The Position and Velocity Estimation Errors of Money Supply in Wiener Filtering State Space with Uncertain Parameters

Abstract

本文利用Kalman-Schmidt (1963, 1966)之Wiener濾淨狀態空間不確定參數方法，來模擬估 計貨幣供給過程中之位置與變動速度之動態誤差。由此研究，可更清楚了解到含有衡量誤 差之貨幣供給之動態估計變化性質，亦可獲得一些有關CGRR政策之有趣重要命題。We use Kalman-Schmidt`s (1963, 1966) idea to measure the position and velocity estimation errors of money supply when measurement-errors uncertainty exists in the money supply process. Several interesting pro-positions about the constant growth rate rule (CGRR) of money supply policy are proposed in this paper.