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Title: 貨幣需求結構改變與金融變數轉折區間:變數模糊時間序列模型
Testing for the Financial variable's Interval of Structure Change of Money Demand : Fuzzy Time Series in Variable
Authors: 李建興
Lee, Jen-Sin
Contributors: 沈中華

Shen, Chung-Hua
Lee, Jih-Chu

Lee, Jen-Sin
Keywords: 結構改變
Structural Change
Threshold Autoregressive Point
Fuzzy Time Series
Fuzzy Time Series in Variable
Smooth Transition Autoregressive
Date: 2001
Issue Date: 2016-04-01 17:09:58 (UTC+8)
Abstract: 本文研究台灣貨幣需求結構改變,我們研究「變數」值(Piecewise in Variable)的結構轉折而非「時間」值(Piecewise in Time),因為轉折點只是轉折區間的特例,所以本文建立一「變數模糊時間序列」(Fuzzy Time Series in Variable)模型來探討「變數的轉折區間」,相較於傳統時間序列研究方法如:時間序列模型、門檻轉折點模型與模糊時間序列模型等,本文所建立的變數模糊時間序列模型,所求取的股價轉折區間,不僅可改善對稱模型殘差項的非隨機現象,同時也改善了門檻轉折模型之轉折點股價指數太低的現象,並且有效地將轉折點變更為較一般化的轉折區間,足見本文所提出變數模糊時間序列模型在結構轉折的偵測上具有相對優勢,詳述如下:
Whether the ”money demand function” makes “structural change” happened or not ,that is crucial research for the monetary theory field. Therefore, many foreign and domestic papers have ever made studies on this. There have two major methods of study structural change. The first method is piecewise in time that is so popular and so many lecture study by it e.g. Juda and Scadding(1982), Shen(1999) ,Lin and Huang(1999),etc . Tsay(1989) had proposed a new methoed that is piecewise in variable . Distinct situation is suitable in using the two methods .We have two reasons to use the new method to study the structural change of Taiwan’s money demand function. First one is that Friedman(1988,Paul(1992),Wu and Shea(1993)and Shen(1996) find the trade-volume of stock market or stock price are the important factors of money demand function. TSE is 12495 in February of 1990 and 2573 in October of 1990. TSE is changing so huge but all the Papers of piecewise in time can’t detect the structural change of Taiwan money demand. The second reason is that to detect the ” interval of financial variable” of structural change of Taiwan money demand is more benefit to the Central Bank than to detect the ” past time point” of structural change. To detect the ” interval of financial variable” of structural change of Taiwan money demand is much convenient matters for monetary policy of Center Bank from now and future.
Description: 博士
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Data Type: thesis
Appears in Collections:[國家發展研究所] 學位論文

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