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題名 貨幣政策的不對稱效果 - 分量迴歸門檻模型之應用
Asymmetric Effects of Monetary Policy - The Application of Quantile Regression Threshold Model作者 李騏宇 貢獻者 林馨怡
李騏宇關鍵詞 貨幣政策
不對稱效果
分量迴歸門檻模型日期 2016 上傳時間 2-Sep-2016 01:06:56 (UTC+8) 摘要 貨幣政策不對稱效果是近年來相當重要的課題。不對稱效果指的有三種，第一種是不同景氣循環下的不對稱效果，第二種是擴張與緊縮性貨幣政策的不對稱效果，最後則是不同規模的貨幣政策衝擊的不對稱效果。本文除了使用 Koenker and Basset (1978) 的分量迴歸模型進行分析外，還使用 Su, Ju and Xu (2014) 的分量迴歸門檻模型分析 1954 年第三季至 2015 年第四季，美國貨幣政策的不對稱效果。實證結果發現美國的貨幣政策確實具有景氣循環下的不對稱效果。另外，我們也發現美國的貨幣政策同時存在第一種與第二種不對稱效果。然而，當我們討論第一種與第三種貨幣政策的不對稱效果是否同時存在時，雖然中低分量下的結果認為不同規模的貨幣衝擊具有不對稱效果，但各分量下的結果並非一致地認為小規模的貨幣衝擊較有效。 參考文獻 Akerlof, G. A., and Yellen, J. L., 1985. A near-rational model of the business cycle, with wage and price inertia.The Quarterly Journal of Economics, 100, 823--838.Ball, L., and Mankiw, N. G., 1994. Asymmetric price adjustment and economic fluctuations.The Economic Journal, 104 (423), 247--261.Ball, L., and Romer, D., 1989. Are prices too sticky?The Quarterly Journal of Economics, 104 (3), 507--524.Ball, L., and Romer, D., 1990. Real rigidities and the non-neutrality of money.The Review of Economic Studies, 57 (2), 183--203.Bernanke, B., and Gertler, M., 1989. Agency costs, net worth, and business fluctuations.American Economic Review, 79 (1), 14--31.Bernanke, B., and Gertler, M., 1995. Inside the black box: The credit channel of monetary policy transmission.The Journal of Economic Perspective, 9 (4), 27--48.Boschen, J. F., and Mill, L. O., 1993. The narrative approach to evaluating monetary policy: consistency of interpretation and the relation to monetary activity.mimeo, Federal Reserve Bank of Richmond.Caballero, R., and Engel, E., 1992. Price rigidities, asymmetries, and output fluctuations.NBER Working Paper, No. 4091.Caner, M., 2002. A note on least absolute deviation estimation of a threshold model.Econometric Theory, 18, 800--814.Cover, J. P., 1992. Asymmetric effects of positive and negative money-supply shocks.The Quarterly Journal of Economics, 115 (1), 147--180.Dedola, L., and Lippi, F., 2005. The monetary transmission mechanism: Evidence from the industry data of five OECD countries.Europe Economic Review, 49 (6), 1543--1569.Delong, J. B., and Summers, L. H., 1988. How does macroeconomic policy affect output?Brookings Papers on Economic Activity, 2, 433--494.Donayre, L., 2014. Estimated thresholds in the response of output to monetary policy: Are large policy changes less effective?Macroeconomic Dynamics, 18, 41--64.Farmer, R. E., 1985. Implicit contracts with asymmetric information and bankruptcy: The effect of interest rates on layoffs.The Review of Economic Studies, 52 (3), 427--442.Farmer, R. E., 1988. Money and contracts.The Review of Economic Studies, 55 (3), 431--446.Galvao, A. F., Montes-Rojas, G., and Olmo, J., 2011. Threshold quantile autoregressive models.Journal of Time Series Analysis, 32, 253--267.Galvao, A. F., Montes-Rojas, G., and Olmo, J., 2014. Testing linearity against threshold effects: Uniform inference in quantile regression.Analysis of the Institute of Statistical Mathematics, 66, 413--439.Ganley, J., and Salmon, C., 1997. The industrial impact of monetary policy shocks: Some stylised facts.Bank of England Working Paper Series, 68.Garcia, R., and Schaller, H., 2002. Are the effects of monetary policy asymmetric?Economic Inquiry, 40 (1), 102--119.Hansen, B. E., 2000. Sample splitting and threshold estimation.Econometrica, 68 (3), 575--603.Hayo, B., and Uhlenbrock, B., 2000. Industry effects of monetary policy in Germany.Regional Aspects of Monetary Policy in Europe, 127--158, Boston: Kluwer.Kakes, J., 1998. Monetary transmission and business cycle asymmetry.University of Groningen, Research Institute SOM.Kandil, M., 1995. Asymmetric nominal flexibility and economic fluctuations.Southern Economic Journal, 61, 674--695.Karras, G., 1996a. Are the output effects of monetary policy asymmetric? Evidence from a sample of European countries.Oxford Bulletin of Economics and Statistics, 58, 267--278.Karras, G., 1996b. Why are the effects of money-supply shocks asymmetric? Convex aggregate supply or ""Pushing on a string``?Journal of Macroeconomics, 18, 605--619.Kaufmann, S., 2002. Is there an asymmetric effect of monetary policy over time? A bayesian analysis using Austrian data.Empirical Economics, 27, 277--297.Kiyotaki, N., and Moore, J., 1997. Credit cycles.Journal of Political Economy, 105 (2), 211--248.Koenker, R., and Bassett, G., 1978. Regression quantiles.Economterica, 46, 33--50.Koul, H. L., Qian, L., and Surgailis, D., 2003. Asymptotics of M-estimators in two-phase linear regression models.Stochastic Processes and their Applications, 103, 123--154.Lenz, C., 1997. Asymmetric effects of monetary policy in Switzerland.Swiss Journal of Economics and Statistics, 133, 441--454.Lindbeck, A., and Snower, D. J., 1987. Efficiency wages versus insiders and outsiders.European Economic Review, 31(1-2), 407--416.Lo, M. C., and Piger, J., 2005. Is the response of output to monetary policy asymmetric? Evidence from a regime-swithching coefficients model.Journal of Money, Credit and Banking, 37 (5), 865--886.Mankiw, N. G., 1985. Small menu cost and large business cycles.The Quarterly Journal of Economics, 100, 529--537.Morgan, D. P., 1993. Asymmetric effects of monetary policy.Federal Reserve Bank of Kansas City Economic Review, 78, 21--33.Peersman, G., and Smets, F., 2001b. Are the effects of monetary policy in the euro area greater in recessions than in booms?Monetary Transmission in Diverse Economies, 28--48, Cambridge: Cambridge University Press.Peersman, G., and Smets, F., 2005. The industry effects of monetary policy in the euro area.The Economic Journal, 115 (503), 319--342.Powell, J. L., 1991. Estimation of monotonic regression models under quantile restrictions.Nonparametric and Semiparametric Methods in Econometrics, 357-384, Cambridge: Cambridge University Press.Qu, Z., 2008. Testing for structural change in regression quantiles.Journal of Econometrics, 146, 170--184.Ravn, M., and Sola, M., 2004. Asymmetric effects of monetary policy in the United States.Federal Reserve Bank of St. Louis Review, 86 (5), 41--60.Santoro, E., Petrella, I., Pfajfar, D., and Gaffeo, E., 2014. Loss aversion and the asymmetric transmission of monetary policy.Journal of Monetary Economics, 68, 19--36.Su, L., Xiao, Z., 2008. Testing for parameter stability in quantile regression models.Statistics and Probability Letter, 78, 2768--2775.Su, L., Xu, P., and Ju, H., 2014. Common threshold in quantile regressions with an application to pricing for reputation.Working Paper, Singapore Management University.Thoma, M. A., 1994. Subsample instability and asymmetries in money income causality.Journal of Econometrics, 64, 279--306.Tsiddon, D., 1993. The (mis)behaviour of the aggregate price level.The Review of Economic Studies, 60 (4), 889--902.Weise, C. L., 1999. The asymmetric effects of monetary policy: A nonlinear vector autoregression approach.Journal of Money, Credit and Banking, 31 (1), 85--108. 描述 碩士
國立政治大學
經濟學系
103258018資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103258018 資料類型 thesis dc.contributor.advisor 林馨怡 zh_TW dc.contributor.author (Authors) 李騏宇 zh_TW dc.creator (作者) 李騏宇 zh_TW dc.date (日期) 2016 en_US dc.date.accessioned 2-Sep-2016 01:06:56 (UTC+8) - dc.date.available 2-Sep-2016 01:06:56 (UTC+8) - dc.date.issued (上傳時間) 2-Sep-2016 01:06:56 (UTC+8) - dc.identifier (Other Identifiers) G0103258018 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/101192 - 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) 103258018 zh_TW dc.description.abstract (摘要) 貨幣政策不對稱效果是近年來相當重要的課題。不對稱效果指的有三種，第一種是不同景氣循環下的不對稱效果，第二種是擴張與緊縮性貨幣政策的不對稱效果，最後則是不同規模的貨幣政策衝擊的不對稱效果。本文除了使用 Koenker and Basset (1978) 的分量迴歸模型進行分析外，還使用 Su, Ju and Xu (2014) 的分量迴歸門檻模型分析 1954 年第三季至 2015 年第四季，美國貨幣政策的不對稱效果。實證結果發現美國的貨幣政策確實具有景氣循環下的不對稱效果。另外，我們也發現美國的貨幣政策同時存在第一種與第二種不對稱效果。然而，當我們討論第一種與第三種貨幣政策的不對稱效果是否同時存在時，雖然中低分量下的結果認為不同規模的貨幣衝擊具有不對稱效果，但各分量下的結果並非一致地認為小規模的貨幣衝擊較有效。 zh_TW dc.description.tableofcontents 1. 緒論 12. 文獻回顧 43. 分量迴歸門檻模型 163.1 分量門檻檢定 173.2 估計方法與大樣本性質 223.3 門檻參數的概似比檢定 244. 實證結果 264.1 實證資料 264.2 景氣循環下的貨幣政策不對稱效果 284.3 緊縮與擴張性貨幣政策的不對稱效果 374.4 不同程度的貨幣衝擊的不對稱效果 445. 結論 51參考文獻 53 zh_TW dc.format.extent 1461856 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103258018 en_US dc.subject (關鍵詞) 貨幣政策 zh_TW dc.subject (關鍵詞) 不對稱效果 zh_TW dc.subject (關鍵詞) 分量迴歸門檻模型 zh_TW dc.title (題名) 貨幣政策的不對稱效果 - 分量迴歸門檻模型之應用 zh_TW dc.title (題名) Asymmetric Effects of Monetary Policy - The Application of Quantile Regression Threshold Model en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Akerlof, G. A., and Yellen, J. L., 1985. A near-rational model of the business cycle, with wage and price inertia.The Quarterly Journal of Economics, 100, 823--838.Ball, L., and Mankiw, N. G., 1994. Asymmetric price adjustment and economic fluctuations.The Economic Journal, 104 (423), 247--261.Ball, L., and Romer, D., 1989. Are prices too sticky?The Quarterly Journal of Economics, 104 (3), 507--524.Ball, L., and Romer, D., 1990. Real rigidities and the non-neutrality of money.The Review of Economic Studies, 57 (2), 183--203.Bernanke, B., and Gertler, M., 1989. Agency costs, net worth, and business fluctuations.American Economic Review, 79 (1), 14--31.Bernanke, B., and Gertler, M., 1995. Inside the black box: The credit channel of monetary policy transmission.The Journal of Economic Perspective, 9 (4), 27--48.Boschen, J. F., and Mill, L. O., 1993. The narrative approach to evaluating monetary policy: consistency of interpretation and the relation to monetary activity.mimeo, Federal Reserve Bank of Richmond.Caballero, R., and Engel, E., 1992. Price rigidities, asymmetries, and output fluctuations.NBER Working Paper, No. 4091.Caner, M., 2002. A note on least absolute deviation estimation of a threshold model.Econometric Theory, 18, 800--814.Cover, J. P., 1992. Asymmetric effects of positive and negative money-supply shocks.The Quarterly Journal of Economics, 115 (1), 147--180.Dedola, L., and Lippi, F., 2005. The monetary transmission mechanism: Evidence from the industry data of five OECD countries.Europe Economic Review, 49 (6), 1543--1569.Delong, J. B., and Summers, L. H., 1988. How does macroeconomic policy affect output?Brookings Papers on Economic Activity, 2, 433--494.Donayre, L., 2014. Estimated thresholds in the response of output to monetary policy: Are large policy changes less effective?Macroeconomic Dynamics, 18, 41--64.Farmer, R. E., 1985. Implicit contracts with asymmetric information and bankruptcy: The effect of interest rates on layoffs.The Review of Economic Studies, 52 (3), 427--442.Farmer, R. E., 1988. Money and contracts.The Review of Economic Studies, 55 (3), 431--446.Galvao, A. F., Montes-Rojas, G., and Olmo, J., 2011. Threshold quantile autoregressive models.Journal of Time Series Analysis, 32, 253--267.Galvao, A. F., Montes-Rojas, G., and Olmo, J., 2014. Testing linearity against threshold effects: Uniform inference in quantile regression.Analysis of the Institute of Statistical Mathematics, 66, 413--439.Ganley, J., and Salmon, C., 1997. The industrial impact of monetary policy shocks: Some stylised facts.Bank of England Working Paper Series, 68.Garcia, R., and Schaller, H., 2002. Are the effects of monetary policy asymmetric?Economic Inquiry, 40 (1), 102--119.Hansen, B. E., 2000. Sample splitting and threshold estimation.Econometrica, 68 (3), 575--603.Hayo, B., and Uhlenbrock, B., 2000. Industry effects of monetary policy in Germany.Regional Aspects of Monetary Policy in Europe, 127--158, Boston: Kluwer.Kakes, J., 1998. Monetary transmission and business cycle asymmetry.University of Groningen, Research Institute SOM.Kandil, M., 1995. Asymmetric nominal flexibility and economic fluctuations.Southern Economic Journal, 61, 674--695.Karras, G., 1996a. Are the output effects of monetary policy asymmetric? Evidence from a sample of European countries.Oxford Bulletin of Economics and Statistics, 58, 267--278.Karras, G., 1996b. Why are the effects of money-supply shocks asymmetric? Convex aggregate supply or ""Pushing on a string``?Journal of Macroeconomics, 18, 605--619.Kaufmann, S., 2002. Is there an asymmetric effect of monetary policy over time? A bayesian analysis using Austrian data.Empirical Economics, 27, 277--297.Kiyotaki, N., and Moore, J., 1997. Credit cycles.Journal of Political Economy, 105 (2), 211--248.Koenker, R., and Bassett, G., 1978. Regression quantiles.Economterica, 46, 33--50.Koul, H. L., Qian, L., and Surgailis, D., 2003. Asymptotics of M-estimators in two-phase linear regression models.Stochastic Processes and their Applications, 103, 123--154.Lenz, C., 1997. Asymmetric effects of monetary policy in Switzerland.Swiss Journal of Economics and Statistics, 133, 441--454.Lindbeck, A., and Snower, D. J., 1987. Efficiency wages versus insiders and outsiders.European Economic Review, 31(1-2), 407--416.Lo, M. C., and Piger, J., 2005. Is the response of output to monetary policy asymmetric? Evidence from a regime-swithching coefficients model.Journal of Money, Credit and Banking, 37 (5), 865--886.Mankiw, N. G., 1985. Small menu cost and large business cycles.The Quarterly Journal of Economics, 100, 529--537.Morgan, D. P., 1993. Asymmetric effects of monetary policy.Federal Reserve Bank of Kansas City Economic Review, 78, 21--33.Peersman, G., and Smets, F., 2001b. Are the effects of monetary policy in the euro area greater in recessions than in booms?Monetary Transmission in Diverse Economies, 28--48, Cambridge: Cambridge University Press.Peersman, G., and Smets, F., 2005. The industry effects of monetary policy in the euro area.The Economic Journal, 115 (503), 319--342.Powell, J. L., 1991. Estimation of monotonic regression models under quantile restrictions.Nonparametric and Semiparametric Methods in Econometrics, 357-384, Cambridge: Cambridge University Press.Qu, Z., 2008. Testing for structural change in regression quantiles.Journal of Econometrics, 146, 170--184.Ravn, M., and Sola, M., 2004. Asymmetric effects of monetary policy in the United States.Federal Reserve Bank of St. Louis Review, 86 (5), 41--60.Santoro, E., Petrella, I., Pfajfar, D., and Gaffeo, E., 2014. Loss aversion and the asymmetric transmission of monetary policy.Journal of Monetary Economics, 68, 19--36.Su, L., Xiao, Z., 2008. Testing for parameter stability in quantile regression models.Statistics and Probability Letter, 78, 2768--2775.Su, L., Xu, P., and Ju, H., 2014. Common threshold in quantile regressions with an application to pricing for reputation.Working Paper, Singapore Management University.Thoma, M. A., 1994. Subsample instability and asymmetries in money income causality.Journal of Econometrics, 64, 279--306.Tsiddon, D., 1993. The (mis)behaviour of the aggregate price level.The Review of Economic Studies, 60 (4), 889--902.Weise, C. L., 1999. The asymmetric effects of monetary policy: A nonlinear vector autoregression approach.Journal of Money, Credit and Banking, 31 (1), 85--108. zh_TW
