Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/110702


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
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Chinese References
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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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