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題名 臺灣貨幣與所得非恆定性與因果關係之研究 作者 梁思瑜 貢獻者 汪義育
梁思瑜日期 1990
1989上傳時間 3-五月-2016 14:14:45 (UTC+8) 參考文獻 參考文獻一.中文部分1.汪義育，”總體經濟時間數列分析之方法與運用”，華泰書局.民國78年2月出版..汪蓋育，”台灣貨幣與所得間因果關係之研究”，民國79年4月2.柳復起，”現代貨幣銀行學”，三民書局，民國76年2月3.陳柏青，”景氣循環的時間序列研究方法-台灣實證分析”，國立政治大學財政研究所碩士論文.民國78年6月4.蔡麗茹，”台灣總體經濟變數之因果關係檢定”，國立政治大學國際貿易研究所碩士論文. 民國77年6月二.英文部分1.Bernake.B.S . , 1986.”A1ternative Explnations of the Money-Income Correlation”. Carnegie-Rochester Conference Series on Public Policy,25,49-100.2.Beveridge,s. ,and Nelson.C.R ., 1981,`A New Approach to Decompose of EconomicTime Series into Permanent and Transitory Componentswith Particular Attention to Measurement of the `Business Cycle" . Journal of Monetary Economics,7,151-174.3.Blanchard,O.J ., 1987, `Why Does Money Affect Output?`M.I.T. Working PaperNo.453.4.Boschen,J.F . , and Mills,L.O ., 1988,?Test of the Relation Between Moneyand Output in the Real Business Cyccle Model` ,Journal of MoneytaryEconomics.22,355-374.5.Camphell,J.Y.,and Mankiw,N.G.,1987.?Are Output Fluctuations Transitory?` . The Quarterly Journal of Economics ,Farthing.6.Camphell,J.Y.,and Mankiw,N.G. ,1987, `Parmanent and Transitory Componentsin Macroeconomic Fluctuations`,7.Camphell,J.Y.,and Scheller,R.J.,1988.`Intepreting Cointegrated Models`,Journal of Economeic Dynamics and Control,12,505-522.8 . Christiano,L.J.,and Eichenbaun,M. ,1986, `Temperal Aggeration and Structuralin Macroeconomics`,NBER Working Paper e Money-Output Relation` ,Journal of Monetary Economics,22,217-235.10.Clark,P.C.,1989,`Trend Reversion in Output and Unemployent`,Journal of Econometrics,40,15-32 .11.Coharance,J.H.,1988, `How Big isthe Random Walk in GNP/`,Journal of Political Economy,Vol.96,No.5,893-920.12.Danthine,J.P.,Donaldson,J.B.,and Smith,L.,1987, `On the Supernetrality of Money in a Stochastic Dynamic Macroeconomic Model`,Journal of Monetary Economics,20,475-499.13.Dickey D.A.,and W.A.Fuller. ,1979, `Distribution of the Estimators for Autoregressive Time Siers with a Unit Root`,Journal of the American Statistical Association,74,427-431.14.Dickey D.A.,and W.A.Fuller. ,1979, `Testing for Unit Roots in Seasonal Time Series`,Journal of the American Statistical Association,Vol.79,No.386,355-367.15.Dickey,D.A. ,1981. `Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root`,Econometrica,49,1057-1072.16.Durlauf,S.,and P.C.B.Phillips.,1987, `Trends versus Random Walks in Times Series Analysis`,Econometrica,forthcoming.17.Eichenbaum.M ., and K.J.Singleton.1986.?Do Equilibrium Real Business Cycle Theories Expkain Post-war U.S Business Cycles??.N.B.E.R.Working Paper.on.Estimation and Testing?.Econometrica.SS.No.2.251-276.19 .Grandolfo.G ., 1987.?International Economics:Book II`.20.Granger.C.W.J .? 1988.?Some Evident Development in a Conoept of Causality’.Journal of Econometrics.39.199-211.21.Hall.R.E ., 1989.?A Framework for Studting Monetary Non-Neutrality` .NBER Working Paper n Macroeconomic Time Series`.Journal of Business & Economic Statistics.Vol.3.No.3.216-227.24.Harvey.A.C ., and Stock.J.H ., 1988.?Continuous Time Auto regressive Models With Common Stochastic Trends?.Journal of Economic Dynamicsand Control.12.36S-384.25 .Hsiao.C ., 1981.?Autoregressive Modelling and Money-Income Causality Detecction?.Journal of Monetary Economics.7.85-106.26.Hsiao.C ., 1982.?Autoregressive Mondeling and Causal Ordering of Economic Dynamics and Control.4.243-259.27.Johnson.S ., 1988.?Statistical Analysis of Cointegration Vectors` .Journal of Economic Dynamic and Control.12.231-254.28.Kang.H ., 198S.?The Effects of Detrending in Granger Causality Test`.Journal of Business &Economic Statistics.Vol.3.No.4.344-349.29.King.R.G ., and Plosser.C.I ., 1984.?Money.Credit.and Prices in a Real Business Cycle?.American Economic Review.74.363-380.30.Litterman.R.B ., and Weiss.L ., 198S?Money.Real Interest Rate.and Output :A Reinterpretation of Postwar U.S. Data?.Econometrica.Vol .S3.No.1,129-156.31.Ljungqvist.L ., Park.M ., Stock.J.H ., and Watson.M.W ., 1988.?The Convergenceof Multivariate `Unit Root` Distributions to their Asymptic Limit:The Case of Money-Income Causality?.Journal of Economic Dynamics and Control.12.489-502.32.Manchester.J ., 1989.?How Money Affect Real Output` . Journal of Money.Credit,and Banking,Vol.21,No.1,16-32.33.Nelson.C.R ., and Kang.H ., 1981.?Spurious Periodicity in Inappropriately Detrended Time Series` .Econometrica.Vol.49,No.3,741-751.34.Nelson.C.R ., and C.I.Plosser ., 1982.?Trends and Random Walks in MacroeconomicTime Series?.Journal of Monetary Economics,10,132-162.35.Nelson.C.R ., 1988 ., Spurious Trend and Cycle in the State Space Decompositionof a Time Series With a Unit Roots?.Journal of Economeic Dynamics and Control?,12,475-488.36.Ouliars.S ., Park.J.Y ., and Phillips.P.C.B ., 1987.?Testing for a Unit Roots in the Presence of a Maintained Trend`.37.Park.J.Y ., and P.C.B.Phillips.1988.?Statistical Inference in Regressions with Integrated Processes:Part I?.Econometric Theory,4,468-497.38.Perron.P ., 1986.?Trend and Random Walks in Macroeconomic Time Series:Futher Evidence from a New Approach ?.Department of Economics.University of Montreal,Montreal,Canada.39.Phillips. P.C.B ., 1986.?Undderstanding Spurious Regressions in Econometrics?.Journal of Econometrics,33,311-340.40.Phillips. P.C.B ., 1987.?Time Series Regression with Unit Roots` .Econome trica,55(2),277-302.41.Phillips.P.C.B ., and S.N.Durlauf.1986.`Multiple Time Series with Integrated Variables?.Review of Economic Studies,53,473-496.42.Phillips.P.C.B .? 1988.`Regression Thery for Near-Integraated Time Series, Vol.56,No.5,1021-1043.43.Phillips.P.C.B ., and S.Ouliaris.1988,`?Testing for Cointegration using Principal Components Methods`. Journal of Economeic Dynamics and Control.12.205-230.44.Phillips.P.C.B ., and Park.J.Y.,1988.?Asymptic Equaivalence of Orindary Least Square and Generalized Least Square in Regressions with Integrated Regressors` . Journal of the American Statistical Association,Vol.83,No.401,111-115.45.Phillips,P.C.B ., and P.Perron.1988.?Testing for a Unit root in Time Series Regresssion?.Biometrica,Vol.75,No.2,335-346.46.Quah.D ., and Wooldridge. J.M ., 1988.?A Common Error in the Treatment of Trending Time Series` .M.I.T.Working Paper.No.483.47.Rivera-Baitz.F.L.and Rivera-Batiz.L ., 1985.?International Finance and Open Economy Macroeconomics`.48.Said.S.E.and D.A.Dickey.1985.?Hypothesis Testing in ARRIMA(p.l.q) Models`.Journal of the American Statistical Association,Vol.80,No.390,369-374.49.Said.S.E.and D.A.Dickey.1984.?Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order?.Biometrica,71,599-607.50.Sargent.T.J ., 1987.?Macroeconomic Theory`.Second Edition.51.Schwert.G.W ., 1987?Effect of Model Specification on Test for Unit Roots in Macroeconomic Data?.Journal of Monomics Economics,20,73-103.52.Schwert,G.W.,1988, `Testing for Unit Roots:A Monte Carlo Investication`,NBER Technical Working Paper 54.Sims,C.A.,1972, `Money, Income and Causality`,American Economic Review,62,540-552.55.Sims,C .A. ,1980a, `Macroeconomics and Reality` ,Econometrica,48,l-48.56.Sims,C.A.,1980b, `Comparison of Interwar and Postwar Business Cycle:Monetarism Reconsidered`,American Economic Review,70,250-257.57.Sims,C.A.,J.H.Stock and M.W.Waston.,1986, `Inference in Linear Time Series Models With Some Unit Roots`,Manuscript(Standford University,Standford,CA).58.Sims,C .A.,1988, `Baysian Skepticism on Unit Root Econometrics ` ,Journal of Economic Dynamics anf Control,12,463-374 .59.Stock,J.H.,1987b, `Asymptic Properties of Least Squares Estimation of Cointegrating Vectors`,Econometrica,55,l035-1056.60.Stock,J.H.and M.W.Watson,1986a, `Testing for Common Trends` ,Harvard Institute for Economic Research Discussion Paper,No.1222,Forthcoming in the Journal of the American Statistical Association.61 . Stock,J.H.,1987,`Asymptic Properies of Least Squares Estimators of Cointegrating Vectors`Econometrica,Vol.55,No.5,l035-1056.62.Stock,J.H.and M.W.Watson,1988, `Variable Trends in Economic Time Series`,Journal of Economic Perspectives,Vol.2,No.3.147-174 .63.Stock.J.H.and M.W.Watson.1989.?Intepreting the Evidence on MoneyIncome Causality?.Journal of Econometrics.40.161-181 .66.Thornton.D.L .? and Batten.D.S ., 1985.?Lag-Length Selection and Tests of Granger Causality between Money and Income` ,Journal of Money ?Credit.and Banking.Vol.17.No.2.164-178.67.Tobin.J.1970.?Money and Income:Post Hoc Ergo Propter Hoc??.The Quaterly Journal of Economics.68.Urban.J.P ., 1989.?Model Selection Criteria and Granger Causality Test’. Economics Letters.29.317-320.69.West.K.D ., 1987 . ?On the Intmrpretatioon of Near Random-Walk Behavior in GNP` . Journal of the American Economic Review.Vol.78.No.l.202-209. 描述 碩士
國立政治大學
財政學系資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005320 資料類型 thesis dc.contributor.advisor 汪義育 zh_TW dc.contributor.author (作者) 梁思瑜 zh_TW dc.creator (作者) 梁思瑜 zh_TW dc.date (日期) 1990 en_US dc.date (日期) 1989 en_US dc.date.accessioned 3-五月-2016 14:14:45 (UTC+8) - dc.date.available 3-五月-2016 14:14:45 (UTC+8) - dc.date.issued (上傳時間) 3-五月-2016 14:14:45 (UTC+8) - dc.identifier (其他 識別碼) B2002005320 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90120 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財政學系 zh_TW dc.description.tableofcontents 目錄第一章緒論第一節研究動機與目的……………1第二節貨幣與所得因果關係……………3第三節研究大綱……………9第二章單變數非恆定性之介紹第一節概說……………11第二節單根檢定法……………14第三節無母數檢定法……………18第三章多變數非恆定性之介紹第一節概說…………… 31第二節共積檢定法……………32第三節共同趨勢檢定法……………36第四章非恆定因果關係第一節共積與因果關係……………47第二節非恆定因果關係檢定……………50第五章臺灣實證分析第一節總體數列非恆定性之檢定……………74第二節貨幣中性與貨幣所得因果關係……………77第三節樣本期間非恆定性之研究……………81表次……………84第六章結論與建議第一節結論……………94第二節建議……………95附錄:資料來源與說明……………97參考文獻……………98 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005320 en_US dc.title (題名) 臺灣貨幣與所得非恆定性與因果關係之研究 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 參考文獻一.中文部分1.汪義育，”總體經濟時間數列分析之方法與運用”，華泰書局.民國78年2月出版..汪蓋育，”台灣貨幣與所得間因果關係之研究”，民國79年4月2.柳復起，”現代貨幣銀行學”，三民書局，民國76年2月3.陳柏青，”景氣循環的時間序列研究方法-台灣實證分析”，國立政治大學財政研究所碩士論文.民國78年6月4.蔡麗茹，”台灣總體經濟變數之因果關係檢定”，國立政治大學國際貿易研究所碩士論文. 民國77年6月二.英文部分1.Bernake.B.S . , 1986.”A1ternative Explnations of the Money-Income Correlation”. Carnegie-Rochester Conference Series on Public Policy,25,49-100.2.Beveridge,s. ,and Nelson.C.R ., 1981,`A New Approach to Decompose of EconomicTime Series into Permanent and Transitory Componentswith Particular Attention to Measurement of the `Business Cycle" . Journal of Monetary Economics,7,151-174.3.Blanchard,O.J ., 1987, `Why Does Money Affect Output?`M.I.T. Working PaperNo.453.4.Boschen,J.F . , and Mills,L.O ., 1988,?Test of the Relation Between Moneyand Output in the Real Business Cyccle Model` ,Journal of MoneytaryEconomics.22,355-374.5.Camphell,J.Y.,and Mankiw,N.G.,1987.?Are Output Fluctuations Transitory?` . The Quarterly Journal of Economics ,Farthing.6.Camphell,J.Y.,and Mankiw,N.G. ,1987, `Parmanent and Transitory Componentsin Macroeconomic Fluctuations`,7.Camphell,J.Y.,and Scheller,R.J.,1988.`Intepreting Cointegrated Models`,Journal of Economeic Dynamics and Control,12,505-522.8 . Christiano,L.J.,and Eichenbaun,M. ,1986, `Temperal Aggeration and Structuralin Macroeconomics`,NBER Working Paper e Money-Output Relation` ,Journal of Monetary Economics,22,217-235.10.Clark,P.C.,1989,`Trend Reversion in Output and Unemployent`,Journal of Econometrics,40,15-32 .11.Coharance,J.H.,1988, `How Big isthe Random Walk in GNP/`,Journal of Political Economy,Vol.96,No.5,893-920.12.Danthine,J.P.,Donaldson,J.B.,and Smith,L.,1987, `On the Supernetrality of Money in a Stochastic Dynamic Macroeconomic Model`,Journal of Monetary Economics,20,475-499.13.Dickey D.A.,and W.A.Fuller. ,1979, `Distribution of the Estimators for Autoregressive Time Siers with a Unit Root`,Journal of the American Statistical Association,74,427-431.14.Dickey D.A.,and W.A.Fuller. ,1979, `Testing for Unit Roots in Seasonal Time Series`,Journal of the American Statistical Association,Vol.79,No.386,355-367.15.Dickey,D.A. ,1981. `Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root`,Econometrica,49,1057-1072.16.Durlauf,S.,and P.C.B.Phillips.,1987, `Trends versus Random Walks in Times Series Analysis`,Econometrica,forthcoming.17.Eichenbaum.M ., and K.J.Singleton.1986.?Do Equilibrium Real Business Cycle Theories Expkain Post-war U.S Business Cycles??.N.B.E.R.Working Paper.on.Estimation and Testing?.Econometrica.SS.No.2.251-276.19 .Grandolfo.G ., 1987.?International Economics:Book II`.20.Granger.C.W.J .? 1988.?Some Evident Development in a Conoept of Causality’.Journal of Econometrics.39.199-211.21.Hall.R.E ., 1989.?A Framework for Studting Monetary Non-Neutrality` .NBER Working Paper n Macroeconomic Time Series`.Journal of Business & Economic Statistics.Vol.3.No.3.216-227.24.Harvey.A.C ., and Stock.J.H ., 1988.?Continuous Time Auto regressive Models With Common Stochastic Trends?.Journal of Economic Dynamicsand Control.12.36S-384.25 .Hsiao.C ., 1981.?Autoregressive Modelling and Money-Income Causality Detecction?.Journal of Monetary Economics.7.85-106.26.Hsiao.C ., 1982.?Autoregressive Mondeling and Causal Ordering of Economic Dynamics and Control.4.243-259.27.Johnson.S ., 1988.?Statistical Analysis of Cointegration Vectors` .Journal of Economic Dynamic and Control.12.231-254.28.Kang.H ., 198S.?The Effects of Detrending in Granger Causality Test`.Journal of Business &Economic Statistics.Vol.3.No.4.344-349.29.King.R.G ., and Plosser.C.I ., 1984.?Money.Credit.and Prices in a Real Business Cycle?.American Economic Review.74.363-380.30.Litterman.R.B ., and Weiss.L ., 198S?Money.Real Interest Rate.and Output :A Reinterpretation of Postwar U.S. Data?.Econometrica.Vol .S3.No.1,129-156.31.Ljungqvist.L ., Park.M ., Stock.J.H ., and Watson.M.W ., 1988.?The Convergenceof Multivariate `Unit Root` Distributions to their Asymptic Limit:The Case of Money-Income Causality?.Journal of Economic Dynamics and Control.12.489-502.32.Manchester.J ., 1989.?How Money Affect Real Output` . Journal of Money.Credit,and Banking,Vol.21,No.1,16-32.33.Nelson.C.R ., and Kang.H ., 1981.?Spurious Periodicity in Inappropriately Detrended Time Series` .Econometrica.Vol.49,No.3,741-751.34.Nelson.C.R ., and C.I.Plosser ., 1982.?Trends and Random Walks in MacroeconomicTime Series?.Journal of Monetary Economics,10,132-162.35.Nelson.C.R ., 1988 ., Spurious Trend and Cycle in the State Space Decompositionof a Time Series With a Unit Roots?.Journal of Economeic Dynamics and Control?,12,475-488.36.Ouliars.S ., Park.J.Y ., and Phillips.P.C.B ., 1987.?Testing for a Unit Roots in the Presence of a Maintained Trend`.37.Park.J.Y ., and P.C.B.Phillips.1988.?Statistical Inference in Regressions with Integrated Processes:Part I?.Econometric Theory,4,468-497.38.Perron.P ., 1986.?Trend and Random Walks in Macroeconomic Time Series:Futher Evidence from a New Approach ?.Department of Economics.University of Montreal,Montreal,Canada.39.Phillips. P.C.B ., 1986.?Undderstanding Spurious Regressions in Econometrics?.Journal of Econometrics,33,311-340.40.Phillips. P.C.B ., 1987.?Time Series Regression with Unit Roots` .Econome trica,55(2),277-302.41.Phillips.P.C.B ., and S.N.Durlauf.1986.`Multiple Time Series with Integrated Variables?.Review of Economic Studies,53,473-496.42.Phillips.P.C.B .? 1988.`Regression Thery for Near-Integraated Time Series, Vol.56,No.5,1021-1043.43.Phillips.P.C.B ., and S.Ouliaris.1988,`?Testing for Cointegration using Principal Components Methods`. Journal of Economeic Dynamics and Control.12.205-230.44.Phillips.P.C.B ., and Park.J.Y.,1988.?Asymptic Equaivalence of Orindary Least Square and Generalized Least Square in Regressions with Integrated Regressors` . Journal of the American Statistical Association,Vol.83,No.401,111-115.45.Phillips,P.C.B ., and P.Perron.1988.?Testing for a Unit root in Time Series Regresssion?.Biometrica,Vol.75,No.2,335-346.46.Quah.D ., and Wooldridge. J.M ., 1988.?A Common Error in the Treatment of Trending Time Series` .M.I.T.Working Paper.No.483.47.Rivera-Baitz.F.L.and Rivera-Batiz.L ., 1985.?International Finance and Open Economy Macroeconomics`.48.Said.S.E.and D.A.Dickey.1985.?Hypothesis Testing in ARRIMA(p.l.q) Models`.Journal of the American Statistical Association,Vol.80,No.390,369-374.49.Said.S.E.and D.A.Dickey.1984.?Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order?.Biometrica,71,599-607.50.Sargent.T.J ., 1987.?Macroeconomic Theory`.Second Edition.51.Schwert.G.W ., 1987?Effect of Model Specification on Test for Unit Roots in Macroeconomic Data?.Journal of Monomics Economics,20,73-103.52.Schwert,G.W.,1988, `Testing for Unit Roots:A Monte Carlo Investication`,NBER Technical Working Paper 54.Sims,C.A.,1972, `Money, Income and Causality`,American Economic Review,62,540-552.55.Sims,C .A. ,1980a, `Macroeconomics and Reality` ,Econometrica,48,l-48.56.Sims,C.A.,1980b, `Comparison of Interwar and Postwar Business Cycle:Monetarism Reconsidered`,American Economic Review,70,250-257.57.Sims,C.A.,J.H.Stock and M.W.Waston.,1986, `Inference in Linear Time Series Models With Some Unit Roots`,Manuscript(Standford University,Standford,CA).58.Sims,C .A.,1988, `Baysian Skepticism on Unit Root Econometrics ` ,Journal of Economic Dynamics anf Control,12,463-374 .59.Stock,J.H.,1987b, `Asymptic Properties of Least Squares Estimation of Cointegrating Vectors`,Econometrica,55,l035-1056.60.Stock,J.H.and M.W.Watson,1986a, `Testing for Common Trends` ,Harvard Institute for Economic Research Discussion Paper,No.1222,Forthcoming in the Journal of the American Statistical Association.61 . Stock,J.H.,1987,`Asymptic Properies of Least Squares Estimators of Cointegrating Vectors`Econometrica,Vol.55,No.5,l035-1056.62.Stock,J.H.and M.W.Watson,1988, `Variable Trends in Economic Time Series`,Journal of Economic Perspectives,Vol.2,No.3.147-174 .63.Stock.J.H.and M.W.Watson.1989.?Intepreting the Evidence on MoneyIncome Causality?.Journal of Econometrics.40.161-181 .66.Thornton.D.L .? and Batten.D.S ., 1985.?Lag-Length Selection and Tests of Granger Causality between Money and Income` ,Journal of Money ?Credit.and Banking.Vol.17.No.2.164-178.67.Tobin.J.1970.?Money and Income:Post Hoc Ergo Propter Hoc??.The Quaterly Journal of Economics.68.Urban.J.P ., 1989.?Model Selection Criteria and Granger Causality Test’. Economics Letters.29.317-320.69.West.K.D ., 1987 . ?On the Intmrpretatioon of Near Random-Walk Behavior in GNP` . Journal of the American Economic Review.Vol.78.No.l.202-209. zh_TW
