臺灣博碩士論文加值系統

過去研究總體經濟變數模型主要以線性模型居多，但自Granger and Teräsvirta（1993）與Teräsvirta（1994）提出平滑轉換迴歸模型（Smooth Transition Regression Model，簡寫成STR）後，應用非線性模型來探討總體經濟變數逐漸形成主流，而有鑒於過去研究中國大陸貨幣需求函數多以線性模型來探討，因此本研究改用非線性方法來加以診斷、檢定中國大陸貨幣需求是否存在非線性模型，並與線性模型來相互比較，而實證結果發現，在共整合方面，如Johansen共整合檢定法檢定出，在M1實質貨幣數量、實質國內生產毛額及存款利率間，具有一條共整合關係式，存在著長期均衡關係；另外以門檻共整合檢定法檢定出，此模型在某一特定門檻值下，具有非對稱效果之門檻共整合關係。而在模型之配適上，以非線性之LSTR模型較為適合，並且較線性模型來解釋總體經濟涵義有更好的檢定能力。

Most models of the past research on macroeconomic variables are linear ones. However, since Granger and Teräsvirta proposed the smooth transition regression(STR) methodology, discussing macroeconomic variables by applying nonlinear models are going to be the mainstream. Because the money demand function of mainland China was almost discussed by linear models in the past research, we will discuss it by nonlinear models to test and diagnose if the money demand of mainland China exists any nonlinear forms which will be compared with other linear models. Empirical results indicate that real M1,real GDP, and saving deposit rate have a long term relationship under some specific threshold value. On the selection of choosing models, it is more suitable to select the LSTR model which has better capacity than other linear models to explain macroeconomic meanings.

目 錄
第一章 緒論..................................................1
第一節 研究動機及目的........................................1
第二節 研究流程與步驟........................................2
第三節 本文架構..............................................2
第二章 文獻回顧..............................................3
第一節 中國大陸相關文獻回顧..................................3
第二節 國內相關文獻回顧......................................4
第三節 國外相關文獻回顧......................................6
第三章 研究方法..............................................9
第一節 恆定性檢定(單根檢定) .................................9
第二節 共整合檢定...........................................13
第三節 非線性模型...........................................19
第四章 實證結果與分析.......................................23
第一節 資料來源與處理.......................................23
第二節 資料期間與概述.......................................25
第三節 模型設立.............................................28
第四節 恆定性檢定(單根檢定) ................................28
第五節 共整合檢定...........................................30
第六節 模型檢定.............................................35
第七節 模型參數估計.........................................39
第五章 結論與建議...........................................44
第一節 結論.................................................44
第二節 建議.................................................44
參考文獻....................................................45

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