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系統識別號 U0002-0102201215115000
中文論文名稱 探討泰勒法則下總體經濟風險對美貨幣政策適用性
英文論文名稱 The effect of Macroeconomic Risk on the applicability of Taylor's Rule to U.S Monetary Policy
校院名稱 淡江大學
系所名稱(中) 美洲研究所碩士班
系所名稱(英) Master's Program, Graduate Institute of the Americas
學年度 100
學期 1
出版年 101
研究生中文姓名 鄭家琦
研究生英文姓名 Chia-Chi Cheng
學號 698250031
學位類別 碩士
語文別 中文
口試日期 2012-01-03
論文頁數 74頁
口試委員 指導教授-柯大衛
委員-陳思寬
委員-萬哲鈺
中文關鍵字 泰勒法則  Baa-Aaa利差  泰德利差  一般最小平方法  聯邦資金利率 
英文關鍵字 Taylor’s Rule  Baa-Aaa spread  Ted spread  Ordinary least squares  Federal Funds Rate 
學科別分類
中文摘要 自2007年8月金融危機起,金融機構間由於深恐交易對手風險影響,導致銀行體系之準備金無法即時轉換為貸款,故聯準會對銀行大舉融資,此舉雖提高貨幣的流通性,仍無法解決信用緊縮的問題,進而促使外界更加關注聯準會動向。本研究運用一般最小平方法探討1988年至2010年間,泰勒法則加入Baa-Aaa利差與泰德利差後,是否能有效改善或更準確地預測美貨幣政策的動向。泰勒法則為預測聯邦資金利率趨勢之模型,以貨幣政策兩項目標之產出缺口與通貨膨脹缺口變數作反應方程式,當物價實際值高於目標值時,應調高短期利率;當產出低於目標值時,則調降短期利率。迴歸結果顯示Baa-Aaa利差與資金利率間存在領先關係,且具有負相關性,此結果與預期相同,而泰德利差與資金利率因期間差異,產生正負兩極化的相關性反應,兩種反應可能與經濟情勢相關,至於將Baa-Aaa利差加入泰勒法則作2003年至2010年資金利率的預測基礎時,實證結果顯示其預測出較原本的泰勒法則更為準確的貨幣政策動向。
英文摘要 Taylor’s Rule has long been considered a reliable guide for the formulation of monetary policy. In the past, this rule suggested specific changes in short term interest rates determined exclusively by the behavior of inflation and real GDP relative to their desired values. However, the recent financial crisis and attendant economic downturn has forced scholars to consider whether this rule should be extended to include certain measures of macroeconomic risk. This thesis addresses the question of whether risk is an important factor in determining optimal US monetary policy. It does so by looking at how Taylor’s Rule is affected by the inclusion of certain risk measures, such as the TED spread and the Baa-Aaa spread on interest rates for the period 1988-2010. The inclusion of risk as an important part of the monetary rule is first broached by theoretical arguments using an elementary macroeconomic model. The issue is then approached empirically by looking at US data over the recent period. It is found that commercial risk, defined as the Baa-Aaa interest rate spread, is consistently negatively related to the Federal Funds rate – something which is not true of the TED spread. The TED-based risk measure has an unusually strong and positive relation with the Fed Funds rate over the early period of the sample, but shifts to a decidedly negative correlation during the latter part of the period. This makes the TED spread problematic for inclusion in Taylor’s Rule. It is found that the TED-based risk measure is sensitive to the timing business cycle. By contrast, inclusion of the Baa-Aaa rate spread as a risk measure in OLS regressions significantly improves the prediction of the Fed Funds rate and points to this spread as a preferred measure of risk to be added to the Taylor Rule in formulating monetary policy in the US.
論文目次 目次 i
表次 iii
圖次 v
附錄目次 vii
第一章 緒論 1
第一節 研究背景 4
第二節 研究動機與目的 8
第三節 研究範圍與限制 13
第二章 文獻回顧 15
第一節 泰勒法則與外國央行相關之文獻 16
第二節 泰勒法則美國實證文獻 22
第三章 泰勒法則基礎理論 29
第一節 泰勒法則操作過程 30
第二節 泰勒法則理論模型 32
第三節 調整後泰勒法則理論模型 37
第四章 實證結果與分析 41
第一節 資料來源與研究方法 42
第二節 泰勒法則實證結果與分析 45
壹、最適資金利率適用性評估 48
貳、Baa-Aaa利差適用性評估 51
叁、泰德利差適用性評估 53
肆、Baa-Aaa利差與泰德利差適用性評估 57
第三節 預測結果比較 59
第五章 結論 61
附錄 67
參考文獻 70

表次
表2-1:泰勒法則與外國央行貨幣政策之相關文獻 ............................................... 19
表2-2:泰勒法則美國相關實證文獻 ....................................................................... 26
表4-1:資料來源表 ................................................................................................... 42
表4-2:泰勒法則與聯邦資金利率一般最小帄方法迴歸分析表 ........................... 46
表4-3:泰勒法則與聯邦資金利率一般最小帄方法迴歸分析表 ........................... 47
表4-4:最適與調整後泰勒法則預測值一般最小帄方法迴歸分析表 ................... 60

圖次
圖1-1:資金利率與最適泰勒法則推算值趨勢圖 ..................................................... 3
圖1-2:LIBOR-OIS 利差趨勢圖 ................................................................................ 7
圖1-3:金融風險關係圖 ........................................................................................... 12
圖3-1:泰勒法則操作過程圖 ................................................................................... 30
圖4-1:Baa-Aaa 利差與泰德利差趨勢圖 ................................................................ 44
圖4-2:資金利率與最適資金利率推算值趨勢圖 ................................................... 48
圖4-3:美國房屋出售價格趨勢圖 ........................................................................... 50
圖4-4:資金利率推算值趨勢圖 (Baa-Aaa 利差) ................................................... 51
圖4-5:Baa-Aaa 利差與聯邦資金利率交叉自我相關圖 ........................................ 52
圖4-6:資金利率推算值趨勢圖 (泰德利差) .......................................................... 54
圖4-7:資金利率推算值趨勢圖 (Baa-Aaa 與泰德利差) ....................................... 57
圖4-8:最適與調整後資金利率比較圖 ................................................................... 59

附錄目次
附錄一:資金利率實際值與最適資金利率之模型CUSUMSQ 檢測圖 ................ 67
附錄二:資金利率實際值與最適資金利率之模型CUSUM 檢測圖 ..................... 68
附錄三:敘述統計表 ................................................................................................. 69
參考文獻 中文參考文獻:
書籍:
萬哲鈺、高崇瑋,2002。《貨幣銀行學_理論與實際》。臺北市:華泰。

期刊:
侯德潛,2005。〈開放經濟之貨幣政策法則─台灣的實證分析〉,《中央銀行季刊》,第27卷,第2期。

黃富櫻,2005。〈美國Fed的公開市場操作〉,《國際金融參考資料》,第50輯,頁85-91。

黃富櫻,2009。〈簡介「金融穩定」與「總體審慎」〉,《國際金融參考資料》,第60輯,頁119-121。

葉秋南,2009。〈美國金融危機時期的貨幣政策〉,《台灣經濟論衡》,第7卷,第11期,頁20-39。

張立君、華靜,2000。〈泰勒法則與歐元區統一貨幣政策決策〉,《國際商務-對外經濟貿易大學學報》,第6期。

楊斯淵,2009。〈泰勒法則在實務上的運用〉,《資產管理月刊》,第6期,頁68-71。

劉邦海,2009。〈Fed信用寬鬆政策對各國處理信用緊縮問題之啟示〉,《國際金融參考資料》,第58輯,頁44-62。

網路:
陳柏誠 (2008) 。〈經濟衰退回顧╱2000年 網路泡沫化 新貴身價一夕暴跌〉。《自由時報_電子報》。取自: http://www.libertytimes.com.tw/2008/new/jul/21/today-e4-2.htm (2011年05月17日)

無名 (2011) 。〈美國未祭出QE3但採寬鬆政策的效用〉。《中華日報社論》。取自: http://www.cdns.com.tw/20110811/news/edit/104000002011081021141199.htm (2011年10月25日)

盧永山 (2008) 。〈通膨、高油價戰爭、高利率 20世紀 美經濟衰退22次〉。《自由時報_電子報》。取自: http://www.libertytimes.com.tw/2008/new/jul/21/today-e4.htm (2011年05月17日)


英文參考文獻:
報告:
Antonio, F., 2010. Some empirical evidence of the euro area monetary policy, Munich: Munich Personal RePEc Archive.

Antonio, P. & Bhaskara, R., B., 2011. The effects of Minsky moment and stock prices on the US Taylor Rule, Munich: Munich Personal RePEc Archive.

Belke, A. & Klose, J., 2009. Does the ECB Rely on a Taylor Rule? Comparing Ex-post with Real Time Data, Berlin.

Bernanke, B.S., 2010. Monetary Policy and the Housing Bubble, Atlanta: Annual Meeting of the American Economic Association.

Bundick, B., 2007. Risk-Adjusted Futures and Intermeeting Moves, Kansas: Federal Reserve Bank of Kansas City.

Christian, D., Alexander, E. & Damir, K., 2010. The Fed’s TRAP: A Taylor-type Rule with Asset Prices, Munich: Munich Personal RePEc Archive.

Curdia, V. & Woodford, M., 2009. Credit spreads and monetary policy, Massachusetts: National Bureau of Economic Research.

David, S., 2011. Real time data, regime shifts, and a simple but effective estimated Fed policy rule, 1969-2009, Munich: Munich Personal RePEc Archive.

Dincer, N. & Eichengreen, B., 2009. Central Bank Transparency: Causes, Consequences and Updates, Massachusetts: National Bureau of Economic Research.

Faust, J. & Svensson, L.E.O., 1999. The Equilibrium Degree of Transparency and Control in Monetary Policy, Massachusetts: National Bureau of Economic Research.

L’oeillet, G. & Licheron, J., 2010. The asymmetric relationship between oil prices and activity in the EMU: Does the ECB monetary policy play a role?, Munich: Munich Personal RePEc Archive.

SAUER, S. & STURM, J. E., 2003. Using Taylor Rules to Understand ECB Monetary Policy, Munich: Center for Economic Studies.

Taylor, J.B., 2007. Housing and Monetary Policy, California: Stanford Institute for Economic Policy Research.

文件:
Kimiyuki, A., 2008. Estimation of Taylor Rule (Case of Japan).

McCallum, B.T., 2001. Japanese Monetary Policy.

Nikolov, K., 2002. Monetary Policy Rules at the Bank of England.

Weise, C. & Krisch, D., 2010. The Monetary Policy Response to Changes in Credit Spreads.

書籍:
Fite, G.C. & Reese, J.E., 1960. An Economic History of the United States 1st ed., Boston: Houghton Mifflin Company.

Taylor, J.B., 2009. Getting Off Track: How Government Actions and Interventions Caused, Prolonged, and Worsened the Financial Crisis, California: Hoover Institution Press.

會議論文:
Buiter, W.H., 2008. Central banks and financial crises. In Central Banks and Financial crises. Maintaining Stability in a Changing Financial System. pp. 5-49.

期刊:
Antonio, F., 2010. The European Central Bank, the Federal Reserve and the Bank of England: Is the Taylor Rule a Useful Benchmark for the Last Decade? Journal of Economics and Econometrics, 53(2), pp. 1-31.

Bullard, J., 2010. Three lessons for Monetary policy from the Panic 2008. Federal Reserve Bank of St. Louis Review, 92(3), pp. 155-163.

Campbell, J.Y. & Cocco, J.F., 2004. How Do House Prices Affect Consumption? Evidence From Micro Data. Journal of Monetary Economics, (54), pp. 591-621.

Clement, P., 2010. The term “macroprudential”: origins and evolution. BIS Quarterly Review, pp. 59-66.

Dwyer, G.P., 1993. Rules and Discretion in Monetary Policy. Federal Reserve Bank of St. Louis Review, 75(3), pp. 3-14.

Gali, J., Lopez-Salido, J.D. & Valles, J., 2003. Technology shocks and monetary policy: assessing the Fed’s performance. Journal of Monetary Economics, 2003, pp. 723-743.

Hetzel, R.L., 2000. The Taylor Rule: Is It a Useful Guide to Understanding Monetary Policy? Federal Reserve Bank of Richmond Economic Quarterly, 86(2).

Sengupta, R. & Tam, Y.M., 2008. The LIBOR-OIS Spread as a Summary Indicator. Federal Reserve Bank of St. Louis Economic Synopses, (25), pp. 1-3.

Taylor, J.B., 1993. Discretion versus policy rules in practice. Public Policy, 39, pp. 195-214.

Taylor, J.B., 2010. Macroeconomic Lessons from the Great Deviation. NBER Macroconomics Annual 2010, 25, pp. 387-395.

Taylor, J.B., 1996. Policy Rules as a Means to a More Effective Movetary Policy. , 14(1), pp. 35-39.

Taylor, J.B. & Williams, J.C., 2009. A Black Swan in the Money Market. American Economic Journal: Macroeconomic, 1(1), pp. 58-83.

Tsuji, C., 2011. An Investigation on the Monetary Policy and Short-term Interest Rates in Japan. journal of Public Administration and Governance, 1(1), pp. 64-70.
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