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題名 臺灣地區貨幣需求函數之估計與分析--漸近理想化模型之應用
A Macroeconomitrics approach to Estimating Money Demand in Taiwan-An Application of Asymtotically Ideal Model
作者 蔡明秀
Chai, Ming Hsiou
貢獻者 高明瑞
Gao, Ming Ruay
蔡明秀
Chai, Ming Hsiou
關鍵詞 漸近理想化模型
伸縮性函數形式
Asymptotically Ideal Model
Linear Translog
Homothetic Translog
Regularity Conditions
日期 1993
上傳時間 29-Apr-2016 16:30:29 (UTC+8)
摘要 貨幣需求在總體經濟學中一直扮演著重要的角色。同時，貨幣與貨幣性資
參考文獻 [1] 陳博志(1 975) , 「活期存款及單貨幣的貨幣性」，台灣經濟金融月
     刊。
     [2] 簡清芬(1975) , 「 貨幣的實證定護法與台灣之實證分析」,台大經
     研所碩士論文。
     [3] 朱蕙英(1978) , 「 貨幣組合、存款利率與物價.」台大經研所碩士
     論文。
     [ 4] 蔡玫玲(1984) • 「 貨幣性資產的替代性與貨幣定義」，台大經研所
     碩士論文。
     [5] 林耿瑤(1988) , 「加權貨幣總計數一臺灣地區之實證研究」，逢甲
     經研所碩士論文。
     [6] 李榮謙(1989) , 「 貨幣總計數之衡量」，央行季刊，十一卷三期。
     [7] 李榮謙(1992) ， 「 貨幣銀行學」。
     [8] 廖俊男(1992) • 「 貨幣資產替代性之實證分析.」央行季刊，十四
     卷二期。
     [9]廖俊男(1 992) , 「 貨幣與經濟活動之實證分析.」央行季刊，十四
     卷四期。
     [10] 施燕(1992) , 「 台灣地區貨幣政策中間目標之研究.」央行季刊，
     十四卷三期。
     [1]簡濟民(1992) • 「 台灣地區貨幣需求函數之實證研究一誤差修正模
     型之應用.」央行李刊，十四卷三期。
     [12] 邱正雄、侯德潛(1992) • 「 金融自由化下之物價、貨幣與貨幣政策
     之施行一台灣經驗.」央行李刊，十四卷四期。
     
     
     
     [13]Afriat,S.N.(1972)"The case of the Vanishing Slutsky Matrix." Journal
     of Economic Theory ,208-223.
     [14]Atrostic, B.K.(1982)”The Demand for Leisure and Nonpecuniary Job Characteristics.” American Economic Review, 72, 428-440.
     [15]Barten, A.P.(1969)” Maximum Likelihood Estimation of a Complete System of Demand Equations.” European Economic Review, 1, 7-73.
     [16]Berndt, E.R., and Savin, N.E.(1975)”Estimation and Hypothesis Testing in Singular Equation Systems With Autoregressive Disturbances.” Econometrica, 43, 937-957.
     [17]Berndt and M.E. Manser(1977)”Estimating U.S. Consumer Prefeerences for Meat with a Flexible Utility Function.” Journal of Econometrics, 37-54.
     [18]Barnett, William A.(1978)” The User Cost of Money.” Economics letters,1,145-149.
     [19]Barnett, William A.(1980)” Economic Monetary Aggregates: An Application of Index Number and Aggregation Theory.” Journal of Econometrics, 14(1), 11-48.
     [20]Barnett, William A.(1981)Consumer Demand and Labor supply. North-Holland,Amsterdam.
     [21]Barnett, William A., Offenbacher, Edward, and Spindt, Paul(1981)” New Concepts of Aggregated Money.” The Journal of Finance, 36, No.2, 477-505.
     [22]Barnett, William A.(1982)”The optimal Level of Monetary Aggregation.” Journal Money Credit Banking, 14(4), 687-710.
     [23]Barnett, William A., and Andrew B. Jonas(1983)”The Müntz-Szatz Demand System: An Application of a Globally Well Behaved Series Expansion.”Economics Letters,11(4),337-42.
     [24] Barnett, William A.(1983)"New Indices of Money Supply and Flexible
     Laurent Demand System." Journal of Business and Economics
     Statistics, 7-23.
     [25] Barnett, William A.(1985) "The Minfiex Laurent Translog Flexible
     Functional Form." Journal of Econometrics,30(r2},33-44.
     [26] Barnett, W.A. and P. Vue (1988) "The Asymptotically Ideal
     Model (AIM). "Working paper.
     [27] Barnett, William A. and Piyu Yue(1988)"Seminonparametric Estimation
     of the Asymptotically Ideal Model: the AIM Demand System."
     in George Rhodes and Tomas Fomby, eds., Nonparametric and
     Robust Inference. Advances in Econometric, 7 ,229-51.
     [28) Barnett, William A., John Geweke, and Piyu Yue(1991)
     "Seminon-parametric Bayesian Estimation of the Asymptotically Ideal
     Model: the AIM Consumer Demand System," in William Barnett,
     James Powell, and George Tauchen, eds., Non-parametric and Serninonparametric
     Methods in Econometrics and Statistics, Proceedings of
     the Fifth International Symposium in Economic Theory and Econometrics
     (Cambridge University Press).
     [29] Belongia, Michael T. and Chalfant, James A.(1989) "The changing
     Empirical Definition of Money: Some Estimates from a Model of
     the Demand for Money Substitutes." Journal of Political Economy ,97.
     No.2, 387-397.
     [30] Chetty, V.K.(1969) "On Measuring the Nearness of Near-Moneys."
     American Economic Review, 59, 226-229.
     [31] Chou, Nan-Ting(1991) "An Alternative Monetary Policy Target:the
     New Benchmark Divisia Monetary Index." Applied Economics, 1699-
     1075.
     [32]Christ, C.F.(1963)”Interest Rate and Portfolio Selection Among Liquid Assets in the U.S..” In Measurement in Economics: Studies in Mathematical economics and Econometrics in Memory of Yehuda Grunfeld.
     [33]Diewert, W. E.(1974)” Applications of Duality Theory.” In Michael D. Intiligator and David A. Kendrick, eds., Frontiers of Quantitative Economics, Vol.II, 106-71.
     [34]Diewert, W.E.,and T.J. Wales(1987)”Flexible Functional Forms and Global Curvature Conditions.” Econometrica, 43-68.
     [35]Donovan, D.J.(1978)”Modeling the Demand for Liquid Assets: An Application To Canada.” International Monetary Fund Staff Paper, 25,676-704.
     [36]Dufour, Jean-Marie(1989)” Nonlinear Hypotheses Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Test in Linear Regressions.” Econometrica, 335-56.
     [37]Ewis, N.A.,and Fisher, D.(1984)”The Translog Utility Function and the Demand for Money in the United States.” Journal of Money, Credit and Banking, 16,34-52.
     [38]Ewis,N.A.(1985) “Towards a Consistent Estimate of the Substitutablity Between Money and Near Money: An Application of the Fourier Flexible Founctional Form.” Journal of Macroeconomics, 7, 151-174.
     [39]Farr, Helen T. and Johnson, Deborah(1985)”Revisions in the Monetary Services(Divisia) Indexes of the Monetary Aggregates.” Staff Studies, Federal Reserve Board.
     [40]Fayyad, Salam K.(1986)” A Microeconomic System-Wide Approach to the Estimation of the Demand for Money.” F.R.B of st. Louis Review ,22-33
     [41]Feenstra, Robert co.(1986)”Functional Equivalence Between Liquidity Costs and the Utility of Money.” Journal of Monetary Economics ,271-91.
     [42]Fisher , Douglas(1989) Money Demand and Monetary Policy ( The University of Michigan Press).
     [43]Friedman,M and Meiselman, D. (1963)’The Relative Stability of Monetary Velocity and the Investment Multiplier in the United States.” In Conference on Money and Credit, Stabilization Policies, Englerwood cliffs, 1897-1938.
     [44]Friedman, Milton, and Anna J. Schwartz(1991)” Alternative Approaches to Analyzing Economic Data.” The American Economic Review, 39-49.
     [45]Gallant, A. Ronald(1981)”On the Bias in flexible Functional Forms and an Essentially Unbiased Form:The Fourier Flexible Form.” Journal of Econometrics, 211-45.
     [46]Gallant, A. Ronald(1984)” The Fourier Flexible Form.” American Journal of Agricultural Economics, 204-08.
     [47]Gauger J.A., and Schroeter J.R.(1980)” Measuring the Nearness of Modern Near-Monies: Evidence From the 1980s.” Journal of Macroeconomics, 12, 247-261.
     [48]Gorman, W.M.(1959)”Separable Utility and Aggregation. “ Econometrica, 27, 469-481.
     [49]Hanoch, G. (1972)”Generation of New Production Functions through Duality.”Harvard Institute of Economic Research.
     [50]Hendry, David F., and Neil R. Ericsson(1991)” An Econometric Analysis of U.K. Money Demand in Monetary Trends in the United States and the United Kingdom by Milton Freidman and Anna J. Schwartz.” American Economic Review, 8-38.
     (51] Jehle,Geoffrey A.(1991)Advanced Microecomic Theory. PrenticeHall,
     Inc.
     (52] Lau, Lawrence J .(1969) "Duality and The Structure of Utility Functions."
     Journal of Economics Theory, 1 (4), 374-396.
     (53] Laumas, G.S.(1968) l>The Degree of Moneyness of Savings Deposits.
     "American Economic Review, 501-503.
     (54] Lee, T.H.(1966) "Substitutability of Non-Bank Intermediary Liabilities
     for Money: The Empirical Evidence." Joural of Finance,21,441-
     457.
     (55] Mankiw, N. Gregory(1990) "A Quick Refresher Course in Macroeconomics."
     Journal of Economic Literature ,1645-60.
     (56] Pollak, R.A., and Wales, T.J .(1980) "Comparison of the Quadratic
     Expenditure System and Translog Demand System with Alternative
     Specifications of Demographic Effects." Econometrica, 48,595-615.
     (57] Rudin, W.(1966) Real and Complex Analysis. l11cGraw-Hill, New
     York.
     (58] Serletis, A., and Robb, A.L.(1986) "Divisia Aggregation and Substitutability
     Among Monetary Among Monetary Assets. " JO~lrnal of
     IV!oney, Crcdit, and Banking,18, 430-446.
     (59] Serletis, Apostolos(1988) "Translog Flexible Functional Forms and
     Substitutability of Monetary Assets." Journal of Business and Economic
     Statistics 1 59-67.
     [60J Strotz, R.H.(1957) "The Empirical Implications of a Utility Tree."
     Econometrica, 78, 482-488.
     [61J Strotz, R.H.(1959) "The Utility Tree - A Correction and Further
     Appraisal." Econometrica, 78, 482-488.
     [62] Telser, Lester G., and Robert L. Graves(1972) Founctional Analysis
     in 1`vlathematical Economics. The university of Chicago Press.
     [63J Timberlake, R.B. Jr and Fortson, J .(1967) "Time Deposits m
     the Definition of Money." American Economic Review, 190-193.
     [64J Uzawa, Hirofumi(1962) "Production Functions with Constant Elasticities
     of Substitution." Review of Economic Studies ,291-99.
     [65J Yue, Piyu(1991) "A Microeconomic Approach to Estimating Money
     Demand: The Asymptotically Ideal Model. " Fed. Res. Bank St.Louis
     Rev., 36-51.
描述 碩士
國立政治大學
經濟學系
G80258016
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004224
資料類型 thesis
dc.contributor.advisor 高明瑞zh_TW
dc.contributor.advisor Gao, Ming Ruayen_US
dc.contributor.author (Authors) 蔡明秀zh_TW
dc.contributor.author (Authors) Chai, Ming Hsiouen_US
dc.creator (作者) 蔡明秀zh_TW
dc.creator (作者) Chai, Ming Hsiouen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:30:29 (UTC+8)-
dc.date.available 29-Apr-2016 16:30:29 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:30:29 (UTC+8)-
dc.identifier (Other Identifiers) B2002004224en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88690-
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 (描述) G80258016zh_TW
dc.description.abstract (摘要) 貨幣需求在總體經濟學中一直扮演著重要的角色。同時，貨幣與貨幣性資zh_TW
dc.description.tableofcontents 第一章　緒論　　　　　　　　　　　　　　　　　　　　　　　　　　 　１
     　第一節　研究動機與目地‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１
     　第二節　研究範圍‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧２
     　第三節　論文架構‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３
     
     第二章　貨幣需求系統之介紹　　　　　　　　　　　　　　　　　　　　 ５
     　第一節　貨幣定義之研究方法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧５
      　壹、功能性分析法（Functional Approach）‧‧‧‧‧‧‧‧‧‧‧‧‧６
      　貳、實證分析法（Empirical Approach）‧‧‧‧‧‧‧‧‧‧‧‧‧‧ ７
     　第二節　貨幣需求系統之個體基礎‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１０
      　壹、需求函數法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１０
      　貳、效用函數法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１２
     　第三節　貨幣需求系統之估計‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１３
      　壹、伸縮性函數形式之設定‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１３
      　貳、半無母數法之設定‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１５
      　參、ＡＩＭ之設定‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１６
     
     第三章　貨幣需求系統之實證分析　　　　　　　　　　　　　　　　　 １９
     　第一節　模型設定之理論基礎‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧１９
     　第二節　設定模型‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧２２
      　壹、一階ＡＩＭ貨幣需求模型‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧２３
      　貳、伸縮性函數形式貨幣需求模型‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧２７
     　第三節　隨機設定與估計方法‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３０
     　第四節　所得彈性與價格彈性之估計‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３１
      　壹、一階ＡＩＭ彈性之估計‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３１
      　貳、伸縮性彈性形式彈性之估計‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３３
     
     第四章　貨幣需求系統之實證結果　　　　　　　　　　　　　　　　　 ３５
     　第一節　資料說明與來源‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３５
      　壹、資料說明‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３５
      　貳、資料來源‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧３９
     　第二節　實證結果‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４０
      　壹、份額方程式參數估計值‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４０
      　貳、ＬＴＬ、ＨＴＬ與一階ＡＩＭ需求系統之彈性值‧‧‧‧‧‧‧４１
     　第三節　效用最大化條件之比較‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４６
     　第四節　貨幣需求系統之動態分析‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧‧４７
      　壹、一階ＡＩＭ貨幣性資產之動態分析‧‧‧‧‧‧‧‧‧‧‧‧‧４７
      　貳、一階ＡＩＭ貨幣性資產成長率之模擬‧‧‧‧‧‧‧‧‧‧‧‧５０
     
     第五章　結論　　　　　　　　　　　　　　　　　　　　　　　　　　 ５３
     
     附錄（一）　我國傳統貨幣總計數之組成項目　　　　　　　　　　　　　５５
     附錄（二）　世界主要國家貨幣總計數之組成項目　　　　　　　　　　　５６
     附錄（三）　貨幣性資產使用成本之導出　　　　　　　　　　　　　　　５８
     
     參考文獻　　　　　　　　　　　　　　　　　　　　　　　　　　　　 ６０		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004224en_US
dc.subject (關鍵詞) 漸近理想化模型zh_TW
dc.subject (關鍵詞) 伸縮性函數形式zh_TW
dc.subject (關鍵詞) Asymptotically Ideal Modelen_US
dc.subject (關鍵詞) Linear Translogen_US
dc.subject (關鍵詞) Homothetic Translogen_US
dc.subject (關鍵詞) Regularity Conditionsen_US
dc.title (題名) 臺灣地區貨幣需求函數之估計與分析--漸近理想化模型之應用zh_TW
dc.title (題名) A Macroeconomitrics approach to Estimating Money Demand in Taiwan-An Application of Asymtotically Ideal Modelen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [1] 陳博志(1 975) , 「活期存款及單貨幣的貨幣性」，台灣經濟金融月
     刊。
     [2] 簡清芬(1975) , 「 貨幣的實證定護法與台灣之實證分析」,台大經
     研所碩士論文。
     [3] 朱蕙英(1978) , 「 貨幣組合、存款利率與物價.」台大經研所碩士
     論文。
     [ 4] 蔡玫玲(1984) • 「 貨幣性資產的替代性與貨幣定義」，台大經研所
     碩士論文。
     [5] 林耿瑤(1988) , 「加權貨幣總計數一臺灣地區之實證研究」，逢甲
     經研所碩士論文。
     [6] 李榮謙(1989) , 「 貨幣總計數之衡量」，央行季刊，十一卷三期。
     [7] 李榮謙(1992) ， 「 貨幣銀行學」。
     [8] 廖俊男(1992) • 「 貨幣資產替代性之實證分析.」央行季刊，十四
     卷二期。
     [9]廖俊男(1 992) , 「 貨幣與經濟活動之實證分析.」央行季刊，十四
     卷四期。
     [10] 施燕(1992) , 「 台灣地區貨幣政策中間目標之研究.」央行季刊，
     十四卷三期。
     [1]簡濟民(1992) • 「 台灣地區貨幣需求函數之實證研究一誤差修正模
     型之應用.」央行李刊，十四卷三期。
     [12] 邱正雄、侯德潛(1992) • 「 金融自由化下之物價、貨幣與貨幣政策
     之施行一台灣經驗.」央行李刊，十四卷四期。
     
     
     
     [13]Afriat,S.N.(1972)"The case of the Vanishing Slutsky Matrix." Journal
     of Economic Theory ,208-223.
     [14]Atrostic, B.K.(1982)”The Demand for Leisure and Nonpecuniary Job Characteristics.” American Economic Review, 72, 428-440.
     [15]Barten, A.P.(1969)” Maximum Likelihood Estimation of a Complete System of Demand Equations.” European Economic Review, 1, 7-73.
     [16]Berndt, E.R., and Savin, N.E.(1975)”Estimation and Hypothesis Testing in Singular Equation Systems With Autoregressive Disturbances.” Econometrica, 43, 937-957.
     [17]Berndt and M.E. Manser(1977)”Estimating U.S. Consumer Prefeerences for Meat with a Flexible Utility Function.” Journal of Econometrics, 37-54.
     [18]Barnett, William A.(1978)” The User Cost of Money.” Economics letters,1,145-149.
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