| dc.contributor.advisor | 鍾經樊 | zh_TW |
| dc.contributor.author (Authors) | 簡立欣 | zh_TW |
| dc.contributor.author (Authors) | Chien,Li-Hsin | en_US |
| dc.creator (作者) | 簡立欣 | zh_TW |
| dc.creator (作者) | Chien,Li-Hsin | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 18-Sep-2009 17:22:24 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 17:22:24 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 17:22:24 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0912580211 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36168 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 經濟研究所 | zh_TW |
| dc.description (描述) | 91258021 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 泰勒法則 (Taylor rule) 認為央行關心的主要是產出成長與物價的穩定，利用利率工具促使產出成長與物價回到長期穩定水準。此法則由於操作簡單，容易為大眾了解，因此不但有助於人民對央行政策的監督，增加央行的責任感，也為民間提供一個預測未來經濟的工具，降低金融波動。雖然台灣每年仍會公佈貨幣數量 M2 的目標區，似採以盯住貨幣數量為主的貨幣政策，但近年來由於金融創新與自由化，貨幣替代品日增，貨幣的定義也日漸模糊，貨幣和產出及物價目標的相關性降低，我們因此有興趣檢測台灣央行的利率操作是否遵循泰勒法則。由於台灣是個小型開放體系，匯率對經濟狀況有很大的影響力，本文將匯率的變動引入泰勒法則， 和原本的產出成長和物價一同作為央行所關心的政策目標。匯率固有其重要性，但相較於產出成長和物價，對景氣的影響是間接的，所以本文認，央行對匯率的關心主要在其變動方向，而非變動幅度。在這種想法下，匯率在泰勒法則中將只是一個顯示其升降的指標變數。 本文在動態計量模型的設定上，考慮到內生變數間的同期因果關係，以及它們當中存在二元變數，故採用 Duker (2005) 裡所擬議的 Qual VAR (qualitative variable) 模型，使用 Markov Chain Monte Carlo (MCMC) 進行估計。對於估計結果的分析，則大致如同標準的VAR模型， 除了比較模型估計的顯著性與係數大小外，主要是要進行衝擊反應 (impulse-response) 分析，檢驗在各個政策目標的隨機衝擊下，對央行所操控的利率會有什麼樣的影響。 | zh_TW |
| dc.description.tableofcontents | 1 緒論 1 2 文獻回顧 3 2.1 貨幣政策的演變 3 2.2 泰勒法則的演變 4 3 研究方法 9 3.1 Vector Autoregressions (VAR) 9 3.1.1 VAR 模型的估計 10 3.1.2 VAR 模型階數的決定 11 3.1.3 穩定條件 12 3.1.4 格蘭傑因果關係檢定 (Granger causality test) 13 3.2 結構型 VAR 模型 14 3.2.1 衝擊反應分析 15 3.3 Qual VAR 15 3.3.1 MCMC 16 3.3.2 Qual VAR 的估計 20 4 實證結果 29 4.1 資料來源及資料處理 29 4.2 模型估計 30 4.3 小結 35 5 結論 36 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0912580211 | en_US |
| dc.subject (關鍵詞) | 泰勒法則 | zh_TW |
| dc.subject (關鍵詞) | Taylor rule | en_US |
| dc.subject (關鍵詞) | QVAR | en_US |
| dc.title (題名) | 台灣泰勒法則實證分析 | zh_TW |
| dc.type (資料類型) | thesis | en |
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