臺灣博碩士論文加值系統

本研究根據Boschen 和Mills(1995)的方法檢定長期貨幣中立性，Boschen 和Mills(1995)於模型中進一步探討實質變數的衝擊在長期下對產出與貨幣變數的影響。我們以台灣的季資料進行檢定，樣本期間為1981:1至2001:4，所採用的研究變數包括實質國內生產毛額、實質面變數(實質政府最終消費支出(CG)、實質商品及勞務輸出(EX)、物價變動―輸入物價平減指數(PMCH)、受雇者勞動生產力指數―工業(JLPIND)、勞動力(LF))，貨幣面變數(M1A、M1B、M2)以及商業本票利率(初級市場(31－90天)(CPIR)。根據PP單根檢定與KPSS檢定，除了變數CPIR與PMCH外，所有數列資料皆是I(1)數列。我們採用Phillips和Ouliaris(1990)與Hansen(1992)共整合之殘差檢定，以及Johansen最大概似估計檢定法，檢定實質變數與名目變數組合間是否具共整合關係，來檢定長期貨幣中立性。根據本研究的實證結果顯示，我們無法拒絕長期貨幣中立性在台灣是成立的。

This paper uses the Boschen and Mills(1995) to test for long-run monetary neutrality allowing for the effects of real shocks on the long-run behavior of both output and monetary aggregates. We use quarterly Taiwan data from 1981:1 to 2001:4. Variables under consideration include real GDP, real shock variables,e.g. Real Government Consumption Expenditure(CG)、Real Exports of Goods & Services(EX)、Change in Prices - Import Price Deflator(PMCH)、Index of Labor Productivity—Industry(JLPIND)、Labor Force(LF), monetary shock variables, e.g. M1A、M1B、M2, and the 31-90day Commercial paper rate(CPIR). According to the PP unit root test and KPSS test, all data series except CPIR and PMCH are I(1). We use Phillips and Ouliaris(1990)，Hansen(1992) residual-based tests for cointegrating，and Johansen maximum likelihood estimation to examine if long-run monetary neutrality holds in Taiwan during sample period . Based on these tests, we fail to reject long-run monetary neutrality in Taiwan.

目錄
頁次
論文題目 …………………………………………………………………………… I
論文口試委員審定書……………………………………………………………….. II
授權書……………………………………………………………………………….. III
簽署人須知………………………………………………………………………….. IV
誌謝…………………………………………………………………………………...V
中文摘要…………………………………………………………………………….. VI
英文摘要…………………………………………………………………………….. VII
目錄..……..…………………………………………………………………………. VШ圖目錄 ……………………………………………………………………………… X
表目錄 ……………………………………………………………………………… XI
第壹章 緒論………………………………………………………………………..1
第一節 研究背景與動機 ………………………………………………………1
第二節 研究目的 ………………………………………………………………3
第三節 研究步驟 ………………………………………………………………4
第四節 研究範圍與限制 ………………………………………………………5
第貳章 文獻探討……………………………………………………………….…6
第一節 貨幣與產出關係的理論探討 …………………………………………6
第二節 國外文獻 ……………………………………………………………... 8
第三節 國內文獻……………………………………………………………….11
第參章 模型的建立……………………………………………………………...15
第肆章 實證方法.………………………………………………………………...20
第一節 資料的統計特性.………………………………………………………20
一、 定態數列.……………………………………………………………..20
二、 非定態數列...…………………………………………………………21
第二節 單根檢定...……………………………………………………………..21
一、 PP檢定法 ..………………………………………………………….22
二、 KPSS檢定……………………………………………………………25
第三節 共整合之殘差檢定 ………………………………………………..….27
第四節 共整合向量係數的檢定……………………………………………….30
第五節 Johansen最大概似估計檢定法.…..………………………………....32
一、 最大概似法..………………………………………………………...32
二、 向量誤差修正模型 ………………………………………………...34
三、 共整合向量個數之檢定 …………………………………………...36
第六節 研究變數.……………………………………………………………..38
一、 資料來源 …………………………………………………………...38
二、 資料的處理.…………………………………………………………38
三、 變數說明.……………………………………………………………40
第伍章 實證結果分析.…………………………………………………………44
第一節 變數的時間趨勢圖形...………………………………………………44
第二節 PP單根檢定與KPSS檢定法..………………………………………49
第三節 長期貨幣中立性檢定..……………………………………………….53
第四節 共整合之殘差檢定與共整合向量係數檢定 ……………………….54
第五節 共整合向量個數檢定 ……………………………………………….62
第六節 長期貨幣中立性檢定結果 ………………………………………….67
第陸章 結論…………………………………………………………………….70
參考文獻…………………………………………………………………………..71
圖目錄
頁次
圖5.1.1：變數水準值的時間趨勢圖形 ……………………………………………47
圖5.1.2：變數一階差分的時間趨勢圖形 …………………………………………48
表目錄
頁次
表4.7.1：資料來源 …………………………………………………………………39
表4.7.2：變數處理 …………………………………………………………………40
表5.2.1：變數水準值的PP單根檢定結果 ……………………………………….50
表5.2.2：KPSS檢定結果 ………………………………………………………….52
表5.2.3：變數經一階差分後的PP單根檢定結果 ……………………………….53
表5.4.1：貨幣變數組合-共整合之殘差檢定 ……………………………………..57
表5.4.2：產出、貨幣面變數組合-共整合之殘差檢定 …………………………..58
表5.4.3：產出、貨幣面變數組合-共整合向量係數檢定 ………………………..58
表5.4.4：實質變數組合-共整合之殘差檢定 ……………………………………..58
表5.4.5：實質變數組合-共整合向量係數檢定 …………………………………..59
表5.4.6：貨幣、實質面變數組合-共整合之殘差檢定 …………………………..59
表5.4.7：貨幣、實質面變數組合-共整合向量係數檢定 ………………………..60
表5.4.8：產出、實質面變數組合-共整合之殘差檢定 …………………………..60
表5.4.9：產出、實質面變數組合-共整合向量係數檢定 ………………………..61
表5.4.10：產出、貨幣、實質面變數組合-共整合之殘差檢定 …………………61
表5.4.11：產出、貨幣、實質面變數組合-共整合向量係數檢定 ………………62
表5.5.1：產出、實質面變數組合最適落後期數選取結果………...……………..65
表5.5.2：產出、貨幣、實質面變數組合最適落後期數選取結果...……………..66
表5.5.3：產出、實質面變數組合-共整合向量個數檢定..………………………..66
表5.5.4：產出、貨幣、實質面變數組合-共整合向量個數檢定..………………..67

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