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研究生:邱蔚芸
研究生(外文):CHIU, WEI-YUN
論文名稱:匯率轉嫁與貨幣政策以瑞典為例
論文名稱(外文):Exchange Rate Pass-Through and Monetary Policy in Sweden
指導教授:梁恕梁恕引用關係
指導教授(外文):LIANG, SHUH
口試委員:王超弘陳宏易
口試委員(外文):WANG, CHAU-HUNGCHEN, HUNG-YI
口試日期:2017-05-26
學位類別:碩士
校院名稱:東吳大學
系所名稱:國際經營與貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2018
畢業學年度:106
語文別:英文
論文頁數:50
中文關鍵詞:貨幣政策匯率轉嫁虛擬變數浮動匯率制目標通膨制中央銀行獨立性
外文關鍵詞:monetary policyexchange rate pass-throughdummy variablefloating exchange rate regimeinflation-targeting regimeindependence of central bank
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這篇論文以月資料1990年到2017年來探討三項貨幣政策對瑞典之匯率轉嫁的影響,這三項貨幣政策以虛擬變數表示,分別是:實施匯率浮動制、實施通膨目標制與實施中央銀行獨立性。從統計數據發現這三項政策對匯率轉嫁有明顯的降低,但整合這三項政策時卻只有實行通膨目標制對匯率轉嫁有明顯的下降,由此推論出:實施目標通膨制對匯率轉嫁有顯著效果,此項制度在瑞典的貨幣政策中也一直扮演著重要的角色。
This study employs monthly time series data in Sweden from 1990 to 2015 to observe and estimate the effect of the implementation of the three monetary policies respectively and aggregately. The three events are the adoption of the floating exchange rate, the adoption of inflation-targeting regime, and the independence of the central bank. Using dummy variables as the three events, the findings show the exchange rate pass-through declines significantly and individually, whereas the combination of the three events are not always statistically significant. Especially, the inflation-targeting regime has played an important role and has made exchange rate pass-through decline significantly in Sweden.
Acknowledgement 2
Abstract 4
Chapter 1 Introduction 9
1.1 Background Information 11
1.2 Macroeconomic Policy Framework 12
1.2.1 The Central Bank (The Riksbank) 13
1.2.2 Monetary Policy Framework 14
1.3 Purpose and Structure 17
Chapter 2 Literature Review 18
2.1 Definition of ERPT and IT 19
2.1.1 Definition of ERPT 19
2.1.2 Definition of IT 20
2.1.3 Connection of ERPT and IT 21
2.2 Microeconomic and Macroeconomic Effects 22
2.3 Review of ERPT 23
2.4 Review of ERPT and IT 25
2.5 Summary of the Literature 27
Chapter 3 Methodology 28
3.1 Stylized Facts 29
3.2 Empirical Model 32
3.2.1 Data 34
3.2.2 Stationary Tests 35
3.2.3 Structural Change Tests 36
Chapter 4 Estimation of the Model 38
4.1 Hypothesis of the Specifications 38
4.2 Results of the Specifications 40
4.3 Analysis of the Specifications 43
Chapter 5 Conclusions 44
5.1 Comparison with the Hypothesis 45
5.2 Summary of the Conclusions 46
Reference 49

Reference
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Calmfors, L. (2015). "The Swedish Macroeconomic Policy Framework Lars Calmfors." Research Institute of Industrial Economics, Box 55665, SE-102 15 Stockholm, Sweden.

Campa, J. M. and L. S. Goldberg (2005). "Exchange Rate Pass-Through into Import Prices." Review of Economics and Statistics 87(4): 679-690.

Chang, J.-C. and C.-C. Tsong (2010). "Exchange Rate Pass-Through and Monetary Policy: A Cross-Commodity Analysis." Emerging Markets Finance and Trade 46(6): 106-120.

Cheikh, N. B. and C. Rault (2016). "The role of the business cycle in exchange rate pass-through: the case of Finland." Journal of Quantitative Economics 14(1): 15-27.

Correa, A. d. S. and A. Minella (2010). "Nonlinear mechanisms of the exchange rate pass-through: A Phillips curve model with threshold for Brazil." Revista Brasileira de Economia 64(3): 231-243.

Darvas, Z. (2001). Exchange Rate Pass-Through and Real Exchange Rate in EU Candidate Countries, Deutsche Bundesbank Frankfurt a. M.

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Garcia, C. and J. Restrepo (2001). "Price inflation and exchange rate pass-through in Chile." Central Bank of Chile working paper 128.

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Mishkin, F. S. and M. A. Savastano (2001). "Monetary Policy Strategies for Latin America." Journal of Development Economics 66(2): 415-444.

Mujica, P. and R. Saens (2015). "Exchange Rate Pass-Through and Inflation Targets in Chile." CEPAL Review.

Nogueira Junior, R. P. (2007). "Inflation Targeting and Exchange Rate Pass-Through." Economía Aplicada 11(2): 189-208.

Nogueira, R. P. and M. A. León-Ledesma (2011). "Does exchange rate pass-through respond to measures of macroeconomic instability?" Journal of Applied Economics 14(1): 167-180.

Ponomarev, I., et al. (2016). "Exchange Rate Pass-Through in Russia." Problems of Economic Transition 58(1): 54-72.

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Svensson, L. E. O. (1997). "Inflation forecast targeting: Implementing and monitoring inflation targets." European Economic Review 41(6): 1111-1146.

Taylor, J. B. (2000). "Low Inflation, Pass-Through, and the Pricing Power of Firms." European Economic Review 44(7): 1389-1408.

Winkelried, D. (2014). "Exchange Rate Pass-Through and Inflation Targeting in Peru." Empirical Economics 46(4): 1181-1196.

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