臺灣博碩士論文加值系統

本研究目的在分析我國自金融自由化以來貨幣需求函數的長期均衡關係與短期調整過程，觀察我國貨幣需求函數是否存在非線性成分，並考慮到台灣為一小型開放經濟體系，因此本研究將匯率納入貨幣需求函數以探討其長期均衡關係與短期動態調整行為。
過去研究總體經濟變數模型主要以線性模型居多，但自Granger and Teräsvirta (1993)提出平滑轉換迴歸模型後，應用非線性模型來探討總體經濟變數逐漸形成主流。本研究的實證方法為非線性平滑移轉誤差修正模型。
實證結果發現，實質貨幣需求M2、實質國內生產毛額、實質匯率及存款利率之間，具有一條共積關係式，存在著長期均衡關係，而貨幣需求之短期動態調整至長期均衡的過程呈現非線性的行為，其調整過程是非對稱性的Logistic平滑轉換誤差修正模型。

Most models of the past research on macroeconomic variables are linear ones. However, since Granger and Teräsvirta proposed the smooth transition regression (STR) methodology, discussing macroeconomic variables by applying nonlinear models are going to be the mainstream. The purpose of this paper is to test and diagnose if the money demand of Taiwan exists any nonlinear forms .
Empirical results indicate that real M2,real GDP, real exchange rate and saving deposit rate have a long term relationship under some specific threshold value. On the selection of choosing models, it is more suitable to select the LSTECM model which has better capacity than other linear models to explain macroeconomic meanings.

目錄

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構與流程 3
第二章 文獻回顧 5
第一節 貨幣需求理論 5
第二節 貨幣需求函數線性共積關係之實證文獻 8
第三節 非線性平滑移轉模型之實證文獻 10
第三章 研究方法 16
第一節 單根檢定 16
第二節 共積向量之估計與檢定 21
第三節 線性誤差修正模型之建立 26
第四節 非線性平滑轉換誤差修正模型之建立 27
第五節 非線性模型檢定與非線性模型之選擇 29
第四章 實證分析 31
第一節 資料說明與變數處理 31
第二節 單根檢定 33
第三節 共積分析與線性誤差修正模型之建立 37
第四節 非線性檢定與轉換函數的選擇 44
第五節 非線性平滑轉換誤差修正模型估計 45
第六章 結論 49
參考文獻 50















圖次目錄
【圖1-1】研究架構圖 4
【圖4-1】各總體經濟變數之原始序列與差分後之時間趨勢圖 36
【圖4-2】殘差自我相關和交叉相關圖 38
【圖4-3】伴隨矩陣的特性根 39
【圖4-4】Trace檢定 41
【圖4-5】一個特性根不為0之檢定 42
【圖4-6】logistic轉換函數 (γ = 1.569， c= 0.075) 47
【圖4-7】轉換函數 48




























表次目錄
【表4-1】基本統計量 33
【表4-2】單根檢定-水準項 34
【表4-3】單根檢定-差分項 34
【表4-4】誤差序列相關檢定 37
【表4-5】實質貨幣需求與總體經濟變數間之共積向量檢定 39
【表4-6】調整係數的估計 40
【表4-7】弱外生檢定 40
【表4-8】貨幣需求函數之係數估計 40
【表4-9】誤差序列相關檢定 41
【表4-10】線性誤差修正模型之估計與模型檢定 43
【表4-11】LM-type test之檢定線性之p-value 44
【表4-12】實質貨幣之LSTECM模型估計 45

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杜嘉仁，(2002)，平滑轉換自我迴歸(STAR)模型建構與預測能力之研究－台灣、美國、香港及日本四國股市互動關係與預測，國立台北大學統計研究所碩
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