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題名:美國聯準會貨幣政策與台灣金融指標之動態關聯分析
作者:謝甲輝
作者(外文):Hsieh,Chia-Hui
校院名稱:國立高雄第一科技大學
系所名稱:財務金融學院博士班
指導教授:許溪南
楊德源
學位類別:博士
出版日期:2018
主題關鍵詞:Mundell-Fleming 模型跨國傳遞機制向量自我迴歸模型金融指標Mundell-Fleming ModelCross-country transition mechanismVector Autoregression modelFinancial Indicators
原始連結:連回原系統網址new window
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本研究以Mundell-Fleming Model理論,探討美國聯準會Fed貨幣政策透過跨國傳遞機制,對台灣金融指標影響的動態關聯分析,以台美1989 年至 2017 年之月資料為實證對象,分析美國聯邦基金利率、台灣金融業隔夜拆款利率、台灣貨幣總計數、美元即期匯率、台灣入出超總值、台灣工業生產指數與台灣消費者物價指數間之關係。
將上述變數進行向量自我迴歸分析,因果關係檢定、預測誤差變異數分解與進行衝擊反應函數分析,實證結果為美國聯準會的寬鬆貨幣政策,經由匯率管道(exchange rate channel)即貿易管道之跨國傳遞機制對台灣的金融指標影響較大,其中較為顯著的變數包括:台灣工業生產指數、台灣金融業隔夜拆款利率、美元即期匯率、台灣入出超總值等。
Via Mundell-Fleming Model, this paper explores the cross-country transition of the monetary policy of the Fed on the impact of Taiwan’s financial index’s with dynamic correlation analysis. The monthly data of Taiwan and the US are used to analyze the Fed funds rate, Taiwan financial industry’s offered rate, monetary supply, US dollar spot exchange rate, trade surplus/deficit, industrial production index, and the relationship of Taiwan’s CPI.
With Vector Autoregression model (VAR), tests of causality, predicted variance decomposition and impulse response function. The result shows that the quantitative easy of the Fed works via exchange rate channel, that is the cross-country transition mechanism of trade has a larger imptact on Taiwan’s financial index, with significant variables such as Taiwan’s industrial production index, Taiwan’s banking overnight interest rate, US dollar spot exchange rate and Taiwan’s import/export volume.
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