系統識別號 | U0002-0407201515034800 |
---|---|
DOI | 10.6846/TKU.2015.00112 |
論文名稱(中文) | 臺灣之利率平滑化與貨幣政策 |
論文名稱(英文) | Interest Rate Smoothing and Monetary Policy Rule:Empirical Results for Taiwan |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 經濟學系碩士班 |
系所名稱(英文) | Department of Economics |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 103 |
學期 | 2 |
出版年 | 104 |
研究生(中文) | 廖婉廷 |
研究生(英文) | Wan-Ting Liao |
學號 | 602570227 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2015-06-23 |
論文頁數 | 37頁 |
口試委員 |
指導教授
-
萬哲鈺
委員 - 陳思寬 委員 - 柯大衛 |
關鍵字(中) |
利率平滑化 貨幣政策 泰勒法則 兩階段最小平方法 一般動差法 |
關鍵字(英) |
Interest Rate Smoothing Monetary Policy rule Taylor’s rule 2SLS GMM |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本文以臺灣1981年至2014年的隔夜拆款利率為對象,分析臺灣中央銀行調整短期利率的方式是否與泰勒法則的內容相符,並討論短期利率的調整是否具平滑的性質。 研究過程利用兩階段最小平方法與一般動差法,分別對後顧式泰勒法則與前瞻式泰勒法則進行估計。根據實證估計結果,研究所獲得的主要結論為:1、臺灣中央銀行主要依據貨膨脹變化作為調整短期利率的依據,顯示中央銀行貨幣政策主要是以因應通貨膨脹變化為目標。2、前瞻式泰勒法則的估計結果較後顧式泰勒法則能解釋短期利率變化,顯示中央銀行的貨幣政策是以前瞻式的方式決定。3、短期利率的變化具有平滑化的現象,顯示臺灣中央銀行貨幣政策內容具有慣性 (inertia) 的性質。 |
英文摘要 |
This study investigates whether the central bank of Taiwan adjusts the interest rate according to the content of Taylor rule and whether the monetary policy incorporates the property interest rate smoothing. We estimate the backward-looking Taylor’s Rule and forward-looking Taylor’s Rule respectively through the methods of two-stage Least Squares and generalized method of moments. According to the empirical results, it concludes that: (1) the central bank adjusts the short-term interest rate according to the changes in inflation and this implies the anti-inflation policy in the main goal of Taiwan central bank monetary policy. (2) The performance of forward-looking Taylor rule is better than that of backward-looking Taylor rule and this suggests the central bank of Taiwan adopts a forward-looking behavior when setting monetary policy. (3) The central bank of Taiwan adopts interest rate smoothing policy and this implies the monetary policy with the property of inertia. |
第三語言摘要 | |
論文目次 |
目錄 圖表目錄 III 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 3 1.3 研究方法 4 1.4 章節架構 6 第二章 文獻回顧 8 2.1 國外貨幣政策相關文獻 8 2.1.1 有關修正泰勒法則設定內容之文獻 8 2.1.2 貨幣政策法則之探討 10 2.1.3 中央銀行採利率平滑化的理由 14 2.1.4 影響貨幣政策法則之其他因素及中央銀行不對稱偏好 15 2.2 國內貨幣政策相關文獻 16 第三章 實證分析 18 3.1 總體變數之選擇與資料處理 18 3.1.1 短期利率 18 3.1.2 實質產出缺口 18 3.1.3 通貨膨脹率 19 3.2 實證方法 21 3.3 實證結果 23 3.3.1 後顧式泰勒法則估計結果 23 3.3.2 前瞻式泰勒法則估計結果 26 3.3.3 對差分後模型之估計結果 29 第四章 結論 33 參考文獻 35 圖表目錄 圖 1 本研究之流程圖 7 表1 資料型式與來源 20 表2 後顧式泰勒法則之利率平滑模型與序列相關模型估計結果 25 表3 前瞻式泰勒法則之利率平滑模型與序列相關模型估計結果 28 表4 對後顧式泰勒法則差分後的模型之估計與檢定結果 30 表5 對前瞻式泰勒法則差分後的模型之估計與檢定結果 32 |
參考文獻 |
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