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研究生:呂季靜
研究生(外文):Chi-Ching Lu
論文名稱:貨幣政策與總體經濟變數
論文名稱(外文):Monetary Policy and Macroeconomic Variables
指導教授:陳明祥陳明祥引用關係
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:93
語文別:英文
論文頁數:110
中文關鍵詞:領先-落後共整合
外文關鍵詞:lead-lagcointegration
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This article aims to examine the relationship between monetary policy and macroeconomic variables. Our principal purpose is to investigate the influence of monetary policy. With two monetary indicators, overnight rate and money supply M1, we investigate whether monetary policy is an important predictor of macroeconomic variables in 8 countries. We examine the relationship between monetary indicators and economic activity in different markets. First, we test the lead-lag relationship between local monetary and local macroeconomic variables. Second, we examine the cointegration relationship among monetary indicators and macroeconomic variables. Third, we investigate the influence of monetary policy’s indicators on economic activity. By doing so, we can understand whether monetary policy plays a different role in different countries.
1. Introduction 1
2. Literature review 5
3. Data and variables 9
4. Methodology 11
4.1. Unit root tests 11
4.2. Cointegration tests 12
4.3. Granger Causality tests 14
4.4. Impulse response function and Variance decomposition 15
5. Empirical results 17
5.1. Unit root tests 17
5.2. Standard Granger causality tests 17
5.3. Causality between monetary policy and macroeconomic variables 23
5.4. Impulse response analysis 27
5.5. Variance decomposition 28
6. Conclusion 30
References 33

Table 1. Stock price index of each market 36
Table 2.Unit root test results: Overnight rate (OR) 37
Table 3.Unit root test results: Money supply (MS) 38
Table 4.Unit root test results: Consumer price index (CPI) 39
Table 5.Unit root test results: Exchange rate (EX) 40
Table 6.Unit root test results: Industrial production (IP) 41
Table 7.Unit root test results: Stock price index (SPI) 42
Table 8.Unit root test results: Unemployment rate (UP) 43
Table 9.Canada Granger causality tests 45
Table 10.France Granger causality tests 47
Table 11.Germany Granger causality tests 49
Table 12.Italy Granger causality tests 51
Table 13.Japan Granger causality tests 53
Table 14.Taiwan Granger causality tests 55
Table 15.United Kingdom Granger causality tests 57
Table 16.United States Granger causality tests 59
Table 17.Canada VECM results, 1961-2005 61
Table 18.France VECM results, 1961-2005 63
Table 19.Germany VECM results, 1961-2005 65
Table 20.Italy VECM results, 1961-2005 67
Table 21.Japan VECM results, 1961-2005 69
Table 22.Taiwan VAR results, 1961-2005 71
Table 23.United Kingdom VECM results, 1961-2005 73
Table 24.United States VECM results, 1961-2005 75
Table 25.Canada Impulse responses, 1961-2005 77
Table 26.France Impulse responses, 1961-2005 80
Table 27.Germany Impulse responses, 1961-2005 83
Table 28.Italy Impulse responses, 1961-2005 86
Table 29.Japan Impulse responses, 1961-2005 89
Table 30.Taiwan Impulse responses, 1961-2005 92
Table 31.United Kingdom Impulse responses, 1961-2005 95
Table 32.United States Impulse responses, 1961-2005 98
Table 33.Canada Variance decomposition, 1961-2005 101
Table 34.France Variance decomposition, 1961-2005 102
Table 35.Germany Variance decomposition, 1961-2005 103
Table 36.Italy Variance decomposition, 1961-2005 104
Table 37.Japan Variance decomposition, 1961-2005 105
Table 38.Taiwan Variance decomposition, 1961-2005 106
Table 39.United Kingdom Variance decomposition, 1961-2005 107
Table 40.United States decomposition, 1961-2005 108
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