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    Title: 利率匯率和所得及物價的關係-VAR實證結果
    The relationship between interest rate, exchange rate, income and price level-Empirical results of VAR
    Authors: 顏志嘉
    Yan, Chih-Chia
    Contributors: 饒秀華
    蕭明福

    Rau, Hsiu-Hua
    Shaw, Ming-fu

    顏志嘉
    Yan, Chih-Chia
    Keywords: 政策代理變數
    緊縮性貨幣政策
    封閉經濟體系
    開放經濟體系
    Date: 2017
    Issue Date: 2017-07-03 14:42:50 (UTC+8)
    Abstract: 貨幣政策能夠對於實質經濟造成影響已經是不爭的事實,但是透過何種政策代理變數影響經濟卻是爭論的焦點。
    本研究主要以VAR模型,參考Christiano et al. (1998)與Eichenbaum and Evans (1995)的經濟變數排序,分別探討台灣在封閉經濟體系下與開放經濟體系下實施緊縮性貨幣政策的實證結果,探討期間為1995年Q1到2016年Q4。
    在封閉體系下,本研究分別以央行國庫券31至90天次級市場利率與貨幣供給為政策代理變數,探討緊縮性貨幣政策實證結果。
    研究發現,以央行國庫券31至90天次級市場利率為政策代理變數下,實質GDP會呈現出明顯的延遲減少效果,物價方面,GDP平減指數與消費者物價指數皆存在明顯的價格困惑現象,且即使加入原材料物價指數也不改變結果,而消費者核心物價指數則是自一開始即不存在價格困惑現象。而以貨幣供給為政策代理變數時,則實質GDP會呈現立即性減少,但無法辨識政策效果極大的時點,所以在封閉經濟體系下,以貨幣供給為代理變數的實證結果相對較佳。然而,由於利率變異數分解的結果支持以利率作為政策代理變數的經濟變數排序,故仍以利率為之後開放經濟體系的政策代理變數。
    在開放體系下,研究結果發現實質GDP呈現立即性減少,且可辨識政策效果極大的時點,物價方面,消費者核心物價指數並不存在價格困惑,而利差與匯率的變化則皆呈現短期升值長期貶值,與利率平價理論相符。
    整體而言,由於開放經濟體系實證結果整體優於封閉經濟體系實證結果。其原因可能因為台灣為小型開放經濟體,且對外貿易相當發達,匯率連動非常密切,故央行在制定貨幣政策時不僅會評估政策對國內GDP、物價等經濟變數的影響,也會探討政策對於匯率、利差等國外經濟變數的影響為何。
    Reference: English references
    1.Bernanke, B.S., A.S. Blinder. (1992). The Federal Funds Rate and the Channels of Monetary Transmission. American Economic Review, Vol. 82, 901-22.
    2.Bernanke, Ben S., Gertler, Mark. (1995). Inside the black box:The credit channel of
    monetary policy transmission. Journal of Economic Perspective, Vol.9, 27-48.
    3.Bjørnland, H. C. (2008). Monetary Policy and Exchange Rate Interactions in a Small Open Economy. Journal of Economics, Vol. 110, 197-221.
    4.Bureau of Economic Analysis, Business Cycle Indicators, Survey of Current business, 3-4,May 1996.
    5.Christiano, L.J., and M. Eichenbaum. (1992). Liquidity effects and the Monetary Transmission Mechanism. American Economic Review, Vol. 82 ,346-53.
    6.Christiano, Lawrence J., Eichenbaum, Martin, and Evans, Charles. (1996). The effects of
    monetary policy shocks: Evidence from the flow of funds. The Review of
    Economics and Statistics, Vol.78, 16-34.
    7.Christiano, L. J., M. Eichenbaum., C. Evans. (1998). Monetary Policy Shocks: What Have We Learned and to What End?. NBER Working Paper, No. 6400.
    8.Cosimano, T., and R. Sheehan. (1994). The Federal Reserve Operating Procedure, 1984-
    1990: An Empirical Analysis. Journal of Macroeconomics,16:4, 573-88.
    9.Cushman, D. O., and Zha, T. (1997). Identifying monetary policy in a small open Economy under flexible exchange rates. Journal of Monetary Economics, 433-448.
    10.Eichenbaum, M., and C.L. Evans. (1995). Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates. The Quarterly Journal of Economics, Vol. 110, 975-1010.
    11.Eichenbaum, M. (1992). Interpreting the macroeconomic time series facts: the effects of monetary policy. European Economics Rev, 36(5), 1001-1011.
    12.Frankel, Jeffrey A. (1992). Measuring international capital mobility: a review. American Economic Review, 82, 197-201.
    13.Kim, S., and Roubini, N. (2000). Exchange Rate Anomalies in Industrial Countries: a solution with a Structural VAR Approach. Journal of Monetary Economics, 561-586.
    14.Leeper E.M., D.B. Gorden. (1994). The Dynamic Impacts of Monetary Policy: an Exercise in Tentative Identification. Journal of Political Economy, Vol. 102, 1228-47.
    15.Mishkin, F. S. (1981). Monetary policy and long-term interest rates: An efficient markets approach. Journal of Monetary Economics, Vol.7, 29-55.
    16.Monadjemi, M. S. (1997). International Interest Rates Linkages: Evidence from OECD Countries. International Review of Financial Analysis, Vol.6, 229-240.
    17.Racette, Daniel., and Jacques Raynauld. (1992). Canadian Monetary Policy: Will the Checklist Approach ever Get Us to Price Stability?. Canadian Journal of Economics, 25, 819-838.
    18.Sims, C. A. (1992). Interpreting the Macroeconomic Time Series Facts. European Economic Review, 36, 975-1011.
    19.Sims, C. A. and T. A. Zha. (1995). Does Monetary Policy Generate Recession?. Working
    Paper, Yale University, New Haven, CT.
    20.Strongin, S. (1995). The Identification of Monetary Policy Disturbances: Explaining the Liquidity Puzzle. Journal of Monetary Economics, 35:3, 463-97.
    21.Thornton, D. (1988). The Borrowed-Reserves Operating Procedure: Theory and Evidence. Federal Reserve Bank of St. Louis Review, 70:1, 30-54.
    22.Toda, H. Y., and T. Yamamoto. (1995). Statistical Inference in Vector Autoregressions with Possibly Integrated Processes. Journal of Econometrics, 66, 225-250.


    Chinese References
    1.莊伍仁、鄭麗玲,1991。「台灣地區貨幣、信用與經濟活動-結構化向量自我迴歸之實證研究」,台灣銀行季刊,42卷4期,190-220。
    2.沈中華、陳華倫,1996。「貨幣政策指標的建立與貨幣政策反應函數」,經濟論文,24卷4期,頁560-590。
    3.黃仁德,1999。「我國中央銀行貼放政策效果與貨幣政策傳導機制的實證分析」,中央銀行季刊,21卷3期,50-78。
    4.林家民,2005。「亞太地區未拋補利率平價說之檢定:STAR 模型之應用」,南台科技大學行銷與流通管理學系碩士學位論文。
    5.李國銘,2007。「未拋補利率平價說與風險溢酬-GARCH-M及GARCH-X模型之應用」,國立中正大學產業經濟學系碩士學位論文。
    6.朱芳、張文麗,2010。「我國核心CPI與貨幣政策有效性分析」,暨南學報,147期,47-52。
    7.林雍盛,2012。「貨幣政策衝擊對股價的影響:台灣、美國的實證研究-SVAR模型之應用」,國立中正大學國際經濟學系碩士學位論文。
    8.賴惠子、徐維建、張萊華,2013。「我國央行對油價衝擊反應之探討」,應用經濟論叢,93期,4-17。
    Description: 碩士
    國立政治大學
    經濟學系
    104258032
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104258032
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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