結構FAVAR模型與台灣貨幣政策分析

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陳貞瑜(CHEN-YU CHENG) 查詢紙本館藏

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論文名稱

結構FAVAR模型與台灣貨幣政策分析
(Analying the measuring the effects of monetary policy in Taiwan:An application of the structural FAVAR model)

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摘要(中)

本文以 Stock and Watson (2005)的方法為基礎,分析台灣的貨幣政策。除了依循 Stock and Watson (2005)的作法外,我們也考慮到台灣為小型開放國家 ,易受大國的影響,且美國為我們主要的貿易國之一,故考慮加入美國資料,並比較有無美國資料下的台灣貨幣政策分析。實證結果顯示,加入美國後的實證結果較符合經濟理論,且在考慮美國資料之下 ,使貨幣供給 (M2)對各變數的變異解釋優於隔夜拆款利率,表示貨幣供給對各變數的波動解釋的能力高於隔夜拆款利率。若央行以貨幣供給為貨幣工具,則政策的直接影響層面會較隔夜拆款利率大。在匯率分析中,我們發現貶值反而導致緊縮的現象,但外匯的操作是一種內生性質很高的的變數,再加上外匯操作常伴以貨幣市場的沖銷政策,因此我們很難去探討匯率變動對經濟變數的影響。此結果可作為未來貨幣政策分析的一種參考。

摘要(英)

In this paper, we adopt the structure FAVAR model to analysis the Taiwan’s
monetary policy proposed by Stock and Waston (2005). In addition to follow
Stock and Watson (2005) approach, We also consider Taiwan as a small open
country, it is vulnerable to the impact of larger country. The U.S as one of our
major trading countries, so we consider joining the U.S. data to compare with or
without this data under monetary policy analysis. In the result, we knowe the result
is more consistent with the economic theory after adding the US’s data. For
exchange rate analysis, we found that depreciation will lead to depression, but
the foreign exchange operation is a highly endogenous variable, in addition the
foreign exchange operates often accompanied by sterilized intervention. Therefore,
it is difficult to explore the exchange rate how to effect the economic variables.
The results can be used as a reference for monetary policy analysis.

關鍵字(中)

★ 結構FAVAR模型
★ 貨幣政策分析

關鍵字(英)

★ monetary policy analysis
★ structure FAVAR model

論文目次

目錄
1緒論 1
1.1研究背景與動機 ....................................... 1
1.2研究方法與主要結果 ................................... 2
2文獻回顧 4
2.1 VAR模型的貨幣政策分析 ................................ 4
2.2因子模型 ............................................ 5
2.3因子模型的貨幣政策分析 ................................ 6
3實證模型 8
3.1動態因子模型 ........................................ 8
3.2因子向量自我迴歸模型(FAVAR)............................ 10
3.3估計因子和 FAVAR模型的係數 ............................ 11
3.4結構式FAVAR的認定、估計和檢定 .......................... 13
3.5同期變動的時間限制 ................................... 14
3.6過度認定限制的檢定 ................................... 15
4實證結果 17
4.1資料說明 ............................................ 17
4.2台灣資料實證 ........................................ 18
4.2.1因子數目 ...................................... 18
4.2.2預測誤差變異分解 ................................ 18
4.2.3 BBE架構的實證結果 .............................. 19
4.3台灣和美國資料實證 ................................... 21
4.3.1因子數目 ...................................... 21
4.3.2預測誤差變異分解 ................................ 22
4.3.3 BBE架構的實證結果 .............................. 22
5結論 25
A變數選取與處理方法 31
B台灣資料的實證結果 36
C台灣加美國資料的實證結果 52

參考文獻

參考文獻
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指導教授

徐之強

審核日期

2010-6-29

推文