臺灣博碩士論文加值系統

本文的目的主要是探討台灣的貨幣政策效果以及中央銀行的貨幣政策行為。然而大部份文獻但利用台灣時間序列資料進行不同貨幣法則的實證研究相對缺乏。因此，本論文將問題集中於以下三個主題。第一，在實證資料期間，我國中央銀行貨幣政策效果之探討以及央行在面對金融衝擊時，應採取何種貨幣政策指標。第二，我們試圖將法則公式化，然後評估在實證資料期間，究竟何種貨幣政策法則較能說明央行的貨幣政策行為。第三，評估不同的央行總裁就任期間，貨幣法則的適用性。
為了對貨幣中間目標與貨幣法則的重要性有一清晰的蓋念，論文第二章「臺灣貨幣政策效果之探討」中，我們除了對台灣的貨幣政策詳加討論外，並探討實證期間，我國中央銀行在面對金融衝擊時，究竟採取何種貨幣政策指標。其中利率及貨幣總量兩指標為主要討論焦點。在實證模型及方法上，我們採用Bernanke（1986）所發展出來的結構式向量自我迴歸模型（structural VAR）。實證結果顯示，在實證資料期間，央行在選擇貨幣中間目標時，雖著重貨幣總量，但利率也可視為一輔助指標，同時，我們也推論央行係採取貨幣總量與利率兩者指標混合搭配使用。至於股價及匯率則可視為一訊息變數。
而在第三章「中央銀行貨幣政策行為之研究─台灣1983年以來貨幣政策法則之實證研究」乙文中，我們引進法則的形式，分析實證資料期間，台灣中央銀行的貨幣政策行為。在模型上，我們參考McCallum (1987，1988)之「貨幣基數成長法則」及Taylor(1993)「利率法則」之作法，分別建構一套貨幣供給法則與利率法則，並建構一個小型的金融模型來探討台灣的實際現象。我們試圖將貨幣供給法則與利率法則之適用性做一比較分析，以觀察其優劣。此外，雖然央行的貨幣政策，皆是以維持物價穩定及金融安定為其政策目標。但真正在執行貨幣政策時，央行總裁會依當時的經濟金融情勢的變化而採取不同的貨幣政策。由於台灣央行總裁有固定五年的任期，而我們的實證資料期間歷經了6位總裁。因此，對於不同期間，不同的央行總裁所採行的貨幣政策法則也不盡相同。因此，本章也針對央行總裁之就任期間將樣本分成若干組。然後探討不同的貨幣法則在這些央行總裁期間的適用性。最後，本章也以模擬分析來評估央行採用何種貨幣法則較能有效穩定物價及金融安定。在實證方法上，本章採用GMM。
實證結果顯示，全樣本(1983:1~1999:12)期間，不論採用貨幣供給法則或利率法則，所獲得之效果差不多，均能有效控制物價與匯率。但子樣本期間中，張繼正總裁 (1984:6~1989:5)期間，以利率法則來穩定物價與匯率似乎優於貨幣供給法則。而謝森中總裁 (1989:6~1994:5)期間，則採用貨幣供給法則較能說明中央銀行的貨幣政策行為。至於梁國樹、許遠東總裁 (1994:6~1998:2)期間，由於其在任期間國內金融情勢有很大的變化。因此，不論採用何種法則，其效果均不佳。故我們很難區分何種法則較佳。而1998年(彭淮南總裁)起，採用利率法則反而較能描繪中央銀行的貨幣政策行為。此外，針對政策反應函數所估計出的調整係數之相對值來看，均顯示我國中央銀行在執行貨幣政策時，係以對內對外價格穩定為主要考量。
由於我國從1989年起，央行容許金融機構間自由報價來決定拆款利率以後，貨幣政策之法則已非純粹的貨幣總量法則，而是兼採貨幣總量及利率兩種混合。因此，我們的結果可供中央銀行及學術機構參考。

目 錄
第 一 章 諸論1
附註4
第 二 章 臺灣貨幣政策效果之探討5
第一節 前言 6
第二節 實證模型 10
第三節 資料與實證方法 13
第 3.1 節 資料13
第 3.2 節 實證方法14
第四節 實證結果 16
第五節 結論 29
附註30
第 三 章 中央銀行貨幣政策行為之研究─
台灣1983年以來貨幣政策法則之實證研究31
第一節 前言 31
第二節 實證模型 39
第 2.1 節 貨幣供給法則39
第 2.2 節 利率法則41
第三節 資料與實證方法 43
第 3.1 節 資料43
第 3.2 節 實證方法46
第四節 實證結果 48
第 4.1 節 不同樣本期間下，
各變數的一些統計性質48
第 4.2 節 中間目標與最終目標變數
之間的關聯50
第 4.3 節 政策反應函數54
第 4.4 節 總體金融模型60
第 4.5 節 模擬結果62
第五節 結論 68
附註70
第 四 章 結論與建議 73
參考文獻76
表 次
表2.1ADF單根檢定19
表2.2各變數當期誤差相關係數矩陣22
表2.3同期關係估計結果22
表2.4物價的預測誤差變異數分解24
表2.5支出的預測誤差變異數分解24
表2.6股價的預測誤差變異數分解24
表2.7匯率的預測誤差變異數分解25
表2.8利率的預測誤差變異數分解25
表2.9貨幣的預測誤差變異數分解25
表3.1歷年主要總體濟與金融目標與實績36
表3.2各經濟變數的統計值(實際歷史資料)49
表3.3a中間目標與最終目標之相關性分析52
表3.3b因果關係檢定--被解釋變數為最終目標變數53
表3.4a政策反應函數(貨幣供給法則) 57
表3.4b政策反應函數(利率法則) 58
表3.5a總體模型(貨幣供給法則) 61
表3.5b總體模型(利率法則) 61
表3.6a各經濟變數的模擬統計值-貨幣供給法則之模擬結果64
表3.6b各經濟變數的模擬統計值-利率法則之模擬結果 65
圖 次
圖2.1消費者物價指數(1991=100) 17
圖2.2工業生產指數-總指數(1991=100)17
圖2.3股票市場股價指數(民國55年=100)17
圖2.4貨幣市場利率-金融業拆款利率18
圖2.5每日美元即期匯率-銀行間收盤匯率-平均 18
圖2.6貨幣供給額-M2-日平均18
圖2.7利率對各變數的衝擊反應27
圖2.8貨幣數量對各變數的衝擊反應28
圖3.1貨幣供給額M2目標區56
圖3.2貨幣供給法則(模擬值與實際值之配適結果) 66
圖3.3利率法則(模擬值與實際值之配適結果) 67

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