討論第一種與第三種貨幣政策的不對稱效果是否同時存在時,雖然中低分量下的結果認為不同規模的貨幣衝擊具有不對稱效果,但各分量下的結果並非一致地認為小規模的貨幣衝擊較有效。
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    Description: 碩士
    國立政治大學
    經濟學系
    103258018
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103258018
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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