臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：小型開放經濟最適貨幣政策與貨幣政策傳遞管道之探討
作者：賴惠子
作者(外文)：Hui-zi Lai
校院名稱：國立臺北大學
系所名稱：經濟學系
指導教授：梁發進
林向愷
學位類別：博士
出版日期：2000
主題關鍵詞：法則；權衡；動態不一致；央行獨立性；出口開放程度；信用傳遞管道；外生政策衝擊；Semi-Structural VAR model
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(1) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:33
論文提要
由戰後以來的貨幣政策經驗，及1960年代通貨膨脹的產生與1970年代加速通貨膨脹的現象，使總體經濟學家持續不斷地嘗試建立實證上可行的一般均衡模型，用以評估不同制度下貨幣政策的利弊得失。
而Chari, Christiano, and Eichenbaum(1998)則指出，文獻上分二路線(tracks)以進行貨幣政策的探討，一者源於Kydland and Prescott (1977)與Barro and Gordon(1983a)等文獻，著重於探討具特定目的的決策者，在一定的限制情況下的可能行為，特別是當制度架構(institutional framework)更動或決策者所面對的誘因改變時對貨幣政策可能產生的影響；另一路線亦有廣泛的研究者，其乃建構模型以描繪私部門經濟及貨幣政策的傳遞機制，而此範疇的研究通常省略政策制定者決策問題的部份，將決策者的行為視為來自一定的政策法則，而著重隨機衝擊(random shocks)部份的探討。基於此，本文將同時以這兩種路線分別進行貨幣政策的探討，首先於第二章沿襲第一種路線，針對小型開放經濟(尤其是開發中國家)做理論的分析，並經由數值模擬，探討各種參數變動的影響；其次於第三章沿襲第二種路線，而以小型開放經濟的台灣地區做為實證研究的對象，探討貨幣政策的傳遞機制。
第二章首先建立包含貿易財與非貿易財的二勞動部門模型，並據以推導代表小型開放經濟的菲力浦曲線。發現一國就業水準會受到實質匯率的影響，積極的貨幣政策，可藉影響非貿易財價格的變動，抵消國外部門傳導進來的外生干擾。接著經由驗證得知，在此菲力浦曲線的限制下，貨幣管理當局不可能採行法則型的貨幣政策，且變數的前後期關連，多期目標函數亦不能簡化為單期目標函數來進行求解。再者，在貨幣管理當局追求多期目標函數極小的情況下，求解權衡政策措施的均衡一致解，並經由數值模擬分析，得到以下的結果：1.出口開放程度愈大，物價膨脹率變異數與就業變異數均愈低；2.貿易財價格的自迴係數愈大，則物價膨脹率變異數與就業變異數均愈大；3.就業目標標的值愈大，或貨幣管理當局對就業目標的相對偏好權數愈大，則物價膨脹率變異數愈大、就業變異數愈小。最後，進一步從理論上探討開發中國家，若能在央行法上賦予較高的獨立性，並確實遵守，則在本章建構的小型開放經濟限制下，政府選任的最適央行總裁，若排除社會極端保守的情況下，可得到與Rogoff(1985)一致的結論，即政府部門選定的央行總裁不必然以穩定物價為單一目標，但相對而言，比政府部門更重視物價的穩定，如此，可使得社會損失達到最小。
第三章採用Semi-Structural VAR模型進行實證研究，探討台灣地區在1981年至1999年間，貨幣政策傳遞的信用管道是否存在。首先選定隔夜拆款利率與公開市場操作額為政策工具，以認定外生貨幣政策衝擊，發現以公開市場操作額為政策工具時，所獲得的結果較不穩健。因此，以隔夜拆款利率的結構性干擾代表外生貨幣政策衝擊，並接著用以探討緊縮性貨幣政策，對總體經濟變數與銀行資產組合的影響。結果發現緊縮政策使產出下降，物價上升的迷惑現象，因此，值得進一步思索如何在認定假設上做修正，如變數同期關係的重新考慮及納入國外的影響變數等。而就支出組成的影響，緊縮性政策並未對耐久財消費支出與企業的機器與設備投資產生影響，但因最終需求的確受緊縮性貨幣政策影響而減少，所以，其他支出組成如其他固定資本形成與淨輸出等亦可能受緊縮性貨幣政策影響而減少，如此，貨幣政策的其他傳遞管道亦可能存在。至於，銀行信用管道的存在與否，由支出組成的變化來判斷，除了住宅投資支出外，其他的支出組成似乎無法明確的呼應銀行信用管道。但從本國銀行與基層金融的資產組合的變化，如放款與證券投資的變化不同，及本國銀行與基層金融的放款受緊縮性貨幣政策的影響型態亦不同來看，貨幣政策在大小銀行間的確存在分配效果。因此，由本國銀行與基層金融的資產組合的變化，可支持銀行信用管道的存在。
1.中文部份：
林向愷(1997) <央行定位之理論與實際>,<<貨幣與金融政策研討會論文集>>。
張宏基、朱敬一(1996) <用Pseudo Panel Data估計台灣男性跨期勞動替代彈性>, <<經濟論文叢刊>>, 24:3, 313-337。new window
段承璞(1992)， <<台灣戰後經濟>>，台北：人間出版社。
陳昭南等七人(1998)，<<經濟學>>，台北：華泰出版社。
蔣碩傑(1985)，<亞洲四小龍的經濟起飛>，<<台灣經濟發展的啟示>>，台北：天下叢書。
2.英文部份：
Alesina, A. and L. Summers (1993). "Central Bank Independence and Macroeconomic Performance: Some Comparative Evidence," Journal of Money, Credit, and Banking 25(2)：151-162.
Bade, Robert and M. Parkin (1982). "Central Bank Laws and Monetary Policy," Manuscript.
Balassa, B. (1964). "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy 72: 584-596.
Barro, R. J. (1976). "Rational Expectations and the Role of Monetary Policy," Journal of Monetary Economics 2: 1-31.
Barro, R. J. (1991). "Economic Growth in a Cross Section of Countries," Quarterly Journal of Economics CVI : 407-43.
Barro, R. J., and D. B. Gordon (1983a). "A Positive Theory of Monetary Policy in Natural Rate Model," Journal of Political Economy 91: 589-610.
Barro, R. J., and D. B. Gordon (1983b). "Rule, Discretion and Reputation in a Model of Monetary Policy," Journal of Monetary Economics 12: 101-121.
Baxter, M. and A. C. Stockman (1989). "Business Cycles and the Exchange-Rate Regime," Journal of Monetary Economics 23:377-400.
Cukierman, Alex (1992). Central Bank Strategy, Credibility, and Independence : Theory and Evidence, Cambridge, MA : The MIT Press
Cukierman, Alex , Steven B. Webb, and Bilin Neyapti (1992). "Measuring the Independence of Central Banks and Its Effects on Policy Outcomes," World Bank Economic Review 6:353-98.
Eijffinger, S. and Schaling, E. (1992). "Central Bank Independence: Criteria and Indices," Research Memorandum Department of Economics Tiluurg University, No. 548, March.
Fischer, S. (1994). Modern Central Banking: Tercentenary Symposium, Bank of England.
Flood, R. and P. Isard(1989). "Simple rules, Discretion and Monetary Policy," NBER Working Paper 2934.
Friedman, M. (1948). "A Monetary and Fiscal Framework for Economic Stability," Reprinted in Essays in Positive Economics, Chicago University Press, Chicago..
Friedman, M. (1953). "The Effects of a Full-Employment Policy of Economic Stability: A Formal Analysis," in Essays in Positive Economics, Chicago University Press, Chicago.
Friedman, M. (1959). A Program for Monetary Stability. Fordham University, New York.
Friedman, M. (1968). "The Role of Monetary Policy," American Economic Review 68(March): 1-17.
Ghosh, A. R., A.M. Gulde, J. Ostry and H. C. Wolf(1997). "Does the Nominal Exchange Rate Regime Matter?" NBER Working Paper 5874.
Grilli, Vittorio, D. Masciandaro and G. Tabellini (1991). "Political and Monetary Institutions and Public Finance Policies in the Industrial Countries," Economic Inquiry 13: 341-392.
Hansen, L. and T. Sargent (1981). "Linear Rational Expectations Models for Dynamically Interrelated Variables," in Rational Expectations and Econometric Practice, ed. R. Lucas, Jr. and T. Sargent, Minneapolis: University of Minnesota Press.
Hardouvelis, Gikas A. (1992). "Monetary Policy Games, Inflationary Bias, and Openness," Journal of Economic Dynamics and Control 16(1):147-64.
Helpman, E. (1981). "An Exploration in the Theory of Exchange-Rate Regime," Journal of Political Economy 89(5): 865-890.
Helpman, E. and A. Razin (1979). "Toward a Consistent Comparison of Alternative Exchange-Rate Regimes," Canadian Journal of Economics 12:394-409.
Kydland, F. E. and E. C. Prescott (1977). "Rule Rather Than Discretion: the Inconsistency of Optimal Plans," Journal of Political Economy 85: 473-491.
Leiderman, L. (1978). "Expectations and Output-Inflation Tradeoffs in a Fixed-Exchange-Rate Economy," Journal of Political Economy 87(6): 1285-1306.
Leiderman, L. (1979). " Output Supply in the Open Economy: Some International Evidence," The Review of Economics and Statistics: 180-189.
Lin, Kenneth S., Hsiu-Yun Lee and Bo-Yir Huang (1996). "The Role of Macroeconomic Policy in Exported Growth: The Experience of Taiwan and South Korea," in Financial Deregulation and Integration in East Asia, eds. By T. Ito and A. O. Krueger. Chicago: University of Chicago Press, 193-224.
Lohmann, S. (1992). "Optimal Commitment in Monetary Policy," American Economic Review 82:273-286.
Lucas, R. (1973). "Some International Evidence on Output-Inflation Trade- Offs," American Economic Review 63: 326-334.
McCallum, B. T.(1989). Monetary Economics: Theory and Policy, Macmillan Publishing Company, New York.
McCallum, B. T.(1997). "Crucial Issues Concerning Central Bank Independence," Journal of Monetary Economics 39: 99-112.
Mankiw, N. G. (2000). Macroeconomics, Worth Publisher, New York.
Muth, J. (1961). "Rational Expectations and the Theory of Price Movements," Econometrica 29: 315-335.
Persson, T. and G. Tabellini (1993). "Designing Institutions for Monetary Stability." Carnegie-Rochester Conference Series on Public Policy 39:53-84.
Pheleps, E. (1968). "Money-wage Dynamics and Labour Market Equilibrium," Journal of Political Economy 76: 678-711.
Phillips, A. (1958). "The Relation between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861-1957." Economica, 25: 283-299.
Rogoff, Kenneth. (1985). "The Optimal Degree of Commitment to an Intermediate Monetary Target," Quarterly Journal of Economics 100: 1169-1189.
Romer, Paul. (1993). "Openness and Inflation : Theory and Evidence," Quarterly Journal of Economics CVIII: 869-903.
Romer, Paul. (1998). "A New Assessment of Openness and Inflation : Reply," Quarterly Journal of Economics 113(2):649-652.
Samuelson, P. (1964). "Theoretical Notes on Trade Problems," Review of Economics and Statistics 46 : 145-154.
Sargent, T. (1987). Macroeconomic Theory, (Academic Press,INC.).
Sargent, T. and N. Wallace (1975). "Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule," Journal of Political Economy 83: 241-254.
Schaling, E. (1995). Institutions and Monetary Policy, (Edward Elgar).
Shieh, S. C. (1994). "Issues of Central Bank Independence and Monetary Policy Operations: The Case of the ROC on Taiwan," 中央銀行季刊，16卷，第一期。
Symons, J. and R. Layard (1984). "Neoclassical Demand for Labour Functions for Six Major Economies," The Economic Journal 94: 788-799.
Terra, Cristina (1995). "Openness and Inflation: A New Assessment," Chapter 2 of Ph.D. thesis, Princeton University, Princeton.
Terra, Cristina (1998). "Openness and Inflation: A New Assessment," Quarterly Journal of Economics 113(2):641-648.
Turnovsky, S. J. (1996). Methods of Macroeconomic Dynamics, The MIT Press.
Walsh, C. (1993). "Optimal Contracts for Independent Central Bankers: Private Information, Performance Measures and Reappointment," Working Paper 93-02, Federal Reserve Bank of San Francisco, May.
1.中文部份
沈中華、陳華倫(1996)，<貨幣政策指標之建立與貨幣政策反應函數>，<<經濟論文>>，24:4，559-590。new window
梁發進(1992)，<我國貨幣政策反應函數之推估>，<<經濟研究>>，31。new window
2.英文部份
Agung, J. (1998). "Financial Deregulation and the Bank Lending Channel in Developing Countries: The Case of Indonesia." Asian Economic Journal 12(3): 273-294.
Bernanke, B. (1986). "Alternative Explanations of the Money - Income Correlation," Carnegie Rochester Conference Series on Public Policy 25: 49-100.
Bernanke, B. (1993a). "Credit in the Macroeconomy," Quarterly Review, Federal Reserve Bank of New York 18: 50-70.
Bernanke, B. (1993b). "How Important Is the Credit Channel in the Transmission of Monetary Policy? : A Comment," Carnegie-Rochester Conference Series on Public Policy 41: 47-52.
Bernanke, B. and A. Blinder (1988). "Credit, Money, and Aggregate Demand," American Economic Review 78: 435-39.
Bernanke, B. and A. Blinder (1992). "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review 82: 901-921.
Bernanke, B. and M. Gertler (1995). "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Journal of Economic Perspectives 9: 27-48.
Bernanke, B., M. Gertler and M. Watson (1997). "Systematic Monetary Policy and the Effects of Oil Price Shocks," Brookings Papers on Economic Activity: 91-142.
Bernanke, B. and I. Mihov (1998). "Measuring Monetary Policy," Quarterly Journal of Economics: 869-902.
Blanchard, O. and D. Quah, (1989). "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review 79: 655-673.
Blanchard, O. and M. Watson (1984). "All Business Cycles All Alike?" NBER Working Paper 1392.
Boschen, J., and L. Mills. (1991). "The effects of Countercyclical Policy on Money and Interest Rates: An Evaluation of Evidence from FOMC Documents,": Working Paper 91-20, Federal Reserve Bank of Philadelphia.
Christiano, L. and M. Eichenbaum (1992). "Identification and Liquidity Effect of a Monetary Policy Shock," in A. Cukierman, Z. Hercowitz, and L. Leiderman, eds., Political Economy, Growth, and Business Cycles (Cambridge MA, MIT Press).
Christiano, L., M. Eichenbaum, and C. Evans (1996a). "The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds," Review of Economics and Statistics 78: 16-34.
Christiano, L., M. Eichenbaum, and C. Evans (1996b). "Identification and the Effects of Monetary Policy Shocks," in M.I. Blejer, Z. Eckstein, Z. Hercowitz and L. Leiderman, eds., Financial Factors in Economic Stabilization and Growth (Cambridge: Cambridge University Press) : 36-74 .
Christiano, L., M. Eichenbaum, and C. Evans (1998). "Monetary Policy Shocks: What We Learned and to What End?" forthcoming, Handbook of Monetary Economics, eds. Michael Woodford and John Taylor.
Cosimano, T. and R. Sheehan (1994). "The Federal Reserve Operating Procedure, 1984-1990: An Empirical Analysis," Journal of Macroeconomics XVI: 573-588.
Diamond, D. (1984). "Financial Intermediation and Delegated Monitoring," Review of Economic Studies: 393-414.
Diamond, D. and P. Dybvig (1983). "Bank Runs, Deposit Insurance, and Liquidity," Journal of Political Economy: 401-19.
Dotsey, Michael and Max Reid (1992). "Oil Shocks, Monetary Policy, and Economic Activity," Federal Reserve Bank of Richmond, Economic Review LXVIII: 14-27.
Fama, E. (1980). "Banking in the Theory of Finance," Journal of Monetary Economics: 39-57.
Friedman, M. and Anna J. Schwartz (1963). A Monetary History of the United States, 1867-1960： University of Chicago Press for NBER.
Hoover, Kewin, and Stephen Perez (1994). "Post Hoc Ergo Propter Hoc Once More: An Evaluation of ''''Does Monetary Policy Matter?'''' in the Spirit of James Tobin, " Journal of Monetary Economics XXXIV: 47 - 74.
Kashyap, K. and C. Stein (1994). "Monetary Policy and Bank Lending," in Monetary Policy ed., N. Gregory Mankiw, University of Chicago Press, Chicago.
Kashyap, K. and C. Stein (1995) "Impact of Monetary Policy on Bank Balance Sheets," Carnegie-Rochester Series on Public Policy: 151-195.
Kashyap, K. and C. Stein (1997). "What Do a Million Banks Have to Say About the Transmission of Monetary Policy?" NBER Working Paper 6056.
Kim, S.(1999). "Do Monetary Policy Shocks Matter in the G-7 Countries? Using Common Identifying Assumptions about Monetary Policy across Countries," Journal of International Economics 48: 387-412.
Leeper, Eric (1993). "Has the Romers'''' Narrative Approach Identified Monetary Policy Shocks?" unpublished, Federal Reserve Bank of Atlanta.
Leeper, Eric (1997). "Narrative and VAR Approaches to Monetary Policy: Common Identification Problems," Journal of Monetary Economics 40: 641-657.
Leeper, E. M. and D. Gordon (1994). "The Dynamic Impacts of Monetary Policy: An Exercise in Tentative Identification." Journal of Political Economy 102: 1228-1247.
Lin, C.C., and S.J. Lin (1998). "An Estimation of Elasticities of Consumption Demand and Investment Demand for Owner-Occupied Housing in Taiwan: A Two-Period Model," Journal of Asian Real Estate Society.
Meltzer, A. (1995). "Monetary, Credit and Other Transmission Processes: a Monetary Perspective," Journal of Economic Perspectives: 49-72.
Mishkin, F. S. (1996). "The Channels of Monetary Transmission: Lessons For Monetary Policy," NBER Working Paper 5464.
Modigliani, F. and M. Miller (1958). "The Cost of Capital, Corporation Finance, and the Theory of Investment," American Economic Review: 261-97.
Ramey, V. (1993). "How Important Is the Credit Channel in the Transmission of Monetary Policy?" Carnegie-Rochester Conference Series on Public Policy 41: 1-45.
Romer, C. and D. Romer(1989). " Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz." NBER Macroeconomics Annual 4: 121-70.
Romer, C. and D. Romer(1990). "New Evidence on the Monetary Transmission Mechanism," Brookings Papers on Economic Activity 1: 149-213.
Rudebusch, G. D. (1998). "Do Measures of Monetary Policy in a VAR Make Sense?" International Economic Review 39(4): 907-931.
Shapiro, Matthew (1994). "Federal Reserve Policy: Cause and Effect," in N. Gregory Mankiw, ed., Monetary Policy (Chicago: University of Chicago Press for NBER).
Shapiro, M. and M. Watson (1988). "Sources of Business Cycles Fluctuations," in Stanley Fischer, ed., NBER Macroeconomics Annual 1988. Cambridge, Mass.: MIT Press.
Sims, C. (1992). "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," European Economic Review 36: 975-1011.
Sims, C. and Tao Zha(1995). "Does Monetary Policy Generate Recessions?" unpublished, Yale University and Federal Reserve Bank of Atlanta.
Leeper, E., C. Sims and Tao Zha (1996). "What Does Monetary Policy Do ?" Brookings Papers on Economic Activity 2: 1-63.
Strongin, S. (1995). "The Identification of Monetary Policy Disturbances: Explaining the Liquidity Puzzle," Journal of Monetary Economics XXXV: 463-498.
Thornton, D. (1988). "The Borrowed-Reserves Operating Procedure: Theory and Evidence," Federal Reserve Bank of St. Louis, Review LXX: 30-54.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：1059（臺灣：1035，外國：24） ／ 本年度總使用人次：2111296 ／ 訪客人次（自102年09月）：67916852
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上