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研究生:馮伯君
研究生(外文):Feng,Po-chun
論文名稱:外匯存底與貨幣供給非線性關係-縱橫平滑移轉門檻模型之應用
論文名稱(外文):The relationship between foreign exchange reserves and money supply -A study applying the Panel smooth transition regression
指導教授:簡美瑟簡美瑟引用關係李建強李建強引用關係
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:金融資訊研究所
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:2009
畢業學年度:97
語文別:中文
論文頁數:52
中文關鍵詞:縱橫平滑移轉模型外匯存底貨幣供給
外文關鍵詞:PSTR ModelForeign Exchange ReservesMoney Supply.
相關次數:
  • 被引用被引用:1
  • 點閱點閱:478
  • 評分評分:
  • 下載下載:174
  • 收藏至我的研究室書目清單書目收藏:3
於外匯存底與貨幣供給關係之文獻,雖已多不勝數;然而,鮮有將兩者關係以非線性模型予以探討,以釐清經濟體系是否將外匯存底考量進貨幣發行機制中,藉此調節貨幣供給增長率。本文以縱橫平滑移轉門檻模型,分別對1990年迄2006年13國樣本月資料與1999年迄2006年35國樣本月資料做實證分析,探討各經濟體系是否會考量貨幣供給與外匯存底之比例,調節外匯存底變動率對狹義與廣義貨幣供給變動率之影響。實證結果發現,1990年迄2006年13國樣本下,狹義貨幣供給對外匯存底比例之門檻值為94.2%,於門檻值之上,狹義貨幣供給邊際變動率將由26.4%下滑至6.2%。1999年迄2006年35國樣本分別以狹義貨幣供給與廣義貨幣供給探討之結果顯示,狹義及廣義貨幣供給相對外匯存底比之門檻值分別為72.8%與142.2%,門檻值以上時,狹義、廣義貨幣供給邊際變動率分別下跌28.1%與23.8%,顯示貨幣供給過於寬鬆時,貨幣主管當局會採取沖銷措施來抑制貨幣供給擴張的速度。此外,實證結果也顯示,廣義貨幣供給轉換速度極快,已趨近於一般門檻模型;但狹義貨幣供給的轉換速度較慢,是為平滑調整的非線性模型。
This paper employs panel smooth transition regression to investigate the non-linear relationship between money supply and foreign exchange reserves. Using money supply/foreign exchange reserves ratio as threshold variable, we study whether the influences of the change rate of foreign exchange reserves on the change rate of money supply are the same between the different money supply/foreign exchange reserves ratio regimes, employing monthly panel data of 35 countries from 1990 to 2006 and 1999 to 2006. The empirical results confirm the nonlinearity of link between the change rate of foreign exchange reserves and the change rate of money supply. They are positive relationships between these two variables no matter in higher or lower regimes. Being in higher levels of money supply/foreign exchange reserves ratio, the monetary authority will execute sterilization policy, which causes the change rate of money supply to change rate of foreign exchange reserve being decreasing.
摘要 I
英文摘要 II
誌謝 III
目錄 IV
表目錄 V
圖目錄 VI
壹、緒論 1
一、 研究動機 1
二、 研究目的 4
貳、文獻探討與理論模型 6
一、 外匯存底之探討 6
二、 干預、沖銷、貨幣供給與外匯存底 11
三、. 外匯存底與貨幣供給之理論模型 14
参、研究方法 16
一、 單根檢定 16
二、 縱橫平滑移轉門檻模型 20
三、 模型診斷 24
肆、實證結果 27
一、 實證模型設定與實證流程 27
二、 樣本期間與變數 29
三、 1990年至2006年間實證結果 31
四、 1999年迄2006年之實證結果 37
伍、結論 46
參考文獻 47
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