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題名：台灣地區貨幣定義新詮釋---Time-Varying Parameter計量模型之應用
作者：康銘顯
校院名稱：東吳大學
系所名稱：經濟學系
指導教授：林鐘雄
學位類別：博士
出版日期：2001
主題關鍵詞：貨幣；貨幣總計數；共同基金；金融創新；卡門平滑法；卡門過濾法；時間變動參數模型；money；monetary aggregate；mutual fund；financial innovations；Kalman smoothing；Kalman filter；time-varying parameter model
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在經濟發展的過程中金融自由化與國際化的同時，不但提昇金融業的競爭壓力，更促使金融商品不斷地創新，導致若干金融資產在變現性、流通性方面亦具有極佳的能力，這些金融性資產與傳統貨幣定義內的各項貨幣性資產之間的替代性日益升高，造成貨幣定義愈趨模糊，央行的貨幣政策亦難有效施行。在諸多金融性資產裡，尤以貨幣市場共同基金、債券型共同基金以及股票型共同基金的貨幣性最受矚目，鑑於我國貨幣市場共同基金仍屬萌芽階段，故本文擬僅針對台灣地區債券與股票型共同基金的貨幣性加以研究，試圖界定我國的最適貨幣定義。
本文的研究方法主要利用時間變動參數法，以聖路易縮減式做為基本模型，針對不同的貨幣定義分別以卡門平滑法估計各貨幣性資產季成長率之權數，再分別藉由卡門平滑法與卡門過濾法進行樣本內預測。並利用時間變動參數法估計所得的貨幣總計數季成長率做為聖路易模型裡的貨幣變數，然後採取普通最小平方法對聖路易模型進行樣本外預測。
依據本研究實證結果，可歸納為下列幾點：
1.準貨幣季成長率的權數較M1B季成長率的權數來得大，此與傳統理論相違背。
2.各貨幣性資產權數的設計不但需要考量該資產流動性的高低，亦需針對其交易的對象與目的進行瞭解，適時做出必要的調整。
3.當貨幣涵蓋債券型共同基金時，無論是樣本內或是樣本外的預測能力均為最佳，顯示應將債券型共同基金視為貨幣性資產。
Increasing competition within financial industry has further encouraged continuous innovation for financial products, leading to quite good convertibility and circulation of some financial assets and increasing substitution among various monetary assets defined as financial assets and traditional currency, which contribute to ambiguity of monetary definition and impact on execution of monetary policy by Central Bank. Of all the financial assets, money market mutual fund, bond mutual fund and stock mutual fund are the most important. In consideration of emerging phase of money market mutual fund, this thesis focuses mainly on research for moneyness of bond & stock mutual funds within Taiwan area, attempting to give the most appropriate monetary definition.
The methodology used for this thesis is time-varying parameter, adopting St.Louis reduced form as a basic model to calculate by Kalman smoothing the seasonal growth value of various monetary assets categorized by different monetary definitions, and using Kalman smoothing & Kalman filter to proceed in-sample forecast. The seasonal growth rate of monetary aggregates was estimated by using time-varying parameter as monetary variables in the St. Louis model. Ordinary least squares was then adopted to proceed out-sample forecast for St. Louis model.
Following major points were concluded based on the discovery from this research.
1.Contradictory to traditional theory, the weight of seasonal growth rate of the quasi money is greater than that of M1B.
2.Liquidity as well as transaction entity must be taken into account while designing value of all monetary assets and adjustments should be made if necessary.
3.When bond mutual fund is included, a better forecast capability can be achieved in both in-sample and out-sample forecasts, indicating bond mutual fund should be treated as monetary asset.
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