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研究生:黃美馨
研究生(外文):Huang Mei-Shin
論文名稱:在HolmesSmyth效果下再探財政政策與匯率動態調整效果:理論與實證分析
論文名稱(外文):A Re-examination of the Exchange Rate Dynamics Effects of the Fiscal Policy under Holmes Smyth effects:The Theory and Empirical Study
指導教授:楊永列楊永列引用關係
指導教授(外文):Yang Yung-Lieh
學位類別:碩士
校院名稱:嶺東科技大學
系所名稱:財務金融研究所
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
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:52
中文關鍵詞:Holmes-Smyth效果共整合Granger因果關係
外文關鍵詞:Holmes-Smyth effectCointegrationGranger''s causality
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本文結合Dornbusch (1976) 和Chang and Lai (1997) 的模型設定,考慮政府平衡預算與Holmes-Smyth效果,並納入商品市場總合供給函數之設計,藉以探討預料到的擴張性財政政策所引發匯率、物價的動態調整與經濟體系長期均衡的變化。本文發現:當貨幣需求的所得彈性與貿易支出的價格彈性之乘積相對較大時,經濟體系在政策宣告之際,匯率會出現跳動的上揚,若政策宣告與政策執行的時差越短,越有可能造成匯率呈現調整過度的現象;反之,政策宣告與政策執行的時差越長,越有可能呈現出匯率調整不及的現象;換言之,政策宣告與政策執行時差的長短,將會左右短期匯率跳躍之幅度。
本文亦利用1986年7月到2008年1月的新臺幣兌換一美元匯率、消費者物價指數和國庫總支出的月資料,作Johansen共整合檢定。結果發現這三個變數存在共整合,表示這三個變數有長期關係。其中,物價和國庫支出有顯著的正向關係,符合本文理論的結果。另外,匯率和國庫支出也有顯著的正向關係,這種結果不同於以Dournbusch (1976) 模型推論的結果,反映出Holmes-Smyth效果有可能存在。
最後,本文採用Granger(1988) 因果關係檢定獲得:國庫支出對匯率有顯著的Granger單向因果關係;物價對匯率亦具有顯著的Granger單向因果關係;而物價對國庫支出有顯著的Granger單向因果關係。
This article was based on the models developed by Dornbusch (1976) and Chang and Lai (1997), taking government's balanced budget and the Holmes-Smyth effect into our development for the function of aggregate supply to evaluate the dynamic changes to exchange rates, price levels and the long run equilibrium of our economy following an anticipated expansionary fiscal policy. We discovered that: the higher the multiple between income elasticity of money supply and price elasticity of trade, the more the exchange rate of an economy strengthens rapidly before the announcement of the policy. The shorter the time between policy announcement and policy execution, the more likely the exchange rate will overshooting; on the contrary the longer the time between policy announcement and policy execution, the more likely the exchange rate will undershooting. In other words, the timing between policy announcement and execution determines the short-term exchange rate volatility.
In this thesis we conducted a Johansen cointegration test on the USD/NTD exchange rate, consumer price index, and government spending statistics between the period from July 1986 to January 2008; we found that cointegration existed between these three variables, implying a long term relationships between them. Consumer price and government spending were significantly positively correlated, which was consistent with the conclusion of our theory. Exchange rate and government spending were also significantly positively correlated; this result was different from the conclusion derived from Dournbusch's model (1976), suggesting the possible existence of the Holmes-Smyth effect.
Finally, we concluded from Granger's causality test (1988) that: there is a significant one-way Granger causality from government to the exchange rate; there is also a significant one-way Granger causality from the consumer price to the exchange rate, and a significant one-way Granger causality from the consumer price to the government.
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 2
第二章 文獻回顧 4
第三章 理論模型 6
第一節 模型設定 6
第二節 政策宣告效果 13
第四章 實證方法 19
第一節 單根檢定 21
第二節 共整合檢定 25
第二節 Granger因果關係檢定 27
第五章 實證結果 28
第一節 單根檢定的結果 28
第二節 共整合檢定結果 32
第二節 Granger因果關係檢定 34
第五章 結論 36
參考文獻 38
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