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題名 美國貨幣政策法則演變- 貝氏向量自我迴歸模型之應用
The evolution of U.S. monetary policy rules - an application of Bayesian VAR model
作者 賴沛承
Lai, Pei-Cheng
貢獻者 林馨怡
Lin, Hsin-Yi
賴沛承
Lai, Pei-Cheng
關鍵詞 向量自我迴歸模型
貨幣政策法則
日期 2024
上傳時間 5-Aug-2024 13:38:19 (UTC+8)
摘要 本論文使用美國1951年Q1至2023年Q4的季資料，並應用貝氏結構向量自我迴歸模型估計不同聯準會主席之貨幣政策法則。實證結果顯示，Martin時期聯準會積極面對通膨，而對產出缺口反應較溫和，且對兩變數反應受利率平滑效果壓縮程度較大。Burns時期對產出缺口反應亦較溫和，而對通膨反應程度上升，此時期政策反應受利率平滑效果壓縮程度較小。Volcker時期政策動機與Burns時期相似，聯準會欲快速調整利率至理想值。另外，此時期聯準會對實質經濟活動反應程度大幅上升。Greenspan時期對產出缺口與通膨亦有積極反應，然而政策反應被壓縮程度大於Volcker時期。我們也發現，自Bernanke時期開始，聯準會之貨幣政策較難使用一般政策法則詮釋。
參考文獻 Bae, J., Kim, C.J., and Kim, D.H., 2012. The evolution of the monetary policy regimes in the U.S.. Empirical Economics, 43(2): 617-649. Baumeister, C., and Hamilton, J.D., 2015. Sign restrictions, structural vector autoregressions, and useful prior information. Econometrica, 83(5): 1963-1999. Baumeister, C., and Hamilton, J.D., 2018. Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations. Journal of Monetary Economics, 100: 48-65. Boivin, J., 2006. Has U.S. monetary policy changed? Evidence from drifting coefficients and real-time data. Journal of Money, Credit and Banking, 38(5): 1149–1173. Boivin, J., and Giannoni, M.P., 2006. Has monetary policy become more effective? The Review of Economics and Statistics, 88(3): 445-462. Carvalho, C., Nechio, F., and Tristão, T., 2021. Taylor Rule Estimation by OLS. Journal of Monetary Economics, 124: 140-154. Clarida, R., Gali, J., and Gertler, M., 2000. Monetary policy rules and macroeconomic stability:Evidence and some theory. The Quarterly Journal of Economics, 115(1): 147-180. Davig, T., and Leeper, E.M., 2011. Monetary–fiscal policy interactions and fiscal stimulus. European Economic Review, 55(2): 211-227. Del Negro, M., and Schorfheide, F., 2004. Priors from general equilibrium models for VARs. International Economic Review, 45(2): 643-673. Dery, C., and Serletis, A., 2023. Monetary policy and economic fluctuations. Macroeconomic Dynamics, Published online: 1-19. Grisse, C., 2020. The effect of monetary policy on the Swiss franc: An SVAR approach. Working paper, Swiss National Bank. Hanson, M.S., 2004. The “price puzzle＂reconsidered. Journal of Monetary Economics, 51(7): 1385-1413. Jayawickrema, V., 2019. Monetary policy rules and macroeconomic stability. MPRA Paper. Judd, J.P., and Rudebusch, G.D., 1998. Taylor’s Rule and the Fed: 1970-1997. Economic Review, Federal Reserve Bank of San Francisco: 3-16. Karlsson, S., 2013. Forecasting with Bayesian vector autoregression. Handbook of Economic Forecasting, 2: 791-897. Kim, C.J., and Nelson, C.R., 2006. Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data. Journal of Monetary Economics, 53(8): 1949-1966. Lubik, T., and Schorfheide, F., 2004. Testing for indeterminacy: An Application to U.S. monetary policy. American Economic Review, 94(1): 190-217. Murray, C.J., Nikolsko-Rzhevskyy, A., and Papell, D.H., 2015. Markov switching and the Taylor principle. Macroeconomic Dynamics, 19(4): 913-930. Nikolsko-Rzhevskyy, A., Papell, D.H., and Prodan, R., 2019. The Taylor principles. Journal of Macroeconomics, 62: 103159. Orphanides, A., 2004. Monetary policy rules, macroeconomic stability, and inflation: A view from the trenches. Journal of Money, Credit and Banking, 36(2): 151-175. Sims, C.A., 1980. Macroeconomics and reality. Econometrica, 48(1): 1-48. Taylor, J.B., 1993. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy, 39(1): 195-214. Taylor, J.B., 1999b. A historical analysis of monetary policy rules. Monetary Policy Rules, 319-341. Waggoner, D.F., and Zha, T., 2003. A Gibbs sampler for structural vector autoregressions. Journal of Economic Dynamics and Control, 28(2): 349-366.
描述 碩士
國立政治大學
經濟學系
111258032
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111258032
資料類型 thesis
dc.contributor.advisor 林馨怡zh_TW
dc.contributor.advisor Lin, Hsin-Yien_US
dc.contributor.author (Authors) 賴沛承zh_TW
dc.contributor.author (Authors) Lai, Pei-Chengen_US
dc.creator (作者) 賴沛承zh_TW
dc.creator (作者) Lai, Pei-Chengen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:38:19 (UTC+8)-
dc.date.available 5-Aug-2024 13:38:19 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:38:19 (UTC+8)-
dc.identifier (Other Identifiers) G0111258032en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152708-
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) 111258032zh_TW
dc.description.abstract (摘要) 本論文使用美國1951年Q1至2023年Q4的季資料，並應用貝氏結構向量自我迴歸模型估計不同聯準會主席之貨幣政策法則。實證結果顯示，Martin時期聯準會積極面對通膨，而對產出缺口反應較溫和，且對兩變數反應受利率平滑效果壓縮程度較大。Burns時期對產出缺口反應亦較溫和，而對通膨反應程度上升，此時期政策反應受利率平滑效果壓縮程度較小。Volcker時期政策動機與Burns時期相似，聯準會欲快速調整利率至理想值。另外，此時期聯準會對實質經濟活動反應程度大幅上升。Greenspan時期對產出缺口與通膨亦有積極反應，然而政策反應被壓縮程度大於Volcker時期。我們也發現，自Bernanke時期開始，聯準會之貨幣政策較難使用一般政策法則詮釋。zh_TW
dc.description.tableofcontents 1 緒論 1 2 文獻回顧 3 2.1 外生分割樣本 3 2.2 非外生分割樣本 6 3 研究方法 12 3.1 向量自我迴歸模型 12 3.2 貝氏向量自我迴歸模型 15 3.3 貝氏結構向量自我迴歸模型 20 4 資料 24 5 實證結果 29 5.1 同期係數 29 5.2 衝擊反應函數與變異數分解 36 5.3 其他通膨衡量 44 5.4 其他潛在產出衡量 46 6 結論 49 參考文獻 50 A 附錄：其他通膨衡量之實證結果 52 B 附錄：其他潛在產出衡量之實證結果 67zh_TW
dc.format.extent 5377358 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111258032en_US
dc.subject (關鍵詞) 向量自我迴歸模型zh_TW
dc.subject (關鍵詞) 貨幣政策法則zh_TW
dc.title (題名) 美國貨幣政策法則演變- 貝氏向量自我迴歸模型之應用zh_TW
dc.title (題名) The evolution of U.S. monetary policy rules - an application of Bayesian VAR modelen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bae, J., Kim, C.J., and Kim, D.H., 2012. The evolution of the monetary policy regimes in the U.S.. Empirical Economics, 43(2): 617-649. Baumeister, C., and Hamilton, J.D., 2015. Sign restrictions, structural vector autoregressions, and useful prior information. Econometrica, 83(5): 1963-1999. Baumeister, C., and Hamilton, J.D., 2018. Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations. Journal of Monetary Economics, 100: 48-65. Boivin, J., 2006. Has U.S. monetary policy changed? Evidence from drifting coefficients and real-time data. Journal of Money, Credit and Banking, 38(5): 1149–1173. Boivin, J., and Giannoni, M.P., 2006. Has monetary policy become more effective? The Review of Economics and Statistics, 88(3): 445-462. Carvalho, C., Nechio, F., and Tristão, T., 2021. Taylor Rule Estimation by OLS. Journal of Monetary Economics, 124: 140-154. Clarida, R., Gali, J., and Gertler, M., 2000. Monetary policy rules and macroeconomic stability:Evidence and some theory. The Quarterly Journal of Economics, 115(1): 147-180. Davig, T., and Leeper, E.M., 2011. Monetary–fiscal policy interactions and fiscal stimulus. European Economic Review, 55(2): 211-227. Del Negro, M., and Schorfheide, F., 2004. Priors from general equilibrium models for VARs. International Economic Review, 45(2): 643-673. Dery, C., and Serletis, A., 2023. Monetary policy and economic fluctuations. Macroeconomic Dynamics, Published online: 1-19. Grisse, C., 2020. The effect of monetary policy on the Swiss franc: An SVAR approach. Working paper, Swiss National Bank. Hanson, M.S., 2004. The “price puzzle＂reconsidered. Journal of Monetary Economics, 51(7): 1385-1413. Jayawickrema, V., 2019. Monetary policy rules and macroeconomic stability. MPRA Paper. Judd, J.P., and Rudebusch, G.D., 1998. Taylor’s Rule and the Fed: 1970-1997. Economic Review, Federal Reserve Bank of San Francisco: 3-16. Karlsson, S., 2013. Forecasting with Bayesian vector autoregression. Handbook of Economic Forecasting, 2: 791-897. Kim, C.J., and Nelson, C.R., 2006. Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data. Journal of Monetary Economics, 53(8): 1949-1966. Lubik, T., and Schorfheide, F., 2004. Testing for indeterminacy: An Application to U.S. monetary policy. American Economic Review, 94(1): 190-217. Murray, C.J., Nikolsko-Rzhevskyy, A., and Papell, D.H., 2015. Markov switching and the Taylor principle. Macroeconomic Dynamics, 19(4): 913-930. Nikolsko-Rzhevskyy, A., Papell, D.H., and Prodan, R., 2019. The Taylor principles. Journal of Macroeconomics, 62: 103159. Orphanides, A., 2004. Monetary policy rules, macroeconomic stability, and inflation: A view from the trenches. Journal of Money, Credit and Banking, 36(2): 151-175. Sims, C.A., 1980. Macroeconomics and reality. Econometrica, 48(1): 1-48. Taylor, J.B., 1993. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy, 39(1): 195-214. Taylor, J.B., 1999b. A historical analysis of monetary policy rules. Monetary Policy Rules, 319-341. Waggoner, D.F., and Zha, T., 2003. A Gibbs sampler for structural vector autoregressions. Journal of Economic Dynamics and Control, 28(2): 349-366.zh_TW