臺灣博碩士論文加值系統

本文分別利用時間數列法與結構模型法來研究臺灣的物價膨脹率與貨幣市場結構。
在時間數列法方面，
我們同時考慮包括貨幣數量，
物價水準，
產出，
名目利率，
美國物價水準與匯率的誤差修正模型，
並利用此模型來捕捉這些變數間的長短期關係，
而非就個別部門分開估計。
在長期關係的認定與估計上，
首先在共積關係係數矩陣的未受限模型中，
藉由檢定確認了變數間存在兩條共積關係。
接著利用單一部門的共積檢定，
確認了貨幣部門與國外部門的顯著性。
由於滿足可認定條件，
我們唯一認定出這兩條共積關係分別是貨幣部門中包含貨幣數量說的貨幣市場均衡式，
與國外部門中兩國物價與匯率的一般關係。
將此兩條長期共積關係代回物價膨脹率的誤差修正式，
遂進行短期關係的估計。
短期關係的估計結果發現，
貨幣部門與國外部門上一期的失衡對於當期物價膨脹率皆有顯著影響。
物價膨脹率在短期有著 AR(2) 的調整過程，
且與上一期的利率差存在顯著的相關性。
另一方面，
我們利用結構模型法，
設定代表貨幣市場供需行為的動態聯立模型，
藉由 3SLS 求得參數的一致性估計式。
估計結果顯示，
貨幣的需求行為符合經濟理論的規範，
即貨幣需求隨著產出增加而增加，
且隨著利率增加而減少。
此外，
央行的權衡性政策在景氣蕭條時，
會增加貨幣供給來刺激景氣。
而景氣過熱時，
會減少貨幣供給以減緩景氣。
且當物價膨脹率超出目標水準時，
亦會減少貨幣供給以便拉回物價膨脹率。

1 前言........................................................................................................................1
2 經濟理論背景........................................................................................................4
3 結構模型法............................................................................................................6
3.1 動態聯立模型， DGP 與共積關係................................................................7
3.2 模型認定.......................................................................................................10
3.3 模型估計 ......................................................................................................14
4 Johansen 的共積分析...........................................................................................23
4.1 結構式與縮減式誤差修正模型....................................................................23
4.2 B 未受限模型(unrestricted model) ................................................................24
4.3 B 受限模型 ............................ ......................................................................26
4.3.1 單一共積向量為已知， B=(\b,\Xi).................................................... 26
4.3.2 單一共積向量滿足某些限制式， B=(H\xi,\Xi).................................27
4.3.3 所有共積向量 (\betaz_1,\ldots,\betaz_G) 的認定， 估計與檢定 .... 29
4.4 初始值的選取 .............................................................................................. 32
4.5 短期參數的認定與估計................................................................................33
5 物價膨脹率之實證研究： Johansen 共積分析..................................................35
5.1 資料說明........................................................................................................35
5.2 ADF I(1) 檢定................................................................................................ 40
5.3 長期共積關係的估計與認定.........................................................................42
5.3.1 B 未受限模型.......................................................................................42
5.3.2 B 受限模型...........................................................................................44
-購買力平價說................................................................................... .45
-國外部門中兩國物價的一般關係.....................................................45
-貨幣數量說與貨幣市場均衡式.........................................................46
-所有共積向量的認定， 估計與檢定................................................48
5.4 短期調整關係的估計.....................................................................................49
5.5 模型的穩定性.................................................................................................52
6 動態聯立模型與 3SLS 估計.................................................................................61
6.1 模型設定........................................................................................................61
6.2 認定條件的檢驗............................................................................................62
6.3 參數估計........................................................................................................63
6.4 檢定................................................................................................................64
7 結論.......................................................................................................................66
參考文獻...................................................................................................................68

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