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https://ah.lib.nccu.edu.tw/handle/140.119/36168| 題名: | 台灣泰勒法則實證分析 | 作者: | 簡立欣 Chien,Li-Hsin |
貢獻者: | 鍾經樊 簡立欣 Chien,Li-Hsin |
關鍵詞: | 泰勒法則 Taylor rule QVAR |
日期: | 2004 | 上傳時間: | 18-Sep-2009 | 摘要: | 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，\r\n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。\r\n\r\n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，\r\n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。 | 參考文獻: | 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。 吳中書與林金龍 (2002), ┌台灣潛在國內生產毛額的推估及其在政策上的應用┘, 行政院經濟建設委員會研究報告。 劉淑敏 (1999), ┌泰勒法則在台灣的實證研究┘, <<中央銀行季刊>>, 22, 77-98。 Andersen, Leonall C., and Jordan,Jerry L. 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描述: | 碩士 國立政治大學 經濟研究所 91258021 93 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0912580211 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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