臺灣博碩士論文加值系統

本研究根據開放經濟下購物時間模型所推導出的貨幣需求函數，利用Johansen共整合方法、Stock和Watson的DOLS估計法探討台灣在樣本期間為1981年第一季至2002年第三季間是否存在通貨替代與資本移動現象，以及模型中的變數間是否存在穩定的長期均衡關係，並比較開放經濟下購物時間模型與傳統開放經濟模型，找出最有用的台灣貨幣需求函數。實證結果發現不論實質貨幣需求為m1b或m2的購物時間模型都不適用於台灣；而實質貨幣需求為m2的傳統開放經濟模型在長期下有強烈證據顯示存在國際資本移動現象，沒有證據顯示存在通貨替代的現象。此外，如果參數修正過短期動態，則在樣本期間內，傳統開放經濟模型中實質貨幣需求M2、實質國內生產毛額與外國名目利率間的長期關係具有穩定性。

This paper is based on money demand function derived from shopping time model in an open economy, and uses the Johansen cointegration method, Stock and Watson’ DOLS estimation method to study the existence of currency substitution and capital mobility between Taiwan and the United States during the sample period from 1981:Q1-2002:Q3. This study also examines the existence of stable long-run equilibrium relationship between variables in the model, and compares shopping time model with traditional open-economy model to find the most useful money demand function in Taiwan. Empirical results show that the long-run demand function for real M1B and M2 of shopping time model doesn’t apply to Taiwan; significant evidence shows that there exists capital mobility in the long-run demand function for real money demand M2 of the traditional open-economy model, but no evidence shows that there exists currency substitution in the model.. In addition, the long-run relationships between real money demand M2, real GDP, and foreign nominal interest rate interest rate in traditional open-economy model is stable over the whole sample period if parameters were corrected for short-run dynamics.

目錄
頁次
論文題目 I
論文口試委員審定書 II
授權書 III
誌謝 IV
中文摘要 V
英文摘要 VI
目錄 VII
圖目錄 VIII
表目錄 X
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 1
第三節 研究步驟 2
第四節 研究範圍與限制 2
第二章 文獻探討 3
第一節 國外文獻 3
第二節 國內文獻 8
第三章 模型的建立 10
第四章 實證方法與研究變數 20
第一節 資料的統計特性 20
一、ADF單根檢定 20
二、KPSS定態檢定法 21
第二節 共整合分析 23
一、共整合的意義 23
二、Johansen最大概似估計法 24
三、共整合向量個數的檢定 25
四、模型最適落後期數選取 26
五、共整合向量係數估計與檢定 28
第三節 研究變數 29
一、變數的定義 29
二、變數的處理 30
第五章 實證結果分析 31
第一節 變數的時間趨勢圖形 31
第二節 ADF單根檢定與KPSS檢定 34
一、ADF單根檢定結果 34
二、KPSS檢定結果 35
三、變數一階差分檢定結果 37
第三節 台灣貨幣需求長期均衡關係實證結果 38
一、購物時間貨幣需求模型 38
二、一般開放經濟貨幣需求模型 39
第四節 共整合參數穩定性檢定 45
第六章 結論與建議 48
第一節 研究結論 48
第二節 對後續研究的建議 49
參考文獻 50

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