學術產出-Theses
Article View/Open
Publication Export
-
題名 資本管制與沖銷干預 : 台灣的實證研究 作者 林逸萍 貢獻者 朱美麗
林逸萍日期 1997 上傳時間 2016-05-11 摘要 以往與資本管制有關的文獻很少討論沖銷干預影響，而與沖銷干預有關的研究，也很少納資本管制的考量，即使同時考慮資本管制與沖銷干預，必忽略了資本管制和沖銷措施關係的探討。另外，早期的實證方法皆採用傳統以恆定變數基礎的計量方法，而沒有考慮到總體經濟數列普遍具有非恆定的性質，即使考慮到非恆定的性質，亦未對台灣地區資本管制放寬對沖銷係數的影響從事實證解析。有鑑於此，本文擬以蕭文宗(1984)的模型為基礎，設立一個管理浮動滙率、部份沖銷的開族總體經濟隨機模型，據以探討政府放寬資本管制對沖銷措施的影響，並運用依非恆定數列發展出的統計分析方法，對台灣地區1985:1至1989:3和1989:4至1996:11這兩段期間，從事央行沖銷行為方程式的估計，以驗證理論模型所隱含的論點。本文主要結論如下： 參考文獻 朱美麗、曹添旺、簡美瑟， 1994 ，『沖銷干預與匯率動態━台灣的實證研究』，行政院國家科學委員會專題研究計畫， NSC83-030 I-H004-038朱美麗、曹添旺、簡美瑟， 1996，『匯率與沖銷干預━台灣的實證研究』，經濟論文叢刊，第24 卷第3 期， 383-411張文雅、賴景昌， 1985，『固定匯率、資本管制措施與總體經濟政策』，輔仁學誌， 17 號， 57-65曹添旺、朱美麗、李慧紅， 1993，『外匯平預、沖銷措施、匯率與非貿易財價格之動態、調整』，經濟論文叢刊，第21 卷第4 期， 381-410梁發進， 1981，『我國貨幣政策反應函數之推估』，經濟研究，第31 卷， 47-72梁發進， 1983，『台灣之貨幣供給、物價及國際收支』，林葭蕃教授八秩晉一榮慶貨幣金融論文集黃仁德， 1990 ，『台灣地區國際收支失衡之貨幣面實證分析』，台灣銀行季刊，第41 卷第2 期， 105-125彭德明， 1987，『資本移動、沖銷操作與貨幣供需』，中央銀行季刊，第9 卷第3 期， 21-47滑明曙， 1983 ，『世界物價齊━論與國際問通貨膨脹的傳遞:對台灣的實證研究』，中華經濟研究院歐淑敏， 1992，『資本管制與匯率動態調整━浮動匯率與雙元陸率的比較』，台灣大學經濟研究所碩士論文賴景昌，『國際經融理論:基礎篇』，茂昌圖書有限公司出版，民國八十二年賴景昌、張文雅， 1983，『管理浮動匯率部份沖銷措施與總體經濟政策』，台北市銀月刊，第十四卷第五期， 31-39鍾俊文， 1990，『資產選擇與貨幣政策━台灣的實證研究(1985-1989) 』，台灣大學經濟研究所博士論文肅文宗， 1984，『管理浮動匯率之總體經濟安定性與資本的移動性』，台北市銀月刊，第十五卷第一期，頁27-41Arellano, J. P., 1982, "Macroeconomic Stability and the Optimal Degree of CapitalMobility," Journal of Development Economics 10,377-393Bhandari, J. S., 1982, "A Stochastic General Equilibrium Model of the Open Economy. Under Controlled Floating," in J. Bhandari ed., Exchange Rate Determination andAdjustment, 241-276Cavallo, D., 1977, "Stagflationary Effects of Monetarist Stabilization Policies inEconomies with Persistent Inflation, Ph.D. thesis(Dept. of Economics, HarvardUniversity, Cambridge, MA), 1974, "Capital Mobility and the Stability of the Flexible Exchange Rate System,"Quarterly Journal oj Economics 88, 488-495Chen, Chau-nan, 1975, "Fixed versus Flexible Exchange Rates," Journal of MonetaryEconomics 1, 265-271Chu, Y. P., C. C. Lai, W. T. Hsiao & W. Y. Chang, 1986, "Exchange Rates Intervention and Capital Mobility Control: Comparisons and Simultaneous Optimization," Journal of Development Economics 23, 119-134Dickey, D. A. & W. A. Fuller, 1979, "Distribution of the Estimatiors for Autoregressive Times Series with a Unit Root," Journal oj the American Statistical Association 74,427-431___ & , 1981, "Likelihood Ratio Statistics for Autoregressive Times Serieswith a Unit Root," Econometrica 49, 1057-1072Dornbusch, R., 1980, Open Economy Macroeconomics, New York: Basic Books Inc.,Chapter 7 and 12Engel, R. F. & C W 1. Granger, 1987, "Cointegration and Error Correction:Representation, Estimation and Testing," Econometrica 55, 251-276Fleming, 1. M., 1962, "Domestic Financial Policies under Fixed and Floating Exchange Rates," IMF Staff Papers 9, 369-379Fuller, W. A., 1976, Introduction to Statistical Time Series, New York: John Wiley and SonsGranger, C W. 1., 1981, "Some Properties of Time Series Data and Their Use InEconometric Model Specification," Journal of Econometrics 16, 121-130___ & P. Newbold, 1974, "Spurious Regressions 111 Econometrics," Journal ofEconometrics, 111-120Gultekin, M. N., N. B. Gultekin & A. Penati, 1989, "Capital Controls and InternationalCapital Market Segmentation: The Evidence from the Japanese and American StockMarkets," The Journal of Finance 44:4, 849-869Johansen, S., 1988, "Statistical Analysis of Cointegration Vectors," Journal of EconomicDynamic and Contra/12, 231-254__ -" 1991, "Estimation and Hypothesis Testing of Cointegration Vectors in GaussianVector Regression Models," Econometrics 59, 1551-1580________& K. Juselius, 1990, "Maximum Likelihood Estimation and Inference onCointegration with Applications to the Demand for Money," Oxjord Bulltin ofEconomics and Statistics 52. 169-220Johnson, H. G., 1958, "Towards a General Theory of the Balance of Payments," in hisInternational Trade and Economic Growth. London: George Allen & UnwinLai, C.C., 1981, "Sterilization Operations and Macroeconomic Policies under Alternative Exchange Rate Systems: A Case of Positived IS Curve," Indian Journal of Economics 62,197-206___ , 1983, "A Note of Fixed Exchange Rates, Partial Sterilization Operations, andMacroeconomic Policies," Indian Journal of Economics 63,387-390___ & Chang, W. Y., 1987, "Flexible Exchange Rates, Capital Mobility Control andMacroeconomic Policies," Journal fj Economic Development 12, 183-188Miller, S. M., 1991, "Monetary Dynamics: An Application of Cointegration and ErrorCorrection Modeling," Journal of Money, Credit and Banking 23, 139-154Min & McDonald, 1993, "The Portfolio-Balance Model of Exchange Rates: Short-runBehavior and Forecasting (The Korean Won/Us. Dollar case)," International Economic Journal 7:4, 75-87Mundell, R. A., 1963, "Capital Mobility and Stabilization Policy under Fixed and FlexibleExchange Rats System," Canadian Journal of Economics and Political Science 29, 475-485Nelson, ( R. & (L P. Plossser, 1982, "Trends and Random Walks in MacroeconomicTime Series, Some Evidence and Implications," Journal of Monetany Economics 10,139-162O`connell, J., 1983, "Complete Sterilization and Perfect Capital Mobility," EconomicsLetters 12, 69-72___ , 1986, "Sterilization and Stability," Economics Letters 21, 53-56Phillips, P. B. ( & P. Perron, 1988, "Testing for a Unit Root in Time Series Regression,"Biometrika 75:2,335-346Phylaktis, K. & G. E. wood, 1984, "An Analysis and Taxonomic Framework for theStudy of Exchange Controls," in Black and Dorrance eds., Problems of InternationalFinance, 149-166, .Macmillian, LondonPoole, W., 1970, "Optimal Choice of Monetary Policy Instrument in a Simple StochasticMacro Model," Quarterly Journal of Economics 83, 197-216Roper, D. E. and S. J. Turnovsky, 1980, "Optimal Exchange Market Intervention in aSimple Stochastic Macro model," Canadian Journal of Economics 13, 296-309Said, S. E. & D. A. Dickey, 1984, "Testing for Unit Roots in Autoregressive-movingAverage Models of Unknown Order," Riometrica 71,599-607Silberberg, Eugene, 1990, The Structure of Economics: a Mathematical Analysis, secondedition, McGraw-Hill Publishing CompanySwoboda, A. K., 1972, "Equilibrium, Quasi-Equilibrium, and Macroeconomic Policyunder Fixed Exchange Rates," Quarterly Journal of Economics 86, 162-171Tumovsky, S. 1., 1977, Macroeconomics Analysis and Stabilization Policies (Cambridge:Cambridge University Press), Chapter 9_ _ _ , S. J., 1983, "Exchange Market Intervention Policies in a Small Open Economy,"in J. Bhandari, ed ., Exchange Rate Determination and Adjustment, 286-311 描述 碩士
國立政治大學
經濟學系資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCU5852012 資料類型 thesis dc.contributor.advisor 朱美麗 zh_TW dc.contributor.author (Authors) 林逸萍 zh_TW dc.creator (作者) 林逸萍 zh_TW dc.date (日期) 1997 en_US dc.date.accessioned 2016-05-11 - dc.date.available 2016-05-11 - dc.date.issued (上傳時間) 2016-05-11 - dc.identifier (Other Identifiers) G91NCCU5852012 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96438 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description.abstract (摘要) 以往與資本管制有關的文獻很少討論沖銷干預影響，而與沖銷干預有關的研究，也很少納資本管制的考量，即使同時考慮資本管制與沖銷干預，必忽略了資本管制和沖銷措施關係的探討。另外，早期的實證方法皆採用傳統以恆定變數基礎的計量方法，而沒有考慮到總體經濟數列普遍具有非恆定的性質，即使考慮到非恆定的性質，亦未對台灣地區資本管制放寬對沖銷係數的影響從事實證解析。有鑑於此，本文擬以蕭文宗(1984)的模型為基礎，設立一個管理浮動滙率、部份沖銷的開族總體經濟隨機模型，據以探討政府放寬資本管制對沖銷措施的影響，並運用依非恆定數列發展出的統計分析方法，對台灣地區1985:1至1989:3和1989:4至1996:11這兩段期間，從事央行沖銷行為方程式的估計，以驗證理論模型所隱含的論點。本文主要結論如下： zh_TW dc.description.tableofcontents 第一章緒論 1第一節研究動機的目的----------1第二節文獻回顧----------5第三節本文架構----------11第二章理論模型 12第一節基本模型----------12第二節模型求解----------18一、實質面衝擊產生----------25二、貨幣面衝擊產生----------31三、實質面衝擊與貨幣面衝擊同時產生----------40第三章計量方法 43第一節Dickey & Fuller檢定----------44第二節Augmented Dickey & Fuller檢定----------45第四章實證結果 46第一節前言----------46第二節單根檢定----------48第三節沖銷行為方程式的估計----------51第五章結論 54附錄一通貨膨脹率走勢圖 8附錄二動態安定條件 59附錄三匯率變動率走勢圖 63附錄四相關變數走勢圖 64附錄五考慮時間落後的沖銷行方程式之估計 67附錄六匯率干預方程式 68附表一民間匯出、匯入款自由化沿革 71附表二中華民國外匯管理現況 72參考文獻 73 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCU5852012 en_US dc.title (題名) 資本管制與沖銷干預 : 台灣的實證研究 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 朱美麗、曹添旺、簡美瑟， 1994 ，『沖銷干預與匯率動態━台灣的實證研究』，行政院國家科學委員會專題研究計畫， NSC83-030 I-H004-038朱美麗、曹添旺、簡美瑟， 1996，『匯率與沖銷干預━台灣的實證研究』，經濟論文叢刊，第24 卷第3 期， 383-411張文雅、賴景昌， 1985，『固定匯率、資本管制措施與總體經濟政策』，輔仁學誌， 17 號， 57-65曹添旺、朱美麗、李慧紅， 1993，『外匯平預、沖銷措施、匯率與非貿易財價格之動態、調整』，經濟論文叢刊，第21 卷第4 期， 381-410梁發進， 1981，『我國貨幣政策反應函數之推估』，經濟研究，第31 卷， 47-72梁發進， 1983，『台灣之貨幣供給、物價及國際收支』，林葭蕃教授八秩晉一榮慶貨幣金融論文集黃仁德， 1990 ，『台灣地區國際收支失衡之貨幣面實證分析』，台灣銀行季刊，第41 卷第2 期， 105-125彭德明， 1987，『資本移動、沖銷操作與貨幣供需』，中央銀行季刊，第9 卷第3 期， 21-47滑明曙， 1983 ，『世界物價齊━論與國際問通貨膨脹的傳遞:對台灣的實證研究』，中華經濟研究院歐淑敏， 1992，『資本管制與匯率動態調整━浮動匯率與雙元陸率的比較』，台灣大學經濟研究所碩士論文賴景昌，『國際經融理論:基礎篇』，茂昌圖書有限公司出版，民國八十二年賴景昌、張文雅， 1983，『管理浮動匯率部份沖銷措施與總體經濟政策』，台北市銀月刊，第十四卷第五期， 31-39鍾俊文， 1990，『資產選擇與貨幣政策━台灣的實證研究(1985-1989) 』，台灣大學經濟研究所博士論文肅文宗， 1984，『管理浮動匯率之總體經濟安定性與資本的移動性』，台北市銀月刊，第十五卷第一期，頁27-41Arellano, J. P., 1982, "Macroeconomic Stability and the Optimal Degree of CapitalMobility," Journal of Development Economics 10,377-393Bhandari, J. S., 1982, "A Stochastic General Equilibrium Model of the Open Economy. Under Controlled Floating," in J. Bhandari ed., Exchange Rate Determination andAdjustment, 241-276Cavallo, D., 1977, "Stagflationary Effects of Monetarist Stabilization Policies inEconomies with Persistent Inflation, Ph.D. thesis(Dept. of Economics, HarvardUniversity, Cambridge, MA), 1974, "Capital Mobility and the Stability of the Flexible Exchange Rate System,"Quarterly Journal oj Economics 88, 488-495Chen, Chau-nan, 1975, "Fixed versus Flexible Exchange Rates," Journal of MonetaryEconomics 1, 265-271Chu, Y. P., C. C. Lai, W. T. Hsiao & W. Y. Chang, 1986, "Exchange Rates Intervention and Capital Mobility Control: Comparisons and Simultaneous Optimization," Journal of Development Economics 23, 119-134Dickey, D. A. & W. A. Fuller, 1979, "Distribution of the Estimatiors for Autoregressive Times Series with a Unit Root," Journal oj the American Statistical Association 74,427-431___ & , 1981, "Likelihood Ratio Statistics for Autoregressive Times Serieswith a Unit Root," Econometrica 49, 1057-1072Dornbusch, R., 1980, Open Economy Macroeconomics, New York: Basic Books Inc.,Chapter 7 and 12Engel, R. F. & C W 1. Granger, 1987, "Cointegration and Error Correction:Representation, Estimation and Testing," Econometrica 55, 251-276Fleming, 1. M., 1962, "Domestic Financial Policies under Fixed and Floating Exchange Rates," IMF Staff Papers 9, 369-379Fuller, W. A., 1976, Introduction to Statistical Time Series, New York: John Wiley and SonsGranger, C W. 1., 1981, "Some Properties of Time Series Data and Their Use InEconometric Model Specification," Journal of Econometrics 16, 121-130___ & P. Newbold, 1974, "Spurious Regressions 111 Econometrics," Journal ofEconometrics, 111-120Gultekin, M. N., N. B. Gultekin & A. Penati, 1989, "Capital Controls and InternationalCapital Market Segmentation: The Evidence from the Japanese and American StockMarkets," The Journal of Finance 44:4, 849-869Johansen, S., 1988, "Statistical Analysis of Cointegration Vectors," Journal of EconomicDynamic and Contra/12, 231-254__ -" 1991, "Estimation and Hypothesis Testing of Cointegration Vectors in GaussianVector Regression Models," Econometrics 59, 1551-1580________& K. Juselius, 1990, "Maximum Likelihood Estimation and Inference onCointegration with Applications to the Demand for Money," Oxjord Bulltin ofEconomics and Statistics 52. 169-220Johnson, H. G., 1958, "Towards a General Theory of the Balance of Payments," in hisInternational Trade and Economic Growth. London: George Allen & UnwinLai, C.C., 1981, "Sterilization Operations and Macroeconomic Policies under Alternative Exchange Rate Systems: A Case of Positived IS Curve," Indian Journal of Economics 62,197-206___ , 1983, "A Note of Fixed Exchange Rates, Partial Sterilization Operations, andMacroeconomic Policies," Indian Journal of Economics 63,387-390___ & Chang, W. Y., 1987, "Flexible Exchange Rates, Capital Mobility Control andMacroeconomic Policies," Journal fj Economic Development 12, 183-188Miller, S. M., 1991, "Monetary Dynamics: An Application of Cointegration and ErrorCorrection Modeling," Journal of Money, Credit and Banking 23, 139-154Min & McDonald, 1993, "The Portfolio-Balance Model of Exchange Rates: Short-runBehavior and Forecasting (The Korean Won/Us. Dollar case)," International Economic Journal 7:4, 75-87Mundell, R. A., 1963, "Capital Mobility and Stabilization Policy under Fixed and FlexibleExchange Rats System," Canadian Journal of Economics and Political Science 29, 475-485Nelson, ( R. & (L P. Plossser, 1982, "Trends and Random Walks in MacroeconomicTime Series, Some Evidence and Implications," Journal of Monetany Economics 10,139-162O`connell, J., 1983, "Complete Sterilization and Perfect Capital Mobility," EconomicsLetters 12, 69-72___ , 1986, "Sterilization and Stability," Economics Letters 21, 53-56Phillips, P. B. ( & P. Perron, 1988, "Testing for a Unit Root in Time Series Regression,"Biometrika 75:2,335-346Phylaktis, K. & G. E. wood, 1984, "An Analysis and Taxonomic Framework for theStudy of Exchange Controls," in Black and Dorrance eds., Problems of InternationalFinance, 149-166, .Macmillian, LondonPoole, W., 1970, "Optimal Choice of Monetary Policy Instrument in a Simple StochasticMacro Model," Quarterly Journal of Economics 83, 197-216Roper, D. E. and S. J. Turnovsky, 1980, "Optimal Exchange Market Intervention in aSimple Stochastic Macro model," Canadian Journal of Economics 13, 296-309Said, S. E. & D. A. Dickey, 1984, "Testing for Unit Roots in Autoregressive-movingAverage Models of Unknown Order," Riometrica 71,599-607Silberberg, Eugene, 1990, The Structure of Economics: a Mathematical Analysis, secondedition, McGraw-Hill Publishing CompanySwoboda, A. K., 1972, "Equilibrium, Quasi-Equilibrium, and Macroeconomic Policyunder Fixed Exchange Rates," Quarterly Journal of Economics 86, 162-171Tumovsky, S. 1., 1977, Macroeconomics Analysis and Stabilization Policies (Cambridge:Cambridge University Press), Chapter 9_ _ _ , S. J., 1983, "Exchange Market Intervention Policies in a Small Open Economy,"in J. Bhandari, ed ., Exchange Rate Determination and Adjustment, 286-311 zh_TW
