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研究生:李騏宇
論文名稱:貨幣政策的不對稱效果 - 分量迴歸門檻模型之應用
論文名稱(外文):Asymmetric Effects of Monetary Policy - The Application of Quantile Regression Threshold Model
指導教授:林馨怡林馨怡引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2016
畢業學年度:104
語文別:中文
論文頁數:56
中文關鍵詞:貨幣政策不對稱效果分量迴歸門檻模型
相關次數:
  • 被引用被引用:1
  • 點閱點閱:209
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
貨幣政策不對稱效果是近年來相當重要的課題。不對稱效果指的有三種,第一種是不同景氣循環下的不對稱效果,第二種是擴張與緊縮性貨幣政策的不對稱效果,最後則是不同規模的貨幣政策衝擊的不對稱效果。本文除了使用 Koenker and Basset (1978) 的分量迴歸模型進行分析外,還使用 Su, Ju and Xu (2014) 的分量迴歸門檻模型分析 1954 年第三季至 2015 年第四季,美國貨幣政策的不對稱效果。實證結果發現美國的貨幣政策確實具有景氣循環下的不對稱效果。另外,我們也發現美國的貨幣政策同時存在第一種與第二種不對稱效果。然而,當我們討論第一種與第三種貨幣政策的不對稱效果是否同時存在時,雖然中低分量下的結果認為不同規模的貨幣衝擊具有不對稱效果,但各分量下的結果並非一致地認為小規模的貨幣衝擊較有效。
1. 緒論               1
2. 文獻回顧             4
3. 分量迴歸門檻模型         16
3.1 分量門檻檢定           17
3.2 估計方法與大樣本性質       22
3.3 門檻參數的概似比檢定       24
4. 實證結果             26
4.1 實證資料             26
4.2 景氣循環下的貨幣政策不對稱效果  28
4.3 緊縮與擴張性貨幣政策的不對稱效果 37
4.4 不同程度的貨幣衝擊的不對稱效果  44
5. 結論               51
參考文獻               53
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