本論文主要探討美國貨幣政策對美國及亞洲主要國家(中、日、台3個國家)之經濟成長(gross domestic product, GDP)影響是否存在非線性關係。本文選取美國聯邦基金利率(federal fund rate, FFR)為美國貨幣政策之代理變數，以FFR及四個國家之消費者物價指數(consumer price index, CPI)為解釋變數。研究方法則採用Granger and Teräsvirta(1993)及Teräsvirta(1994)所提出的平滑移轉迴歸模型(Smooth Transition Auto Regression, STAR)，檢驗FFR對四個國家之GDP是否有顯著影響力，並說明不同解釋變數對四個國家之GDP有無關聯性。

經實證結果發現，FFR對四個國家之GDP影響存在非線性關係，且皆有顯著門檻值。其中，FFR對台灣GDP之轉換速度為四個國家中最大，受衝擊後調整回均衡值最快，衝擊時間最短；FFR對美國GDP之轉換速度為四個國家最小，受衝擊後調整回均衡值較慢，衝擊時間較長。在不同LSTAR(Logistic Function STAR)模型下，解釋變數對四個國家之GDP有不同關聯性影響。其中又以小型開放經濟體台灣，對於來自大國的衝擊反應最敏感，有較高的解釋能力；其餘中、日、美皆屬大國，解釋能力則較不顯著。

Theme of this study is to verify the non-liner relationship between monetary policy and gross domestic product(GDP) in USA and three major Asian countries(China, Japan and Taiwan). This research uses federal fund rate(FFR) as proxy variable on behalf of monetary policy and four countries’ consumer price indexes(CPI) as explanatory variables. Smooth Transition Auto Regression(STAR) Model, which was developed by Granger, Teräsvirta(1993) and Teräsvirta(1994), is used to examine FFR and GDP of four countries if there is any significant correlation effect or not. It may also explain if there is any correlation between USA and three Asian countries.

Our research suggest that non-liner relationship is obvious between FFR and GDP of four countries; and its threshold is significant. It was noted that Taiwan shows the greatest conversion effect from FFR onto GDP while as USA is minor. By using different LSTAR(Logistic Function STAR) models. It was noted that explanatory variables to four countries’ GDP has different correlation effects, it appears that Taiwan has got a significant impact due to its open a small-scale economy. The impact on bigger countries, USA, China and Japan shows a relatively minor.

謝辭 I
中文摘要Ⅱ
英文摘要 Ⅲ
目錄 Ⅴ
表目錄 Ⅷ
圖目錄 Ⅸ	


目錄
第一章、緒論 1
第一節、研究動機 1
第二節、研究目的 4
第三節、研究架構 6
第四節、研究流程 7	

第二章、文獻回顧與探討 8
第一節、貨幣理論基礎 8
第二節、貨幣政策之代理變數 11
第三節、貨幣政策不對稱效果 13
第四節、貨幣政策傳遞機制 14
第五節、美國貨幣政策 18	

第三章、樣本選取與研究方法 21
第一節、資料期間及樣本選取 21
第二節、單根檢定法	 22
第三節、平滑移轉迴歸模型 25	

第四章、實證研究與分析 33
第一節、資料來源與敘述性統計 33
第二節、單根檢定結果 42
第三節、線性檢定 44
第四節、轉換函數之檢定 46
第五節、模型之參數估計與檢定 50
	
第五章、結論與建議 57
第一節、研究結論 57
第二節、研究建議 60
	
參考文獻 61
中文文獻 61
英文文獻 62


表目錄
表1-1、2006~2009年世界經濟成長率 5
表4-1、樣本資料說明 35
表4-2、FED重大政策事件下貨幣政策之時間落後 37
表4-3、樣本資料敘述統計 41
表4-4、各變數之單根檢定 42
表4-5、各變數一次差分後之單根檢定 43
表4-6、LM-Type F統計量與p值之線性檢定 45
表4-7、轉換函數之檢定表 47
表4-8、FFR對美國GDP影響之參數估計結果 51
表4-9、LSTAR模型下FFR及美國CPI對美國GDP之影響 51
表4-10、FFR對中國GDP影響之參數估計結果 52
表4-11、LSTAR模型下FFR及中國CPI對中國GDP之影響 53
表4-12、FFR對日本GDP影響之參數估計結果 54
表4-13、LSTAR模型下FFR及日本CPI對日本GDP之影響 54
表4-14、FFR對台灣GDP影響之參數估計結果 55
表4-15、LSTAR模型下FFR及台灣CPI對台灣GDP之影響 56


圖目錄
圖1-1、1954~2008年美國聯邦基金利率 3
圖1-2、研究流程 7
圖2-1、貨幣政策的時間落後與經濟不穩定 9
圖2-2、貨幣政策工具與貨幣政策目標 10
圖2-3、Bank of England(1999)貨幣政策傳遞機制 16
圖2-4、Kuttner and Mosser(2002)貨幣政策傳遞機制 17
圖2-5、2005(1)~2008(11)美國聯邦目標利率vs.美國聯邦基金利率 20
圖3-1、線性檢定流程 28
圖3-2、羅吉斯函數圖形 30
圖3-3、指數函數圖形 31
圖4-1、1996~2008年FFR vs.美國GDP走勢圖 36
圖4-2、1996~2008年FFR vs.亞洲主要國家GDP走勢圖 36
圖4-3、1996~2008年美國CPI vs.美國GDP走勢圖 37
圖4-4、1996~2008年中國CPI vs.中國GDP走勢圖 38
圖4-5、1996~2008年日本CPI vs.日本GDP走勢圖 38
圖4-6、1996~2008年台灣CPI vs.台灣GDP走勢圖 39
圖4-7、LSTAR模型-FFR對美國GDP之轉換函數 48
圖4-8、LSTAR模型-FFR對中國GDP之轉換函數 48
圖4-9、LSTAR模型-FFR對日本GDP之轉換函數 49
圖4-10、LSTAR模型-FFR對台灣GDP之轉換函數 49

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