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題名 我國總體經濟政策有效性之比較: St. Louis模型之應用
Effectiveness Comparison of Macroeconomic Policy in Taiwan: St. Louis Model Applied
作者 林毅智
Lin, Yh Jhih
貢獻者 黃明聖
林毅智
Lin, Yh Jhih
關鍵詞 St. Louis模型
VECM模型
財政政策
貨幣政策
貿易政策
日期 2015
上傳時間 1-Sep-2015 16:28:57 (UTC+8)
摘要 本篇文章用縮減式迴歸來研究財政政策、貨幣政策、和貿易政策對國內政策有效性，以及比較朱衛華 (1990) 政府政策有效性是否和本文相同。
本研究目的有以下兩點，第一、在小型開放經濟體系中，政府推動不同政策下，何種政策長期效果較強。第二、以縮減式迴歸探討不同政策下，其對產出影響。除此之外，從大多數文獻中財政政策與貨幣政策的有效性比較，貨幣政策為強而有效的政策，而在國內貨幣政策有效性是否優於財政政策?
本文使用傳統的St. Louis模型與向量誤差修正模型，估計不同政策的有效性，因為目前常用向量誤差修正模型，所以本研究主要採用向量誤差修正模型，再者時間序列模型皆會檢定期間內是否發生結構性改變，本文採用CUSUM穩定性檢定後，可以發現在2008年第3季後發生結構性改變，推估其結構性改變的原因來自於金融海嘯。
由於估計期間內出現結構性改變，因此參閱方惠蓉 (2002) 將結構性改變分段處理以利於分析結果，而本文將結構性改變分成兩段，分別為金融海嘯前與金融海嘯後。
最後可以從實證得知，三種政策在金融海嘯前皆為正向的經濟影響，強度大小由高至低排序為財政政策、貿易政策和貨幣政策，而財政政策在金融海嘯後是負向的影響，但是貨幣與貿易政策卻是正向的影響，此外貨幣政策在金融海嘯後強度大小位居首位。
參考文獻 ㄧ、中文部分
方惠蓉 (2002)，「短期利率模型的台灣實證－無母數法」，國立政治大
學碩士論文。
朱衛華 (1990)，「財政政策的有效性 : St. Louis方程式在我國之應
用」，國立政治大學碩士論文。
李漢珠、陳慧芳 (2001)，「振興經濟方案有助台灣經濟提前復甦」，
《銀行公會會訊》，50期，頁1-6。
李麗華、霍德明、朱浩民 (2011)，「小型開放經濟體系財政政策有效性
之實證研究: 以臺灣為例」，《台灣經濟預測與政策》，41卷2期，
頁51-93。
李桐豪、李智仁、林士傑、唐正道、盧淑惠 (2011)，「金融海嘯後全球
金融改革方向之研究報告」，社團法人台灣金融服務業聯合總會委託
研究報告。
郭照榮 (2013)，「Basel III 對金融穩定及貨幣政策之影響」，中央
銀行委託研究計畫編號：101CBC-金-1。
林向愷 (2002)，「台商投資中國對國內經濟的衝擊」，《現代學術研究
專刊》，12期，頁19-80。
林左裕 (2012)，「貨幣政策與房價的關係」，科技部研究計畫。
林信男 (2014)，「中國在地供應鏈崛起　工研院：台製造業面臨空洞化
隱憂」，《東森新聞》，12月2日，財經版。
施燕 (2014)，「面對房市泡沫的挑戰」，《台灣銀行家》，2月，頁10-
13。
單珮玲、郭嚴今 (2013)，「公共支出結構對經濟成長之影響－以臺灣的
實證研究為例」，《當代財政》，36期，頁61-71。
黃仁德、羅時萬 (2010)，「經濟成長：理論與實證」，國立政治大學經
濟學系專書篇章。
楊奕農 (2009)，《時間序列分析：經濟與財務上之應用》，台北: 雙葉
書廊。
瞿宛文、安士敦 (2003)，《超越後進發展: 台灣的產業升級策略》，台
北: 聯經出版公司。
顏子魁 (編) (1990)，《美國經濟史》，台北：華香園出版社。
羅倩宜、鄭琪芳 (2012)，「外銷訂單海外生產創新高 無助就業」。
《自由時報》。12月31日。

二、英文部分
Ajisafe, R. A. and B. A. Folorunso (2002), “The Relative
Effectiveness of Fiscal and Monetary Policy in
Macroeconomic Management in Nigeria,” The African
Economic and Business Review, 3(1), 23-40.
Akaike, H. (1974), “A New Look at the Statistical Model
Identification,” IEEE Transactions, 19(6), 716-723.
Andersen, L.C. and J. L. Jordan (1968), “Monetary and
Fiscal Actions: A Test of Their Relative Importance in
Economic Stabilization,” Federal Reserve Bank of
St. Louis Review, 50, 11-24.
Anderson, Leonall C. and Keith M. Carlson. (1970), “A
Monetarist Model for Economic Stabilization,” Federal
Reserve Bank of St. Louis, Review, 9(52), 7-25.
Anna, Chingarande (2012), “The Relative Effectiveness of
Monetary and Fiscal Policies on Economic Activity in
Zimbabwe an Error Correction Approach,” International
Journal of Management Sciences and Business Research,
1(5), 1-35.
Barro, Robert J. (1990), “Government Spending in a Simple
Model of Endogenous Growth,” The Journal of Political
Economy, 98(5), 103-125.
Banerjee, Anindya, Juan Dolado, John Galbraith and David
Hendry (1993), “Co-integration, Error Correction, and
the Econometric Analysis of Non-Stationary Data,”
Oxford Bulletin of Economic Press.
Batten, Dallas S. and Daniel L. Thornton (1983),
“Polynomial Distributed Lags and the Estimation of the
St. Louis Equation,” Federal Reserve Bank of St. Louis
Review, 13-25.
Carlson, Keith M. (1975), “The St. Louis Equation and
Monthly Data,” Federal Reserve Bank of St. Louis
Review, 14-17.
Carlson, Keith M. (1978), “Does the St. Louis Equation
Now Believe in Fiscal Policy?,” Federal Reserve Bank
of St. Louis Review, 60(2), 13-19.
Carlson, Keith M. and Scott E. Hein (1980), “Monetary
Aggregates as Monetary Indicators,” Federal Reserve
Bank of St. Louis Review, 62, 12-21.
Cooper, J.P. and S. Fischer. (1974), “Monetary and Fiscal
Policy in the Fully Stochastic St. Louis Econometric
Model,” Journal of Money, Credit and Banking, 6(1), 1-
22.
Corrigan, E. Gerald (1970), “The Measurement and
Importance of Fiscal Policy Changes,” Federal Reserve
Bank of New York. Monthly Review, 133-145.
De Leeuw, Frank and John Kalchbrenner (1969), “Monetary
and Fiscal Actions: A Test of Their Relative
Importance in Economic Stabilization Comment,” Federal
Reserve Bank of St. Louis Review, 51, 6-11.
Dickey, David A. and Wayne A. Fuller (1979),
“Distribution of the Estimators for Autoregressive
Time Series with a Unit Root,” Journal of the
American Statistical Association, 74(366a), 427-431.
Elliott, J. W. (1975), “The Influence of Monetary and
Fiscal Actions on Total Spending: The St. Louis Total
Spending Equation Revisited,” Journal of Money,
Credit and Banking, 7(2), 181-192.
Engle, Robert F. and C. W. J. Granger (1987), “Co-
Integration and Error Correction: Representation,
Estimation, and Testing,” Econometrica, 55(2), 251-
276.
Friedman, Benjamin M. (1977), “Even the St. Louis Model
Now Believes in Fiscal Policy: Note,” Journal of
Money, Credit and Banking, 9 (2), 365-367.
Gramlich, Edward M. (1971), “The Usefulness of Monetary
and Fiscal Policy as Discretionary Stabilization
Tools,” Journal of Money, Credit and Banking, 3 (2),
506-532.
Hafer, R. W. (1982), “The Role of Fiscal Policy in the
St. Louis Equation,” Federal Reserve Bank of St.
Louis Review, 17-22.
Johansen, S. (1988), “Statistical Analysis of
Cointegration Vectors,” Journal of Economic Dynamics
and Control, 12(2-3), 231–254.
Johansen, S. and K. Juselius (1990), “Maximum Likelihood
Estimation and Inference on Cointegration - with
Applications to the Demand for Money,” Oxford
Bulletin of Economics and Statistics, 52 (2),
169 -210.
Kmetna, J. (1986), Elements of Econometrics. 2nd-edition,
New York: Macmillan Publishing Co.
Mehra, Yash P. and David E. Spencer (1979), “The St.
Louis Equation and Reserve Causation: The Evidence
Reexamined,” Southern Economic Journal, 45(4),
1104-1120.
Mishkin, F. S. (2012), Economics of Money, Banking, and
Financial Markets, 10th Edition, Taipei: Pearson
Education.
Moayedi, Vafa (2013), “Reassessing the Effect of Fiscal
and Monetary Policies in Iran: The St. Louis Equation
Revisited,” Journal of Economic Development, 38(4),
123-141.
Nelson, Charles R. and Charles I. Plosser (1982), “Trends
and Random Walks in Macroeconmic Time Series,”Journal
of Monetary Economics, 10(2), 139-162.
Phillips, Peter C. B. and Pierre Perron (1988), “Testing
for a Unit Root in Time Series Regression,”
Biometrika, 75(2), 335-346.
Rahman, M. H. (2009), “Relative Effectiveness of Monetary
and Fiscal Policies on Output Growth in Bangladesh: A
VAR Approach,” Working Paper Series of Bangladesh
Bank, 1-20.
Said, E. Said and David A. Dickey (1984), “Testing for
Unit Roots in Autoregressive-moving Average Models of
Unknown Order,” Biometrika, 71 (3), 599 -607.
Schmidt, Peter and Roger N. Waud (1973), “The Almon Lag
Technique and the Monetary Versus Fiscal Policy
Debate,” Journal of the American Statistical
Association, 68(341), 11-19.
Schwarz, Gideon (1978), “Estimating the Dimension of a
Model,” The Annals of Statistics, 6(2), 461-464.
Sims, Christopher A. (1972), “Money, Income, and
Causality,” The American Economic Review, 62(4),
540-552.
Sims, Christopher A. (1980), “Comparison of Interwar and
Postwar Business Cycles: Monetarism Reconsidered,”
The American Economic Review, 70, 250-257.
Silber, William L. (1971), “The St. Louis Equation:"
Democratic" and" Republican" Versions and Other
Experiments,” The Review of Economics and Statistics,
53(4), 362-367.
Younus, Sayera (2012), “Relative Effectiveness of
Monetary and Fiscal Policies on Output Growth in
Bangladesh : A Co integration and Vector
Error Correction Approach,” Working Paper Series of
Bangladesh Bank, 0-17.
Zestos, George K. and Andrew Geary (2008), “US Monetary
and Fiscal Policy Effectiveness Empirical Evidence
from a Quatrovariate VECM Model,” Annual London
Conference on Money, Economy and Management, 1-18.
描述 碩士
國立政治大學
財政研究所
102255023
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1022550231
資料類型 thesis
dc.contributor.advisor 黃明聖zh_TW
dc.contributor.author (Authors) 林毅智zh_TW
dc.contributor.author (Authors) Lin, Yh Jhihen_US
dc.creator (作者) 林毅智zh_TW
dc.creator (作者) Lin, Yh Jhihen_US
dc.date (日期) 2015en_US
dc.date.accessioned 1-Sep-2015 16:28:57 (UTC+8)-
dc.date.available 1-Sep-2015 16:28:57 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2015 16:28:57 (UTC+8)-
dc.identifier (Other Identifiers) G1022550231en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/78110-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政研究所zh_TW
dc.description (描述) 102255023zh_TW
dc.description.abstract (摘要) 本篇文章用縮減式迴歸來研究財政政策、貨幣政策、和貿易政策對國內政策有效性，以及比較朱衛華 (1990) 政府政策有效性是否和本文相同。
本研究目的有以下兩點，第一、在小型開放經濟體系中，政府推動不同政策下，何種政策長期效果較強。第二、以縮減式迴歸探討不同政策下，其對產出影響。除此之外，從大多數文獻中財政政策與貨幣政策的有效性比較，貨幣政策為強而有效的政策，而在國內貨幣政策有效性是否優於財政政策?
本文使用傳統的St. Louis模型與向量誤差修正模型，估計不同政策的有效性，因為目前常用向量誤差修正模型，所以本研究主要採用向量誤差修正模型，再者時間序列模型皆會檢定期間內是否發生結構性改變，本文採用CUSUM穩定性檢定後，可以發現在2008年第3季後發生結構性改變，推估其結構性改變的原因來自於金融海嘯。
由於估計期間內出現結構性改變，因此參閱方惠蓉 (2002) 將結構性改變分段處理以利於分析結果，而本文將結構性改變分成兩段，分別為金融海嘯前與金融海嘯後。
最後可以從實證得知，三種政策在金融海嘯前皆為正向的經濟影響，強度大小由高至低排序為財政政策、貿易政策和貨幣政策，而財政政策在金融海嘯後是負向的影響，但是貨幣與貿易政策卻是正向的影響，此外貨幣政策在金融海嘯後強度大小位居首位。		zh_TW
dc.description.tableofcontents 謝 辭 II
摘 要 III
第一章 緒論 1
第1.1節 研究背景 1
第1.2節 研究動機 3
第1.3節 研究架構與流程 4
第二章 文獻回顧 6
第2.1節 St. Louis方程式來源及估計方法 6
第2.2節 2000年之後計量模型的修訂 10
第三章 實證模型與變數分析 12
第3.1節 傳統的St. Louis模型 12
第3.2節 向量誤差修正模型 13
第3.3節 單根檢定 14
第3.4節 判定模型的標準 17
第3.5節 共整合檢定 18
第3.6節 變數敘述統計與趨勢 19
第四章 實證結果 25
第4.1節 傳統St. Louis模型估計 25
第4.2節 單根檢定 31
第4.3節 共整合檢定 34
第4.4節 估計結果 37
第五章 結論 56
第5.1節 結論 56
參考文獻 58
附錄一 政策對產出之衝擊函數 64
附錄二 經季節調整後之變數實證結果 66		zh_TW
dc.format.extent 1295682 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1022550231en_US
dc.subject (關鍵詞) St. Louis模型zh_TW
dc.subject (關鍵詞) VECM模型zh_TW
dc.subject (關鍵詞) 財政政策zh_TW
dc.subject (關鍵詞) 貨幣政策zh_TW
dc.subject (關鍵詞) 貿易政策zh_TW
dc.title (題名) 我國總體經濟政策有效性之比較: St. Louis模型之應用zh_TW
dc.title (題名) Effectiveness Comparison of Macroeconomic Policy in Taiwan: St. Louis Model Applieden_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) ㄧ、中文部分
方惠蓉 (2002)，「短期利率模型的台灣實證－無母數法」，國立政治大
學碩士論文。
朱衛華 (1990)，「財政政策的有效性 : St. Louis方程式在我國之應
用」，國立政治大學碩士論文。
李漢珠、陳慧芳 (2001)，「振興經濟方案有助台灣經濟提前復甦」，
《銀行公會會訊》，50期，頁1-6。
李麗華、霍德明、朱浩民 (2011)，「小型開放經濟體系財政政策有效性
之實證研究: 以臺灣為例」，《台灣經濟預測與政策》，41卷2期，
頁51-93。
李桐豪、李智仁、林士傑、唐正道、盧淑惠 (2011)，「金融海嘯後全球
金融改革方向之研究報告」，社團法人台灣金融服務業聯合總會委託
研究報告。
郭照榮 (2013)，「Basel III 對金融穩定及貨幣政策之影響」，中央
銀行委託研究計畫編號：101CBC-金-1。
林向愷 (2002)，「台商投資中國對國內經濟的衝擊」，《現代學術研究
專刊》，12期，頁19-80。
林左裕 (2012)，「貨幣政策與房價的關係」，科技部研究計畫。
林信男 (2014)，「中國在地供應鏈崛起　工研院：台製造業面臨空洞化
隱憂」，《東森新聞》，12月2日，財經版。
施燕 (2014)，「面對房市泡沫的挑戰」，《台灣銀行家》，2月，頁10-
13。
單珮玲、郭嚴今 (2013)，「公共支出結構對經濟成長之影響－以臺灣的
實證研究為例」，《當代財政》，36期，頁61-71。
黃仁德、羅時萬 (2010)，「經濟成長：理論與實證」，國立政治大學經
濟學系專書篇章。
楊奕農 (2009)，《時間序列分析：經濟與財務上之應用》，台北: 雙葉
書廊。
瞿宛文、安士敦 (2003)，《超越後進發展: 台灣的產業升級策略》，台
北: 聯經出版公司。
顏子魁 (編) (1990)，《美國經濟史》，台北：華香園出版社。
羅倩宜、鄭琪芳 (2012)，「外銷訂單海外生產創新高 無助就業」。
《自由時報》。12月31日。

二、英文部分
Ajisafe, R. A. and B. A. Folorunso (2002), “The Relative
Effectiveness of Fiscal and Monetary Policy in
Macroeconomic Management in Nigeria,” The African
Economic and Business Review, 3(1), 23-40.
Akaike, H. (1974), “A New Look at the Statistical Model
Identification,” IEEE Transactions, 19(6), 716-723.
Andersen, L.C. and J. L. Jordan (1968), “Monetary and
Fiscal Actions: A Test of Their Relative Importance in
Economic Stabilization,” Federal Reserve Bank of
St. Louis Review, 50, 11-24.
Anderson, Leonall C. and Keith M. Carlson. (1970), “A
Monetarist Model for Economic Stabilization,” Federal
Reserve Bank of St. Louis, Review, 9(52), 7-25.
Anna, Chingarande (2012), “The Relative Effectiveness of
Monetary and Fiscal Policies on Economic Activity in
Zimbabwe an Error Correction Approach,” International
Journal of Management Sciences and Business Research,
1(5), 1-35.
Barro, Robert J. (1990), “Government Spending in a Simple
Model of Endogenous Growth,” The Journal of Political
Economy, 98(5), 103-125.
Banerjee, Anindya, Juan Dolado, John Galbraith and David
Hendry (1993), “Co-integration, Error Correction, and
the Econometric Analysis of Non-Stationary Data,”
Oxford Bulletin of Economic Press.
Batten, Dallas S. and Daniel L. Thornton (1983),
“Polynomial Distributed Lags and the Estimation of the
St. Louis Equation,” Federal Reserve Bank of St. Louis
Review, 13-25.
Carlson, Keith M. (1975), “The St. Louis Equation and
Monthly Data,” Federal Reserve Bank of St. Louis
Review, 14-17.
Carlson, Keith M. (1978), “Does the St. Louis Equation
Now Believe in Fiscal Policy?,” Federal Reserve Bank
of St. Louis Review, 60(2), 13-19.
Carlson, Keith M. and Scott E. Hein (1980), “Monetary
Aggregates as Monetary Indicators,” Federal Reserve
Bank of St. Louis Review, 62, 12-21.
Cooper, J.P. and S. Fischer. (1974), “Monetary and Fiscal
Policy in the Fully Stochastic St. Louis Econometric
Model,” Journal of Money, Credit and Banking, 6(1), 1-
22.
Corrigan, E. Gerald (1970), “The Measurement and
Importance of Fiscal Policy Changes,” Federal Reserve
Bank of New York. Monthly Review, 133-145.
De Leeuw, Frank and John Kalchbrenner (1969), “Monetary
and Fiscal Actions: A Test of Their Relative
Importance in Economic Stabilization Comment,” Federal
Reserve Bank of St. Louis Review, 51, 6-11.
Dickey, David A. and Wayne A. Fuller (1979),
“Distribution of the Estimators for Autoregressive
Time Series with a Unit Root,” Journal of the
American Statistical Association, 74(366a), 427-431.
Elliott, J. W. (1975), “The Influence of Monetary and
Fiscal Actions on Total Spending: The St. Louis Total
Spending Equation Revisited,” Journal of Money,
Credit and Banking, 7(2), 181-192.
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Integration and Error Correction: Representation,
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