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    Title: 理性預期下消費函數之理論與驗證
    Authors: 林秋發
    Contributors: 王春源
    林秋發
    Date: 1985
    Issue Date: 2016-11-09 17:06:48 (UTC+8)
    Abstract: 摘要
    古典學派認為消費是所得中未被儲蓄的部份,而儲蓄是利率的正函數,在充分就業的假設下,可推得消費是利率的反函數。一九三六年,keynes將所得引進消費函數裏面,認為消費由當期所得水準所決定,且邊際消費傾向大於0但小於1。在keynes之後,引起很多學者對消費函數的研究,其中最有貢獻者首推M. Friedman的恆常所得消費說。
    Friedman認為,當期的消費是恆常所得一固定比例,即Ct = kYt p,然而恆常所得是無法觀察得到的,Friedman乃由適應性預明出發,用koyck幾何遞減權數形式來估計恆常所得。然而自理性預期學派興起之後,學者試著以理性預期代替適應性預期,重新定義恆常所得,並仿照Friedman的主張:Ct = kYt p,則可推得消費呈隨機游走的形式:Ct = k Ct-1 + Ut ,吾人名之為理性預期下的消費函數。
    本文係針對消費呈隨機游走的命題,詳細介紹其來龍去脈和其相關的論點,最後並以台灣的實際資料加以驗證,看看理性預期下的消費函數是否適合台灣的情況。
    本文共計五章,第一章在介紹研究動機、目的、研究方法與文章架構。第二章為理論的回顧,說明預期因素在Friedman恆常所得消費說的重要。第三章為理性預期下消費函數之理論模型,在此章吾人詳細介紹理性預期下消費函數之重要論點,並比較其差異。第四章為台灣之實證研究,此章之實證模型係脫胎於第三章之理論模型。由於模型設定不同,乃有不同之實證結果,模型1,2,5棄卻理性預期下消費函數之論點,而模型3,4支持其主張。第五章為結論與政策建議,在此部分吾人檢討拙著的缺失及其在經濟體系的政策含義。
    第一章 導論1
    第一節 研究目的、動機與方法1
    第二節 本文結構2
    第二章 非理性預期下消費函數的回顧3
    第一節 恒常所得說3
    第二節 終身消費說6
    第三節 恒常所得說終身消費說與預期因素9
    第三章 理性預期下消費函數之理論模型13
    第一節 理性預期下消費函數之意義13
    第二節 預期的所得變動、非預期的所得變動與消費21
    第三節 理性預期、外生變數與消費33
    第四章 理性預期消費函數理論台灣之驗證46
    第一節 資料與符號之說明46
    第二節 實證結果與說明47
    第五章 結論與政策建議51
    Reference: 一、中文部分
    1.刁錦寰:“時間數列分析”,台大法學院演講稿,民國七十三年十一月。
    2.包佈訓 : “理性的預期和總體經濟政策模型之探討--台灣實證研究”,政大經研所碩士論文,民國七十一年。
    3.蔡培玄:“理性預期下產出與通貨膨脹替換關係之理論與驗證”,政大經研所碩士論文,民國七十三年。
    4.楊雅惠:“長遠所得理論之探討”,台大經研所,民國七十一年。
    二、英文部分
    5. Sargent, T. J. “Macroeconomic Theory”, 雙葉書廊,民國七十一年。
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    9. Pindyck, R. S. Rubinfeld, D. L. “Econometric Models and Economic Forecasts” 雙葉書廊,民國七十年。
    10. Judge, G. G., “Introduction to the Theory and practice of Econometrics”,
    11. Gujarati, D. “Basic Econometrics”,
    12. Hadjimichalakis, M. G., “Modern Macroeconomics”,
    13. Hall, R E. “Stochastic implications of the Life cycle-permanent income hypothesis: Theory and Evidence”, J. P. E. 1978.
    14. Hall, R. E. “Comment on Bilson” E. E. R. 1980(b)
    15. Bilson, J. F. O “The Rational Expectations Approach the Consumption function” E. E. R. 1980
    16. Sargent, T. J. “Rational Expectations, Econometric Exogeneity, and Consumption”, J. P. E. 1978.
    17. Blanchard, O.J. “ Backward and forward solutions for economies with Rational Expectations” A. E. R. 1979.
    18. Friedman, M. “A Theory of the Consumption function” princeton, N.J.: Princeton Univ. Press, 1957.
    19. Haavelno, T. “The Seatistic Implications of a system of Simultaneous Equations.” Econometrica (1943. 2)
    20. Mishkin, Frederic. “Illiquidity, Consumer Durable Expenditure and Monetary Policy” A. E. R. Sept. 1976.
    21. Modigliani. F.: Monetary Policy and Consumption” In consumer Spending and Monetary Ploicy: The Linkages Conference Series No. 5 Boston: Fderal Reserve Bank of Boston, 1971.
    22. Tobin, J. & Dolde, W. “Wealth, Liquidity and Consumption” In Conumer Spending and Monetary Policy: The Linkages. Conference Series No. 5. Boston: Federal Reserve Bank of Boston, 1971.
    23. Yaari, M. E. “A Law of Large Numbers in the Theory of consumer’s choice under uncertainly” J. E. T. April. 1976.
    24. Lucus, R. E. & Rapping, L. “Real wages, Employment, and Inflation” J. P. E. Sopt. 1969.
    25. Merton, R. C. “Optimum Consumption And Portfolio Rules in a Contimcous Time model” J. E. T. Dec. 1971.
    26. Wilson, G. T. “The Estimation of Parameters in Multivariate Time Series Models”, J. R. S. S. 1973.
    27. Wilson, G. T. “The Estimation of Parameters in Multivariate Time Series Models”, J. R. S. S. 1973.
    28. Zellner, A & Franz, P. “Time Series analysis and Simultaneous equation exonometric Models” J. E. 1974.
    29. Davidson & Hendry, D. F. “Interpreting Econometric Evidence-The Behaviour of consumers’ Expenditure in the UK” E. E. R 1981.
    30. Hall. R. E. “Comments on Interpreting Economic Evidence by Davidson & Hendry” E. E. R 1981.
    31. Ackley G. Macroeconomic Theor , New York: Macmillan, 1960.
    32. Muth, J. F. “Optimal properties of Exponentially Weighted Forecasts”, J. A. S. S. 1960.
    33. Suits D. B. “The Determinants of Consumer Expenditure: A Review of Present knowledge, I. M. P. 1963.
    34. Smithiesce A. “Ferecasting postwar demand” Econometric, 1945.
    35/ Ando. Albert & Modiglini, F., “The Life cycle Hypotheisis of Saving: Aggregate Implicative and tests”, A. E. R. March 1963.
    36. Keynes, J. M. “The General Theory of Employment, Interest and Money”, Ch. 8-10.
    38. William, P. “Rational Exxectations in the Macro Model” BPEA, 1976.
    39. Sargent, T. J & Wallace N., “Rational Expectations and the Theory of Economic polict” J. M. E. 1976.
    40. Modigliani, F. “The Monetarist Controversy or, Should we Forsake Stabilization Policies?” A. E. R. 1977.
    41. Nelson, C.R. “Rational Expectations and the Estimation of Econometric Models” I. E. R. Oct. 1975.
    42. Chow. G. G. “Analysis and Control of Dynamic Economic Systems” Wiley Pub. Ca. 1975.
    43. ________ , “Estimation of Rational Expectations Models” J. E. D. C. 1980.
    Relation: 國立政治大學
    經濟研究所
    碩士
    73
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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