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    Title: 台灣泰勒法則實證分析
    Authors: 簡立欣
    Chien,Li-Hsin
    Contributors: 鍾經樊
    簡立欣
    Chien,Li-Hsin
    Keywords: 泰勒法則
    Taylor rule
    QVAR
    Date: 2004
    Issue Date: 2009-09-18 17:22:24 (UTC+8)
    Abstract: 泰勒法則 (Taylor rule) 認為央行關心的主要是產出成長與物價的穩定,利用利率工具促使產出成長與物價回到長期穩定水準。此法則由於操作簡單,容易為大眾了解,因此不但有助於人民對央行政策的監督,增加央行的責任感,也為民間提供一個預測未來經濟的工具,降低金融波動。雖然台灣每年仍會公佈貨幣數量 M2 的目標區,似採以盯住貨幣數量為主的貨幣政策,但近年來由於金融創新與自由化,貨幣替代品日增,貨幣的定義也日漸模糊,貨幣和產出及物價目標的相關性降低,我們因此有興趣檢測台灣央行的利率操作是否遵循泰勒法則。由於台灣是個小型開放體系,匯率對經濟狀況有很大的影響力,本文將匯率的變動引入泰勒法則,
    和原本的產出成長和物價一同作為央行所關心的政策目標。匯率固有其重要性,但相較於產出成長和物價,對景氣的影響是間接的,所以本文認,央行對匯率的關心主要在其變動方向,而非變動幅度。在這種想法下,匯率在泰勒法則中將只是一個顯示其升降的指標變數。

    本文在動態計量模型的設定上,考慮到內生變數間的同期因果關係,以及它們當中存在二元變數,故採用 Duker (2005) 裡所擬議的 Qual VAR (qualitative variable) 模型,使用 Markov Chain Monte Carlo (MCMC) 進行估計。對於估計結果的分析,則大致如同標準的VAR模型,
    除了比較模型估計的顯著性與係數大小外,主要是要進行衝擊反應 (impulse-response) 分析,檢驗在各個政策目標的隨機衝擊下,對央行所操控的利率會有什麼樣的影響。
    Reference: 杜家雯 (2001), <<台灣貨幣政策法則之理論與實證分析-央行價量操作之比較>>, 國立政治大學經濟系碩士論文。
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    57
    Description: 碩士
    國立政治大學
    經濟研究所
    91258021
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0912580211
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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