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    Title: 有關貨幣政策制定與執行的論文三篇
    Three Essays on the Conduct and Implementation of Monetary Policy
    Authors: 徐千婷
    Sarah Chien-ting Hsu
    Contributors: 沈中華
    徐千婷
    Sarah Chien-ting Hsu
    Keywords: 貨幣政策
    加權平均資金成本
    貨幣法則
    馬可夫轉換
    貨幣總計數
    預測
    Date: 2001
    Issue Date: 2009-09-18 17:21:17 (UTC+8)
    Abstract: 第一篇:貨幣政策對企業資金成本的影響:我國上市公司個體資料的實證分析
    文獻上有關衡量貨幣政策效果的實證研究中,大部份均簡化地利用單一利率水準,如銀行放款利率等,來代表企業的資金成本,而忽略了企業因融資型態、產業別等的不同,所造成的外部融資貼水 (external finance premium) 的差異。這種簡化的作法,將無法反映貨幣政策效果的全貌。因此,本文特別考慮貨幣政策變動對於外部融資貼水的影響納入考慮,亦即利用我國上市公司的財務資料,將企業的融資組合、以及各種組合下的外部融資貼水納入貨幣政策效果的分析,以進行貨幣政策傳遞效果的研究。也就是說,在研究方法上,我們採取一個與傳統研究貨幣政策效果截然不同的研究方法,此法最主要的特色就是利用個體資料進行分析,亦即利用個別企業的資產負債表等財務資料,計算各企業的加權平均資金成本 (weighted average cost of capital, WACC) 來進行分析。在建立我國442家上市公司的資金成本資料庫,包括加權平均資金成本,以及個別資金成本(如銀行借款、普通股權益資金、以及公司債發行成本等)的資料,以及應用panel資料的估計法(包含固定效果法及隨機效果法等)進行分析後,我們的主要實證發現有:(1)貨幣政策仍能有效影響企業的資金成本;(2)貨幣政策對於企業資金成本的影響因景氣狀況而不同;(3)貨幣政策對於各種不同資金成本的影響程度不同;(4)傳統產業與高科技電子業的加權平均資金成本高低存在顯著差異;(5)個別資金成本的高低亦受到產業別的影響;(6)貨幣政策對於企業資金成本的影響效果,將因產業別的不同而有所差異。
    第二篇:權衡性貨幣回饋法則:以台灣為例
    文獻上常見的貨幣政策回饋法則多假設為線性,亦即假設法則中的權數為固定常數,這種假設可能因為過度簡化,而無法捕捉貨幣當局在面臨經濟情況發生重大改變時的權衡性反應模式。因此,本文建立一個允許權數變動的非線性貨幣回饋法則,在這個法則中,貨幣政策目標的權數由一個狀態變數 (state variable) 所主導而呈現隨機變動,此一狀態變數的設定與Hamilton (1989) 的設定相同,亦即狀態間的轉換遵循一階馬可夫鏈 (Markov chain)。利用此一Markov switching貨幣回饋法則,來估計台灣的中央銀行在1986年至1999年間的行為後發現,央行的決策行為的確曾經出現過非線性的情況, Bernanke and Mishkin (1992) 稱這種情況為,貨幣當局具有「危機意識」 (crisis mentality)─當某一貨幣目標有危機時,貨幣當局將提高該目標的重要性,亦即提高回饋法則中的權數。本文得到的兩個估計結果證實了這種現象:第一、物價回饋權數在「低物價」狀態(狀態一)絕對值較小,只有0.12,而在「高物價」狀態(狀態二)絕對值比較大,達15.52。由兩個狀態下物價回饋權數的差異可以得知,在沒有通貨膨脹壓力時,央行對於物價偏離目標時所採取的因應措施比較溫和;反之,當面臨通貨膨脹壓力時,央行會採取比較強烈的緊縮措施。第二、在某些樣本期間,特別是1986年2月至1986年10月、以及1991年8月至1992年5月,當新台幣對美元持續大幅升值期間,央行對於匯率的重視程度明顯提高,回饋法則中的匯率回饋權數絕對值由狀態一的0.07,上升為狀態二的36.95。
    第三篇:台灣地區貨幣總計數之預測
    貨幣總計數在我國中央銀行政策制定的過程中,扮演相當重要的角色,因此,在貨幣政策效果有時間落後的情況下,如何準確掌握未來的貨幣總計數走勢,並適時採取必要的措施,以達成貨幣成長目標,對於中央銀行而言是一項相當重要的工作。本文的主要目的即是建立三種貨幣總計數預測模型,即結構模型、季節性ARIMA模型、以及誤差修正模型,並利用1987年1月至1999年12月的月資料進行模型的參數估計與樣本外預測,而後並以 mean absolute percentage error (MAE%), root mean squared percentage error (RMSE%) 、以及Theil 等三種指標,來評估各個模型預測能力的良窳。研究結果顯示,本文所建立的三種模型中,在預測 M2 方面,以季節性 ARIMA 的預測誤差最小;而在預測 M1B 方面,則以及誤差修正模型的預測績效最好;至於結構模型,雖然預測誤差為三種模型中最大者,但亦在可以接受的範圍之內。因此,本文所建立的三種模型,對於預測我國貨幣總計數的未來走勢,在實務上應具有若干參考價值。

    第一篇:貨幣政策對企業資金成本的影響:我國上市公司個體資料的實證分析
    摘 要 ………………………….............……….......... 1
    1 前 言 …………………........................ ……… 2
    2 我國企業融資型態的演變 …………………………........ 5
    3 加權平均資金成本計算方式說明 ..................... 7
    3.1 長期債務成本....................................... 8
    3.2 普通股成本 ..................................... 9
    3.2.1 固定成長率估價模式 ........................... 10
    3.2.2 資本資產訂價模式 .............................. 11
    3.2.3 計算權益成本時產生的問題 ..................... 13
    3.2.4 另一種普通股權益成本的估算:本息比倒數或本益比倒數 14
    3.3 保留盈餘成本 ................................... 15
    3.4 加權平均資金成本的計算 ......................... 15
    4 我國上市公司WACC之求算 ........................... 16
    4.1 銀行借款成本的衡量 .............................. 17
    4.2 發行公司債成本 .................................. 18
    4.3 普通股權益成本的估計方法 ........................ 18
    4.4 保留盈餘(或自有資金)成本 ........................ 19
    4.5 WACC中權數的計算 ............................... 19
    4.6 WACC的計算 ..................................... 20
    5 實證模型的建立與估計 ............................. 21
    5.1 模型建立 ........................................ 21
    5.2 估計方法 ....................................... 25
    5.3 Hausman檢定 .................................... 26
    5.4 全部樣本的估計 ................................. 27
    5.5 貨幣政策對不同資金成本的影響 ................... 31
    5.6 產業別估計結果 ................................. 32
    6 結 語 ........................................... 32
    附 錄:資料來源說明 ................................ 36
    參考文獻 ............................................ 38
    第二篇:權衡性貨幣回饋法則:以台灣為例
    摘 要 …………………………………….................... 69
    1 前 言 .................................... ……….. 70
    2 央行的貨幣政策操作工具與目標 …………………………... 74
    3 Markov Switching 回饋法則的實證模型……………………. 77
    3.1 Markov Switching 模型 ........................... 77
    3.2 央行的貨幣回饋法則 .............................. 80
    3.3 貨幣政策短期目標的設定........................... 83
    3.4 央行的「危機意識」 .............................. 84
    4 模型估計 ........................................... 85
    5 結 論 ............................................ 92
    附 錄:模型估計法 (estimation algorithm) ............. 94
    參考文獻 ............................................. 96
    第三篇:台灣地區貨幣總計數之預測
    摘 要 ……………………........………..........…....... 98
    1 前 言 ………………………………...................... 99
    2 結構模型的建立與估計 ………………………….......... 101
    2.1 貨幣數量的決定 ................................. 101
    2.2 模型建立 ....................................... 102
    2.3 模型估計........................................ 103
    3 季節性ARIMA模型之估計……..…….................... 105
    4 共整合與誤差修正模型之建立與估計 ................. 109
    4.1 模型建立及單根檢定 ............................. 109
    4.2 模型設定(錯誤)檢定 ............................. 110
    4.2.1 落後期數的選擇 ............................. 111
    4.2.2 ARCH檢定 .................................... 111
    4.2.3 常態分配檢定 ............................... 111
    4.3 共整合向量的檢定與估計 ........................ 113
    4.4 誤差修正模型之估計 ............................ 114
    5 模型預測績效之比較 ............................... 116
    6 結 論 ........................................... 122
    附 錄:資料說明 .................................... 124
    參考文獻 ............................................ 125
    Reference: 貨幣政策對企業資金成本的影響:我國上市公司個體資料的實證分析
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    權衡性貨幣回饋法則:以台灣為例
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    Description: 博士
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