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：開放經濟之貨幣需求函數--臺灣的實證
書刊名：文大商管學報
作者：李建強 引用關係／黃景鈴
作者(外文)：Lee, Chien-chiang／Huang, Ching-ling
出版日期：2000
卷期：5:1
頁次：頁43-62
主題關鍵詞：貨幣需求；通貨替代；共整合；誤差修正模型；Money demand；Currency substitution；Cointegration；Error correction 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(1) 博士論文(0) 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:26
  • 點閱點閱:21
鑑於過去研究台灣貨幣需求函數的實證研究中，多採用封閉經濟模型，忽略匯率變動因素對貨幣需求的影響，因此本文利用Johansen and Juselius (1990) 共整合分析法及誤差修正模型，估計開放經濟下之台灣的貨幣需求函數，並進一步探討長、短期間是否具有通貨替代的現象。實證結果發現，在1985年11月至1996年10月這段期間，不論狹義(mlb)或廣義實質貨幣(m2)都與實質所得、名目利率、預期匯率變動率之間存有長期的均衡關係，其中m2的所得彈性較mlb為大，但利率彈性較mlb為小。此外，流動性較大的mlb在長、短期均存在通貨替代的現象，而m2僅長期間存在，且其中又以mlb的通貨替代程度為大。
This paper examines open economy monetary demand function in Taiwan, and tests for the existence of currency substitution during long-run and short-run period between Taiwan and the United States using the Johansen and Juselius (1990) method of cointegration and corresponding the error correction model. Results show that both real Ml b and real M2 have the long-run equilibrium relationship with real income, nominal interest rate, and expected exchange rate of depreciation from 1985: 11 to 1996: 10. In the effect, the income elasticity of real M2 is larger than real M1b’s, but the interest rate elasticity of real M2 is smaller than real M1b’s. In addition real M1b is more volatile, have currency substitution phenomena in long-run and short-run period. However, real M2 only have currency substitution phenomena in long-period. Especially, the currency substitution degree is more in real M1b.
期刊論文
1.Branson, W. H.(1977)。Asset Markets and Relative Prices in Exchange Rate Determination。Sozialwissenschaftliche Annalen，1，69-89。  new window
2.Mundell, Robert A.(1963)。Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates。Canadian Journal of Economics and Political Science，29(4)，475-485。  new window
3.Miles, Marc A.(1978)。Currency, Substitution, Flexible Exchange Rates, and Monetary Independence。American Economic Review，68(2)，428-436。  new window
4.Chen, Chau-nan(1973)。Diversified Currency Holdings and Flexible Exchange Rates。Quarterly Journal of Economics，87(1)，96-111。  new window
5.李榮謙(1989)。貨幣總計數之衡量。中央銀行季刊，11(3)，60-76。new window  延伸查詢new window
6.李建強(1998)。臺灣地區通貨替代的實證研究。企銀季刊，22(2)，111-136。  延伸查詢new window
7.吳中書(1987)。臺灣貨幣需求函數之設定, 結構轉變與預期膨脹。經濟論文，15(2)，87-113。new window  延伸查詢new window
8.林宗耀(1997)。臺灣M2貨幣需求之探討--兼論制度性因素的影響。中央銀行季刊，19(1)，40-70。new window  延伸查詢new window
9.施燕(1988)。臺灣地區短期貨幣需求函數之再探討。中央銀行季刊，10(4)，21-49。new window  延伸查詢new window
10.劉完淳(1997)。通貨替代、資本移動與貨幣需求--臺灣實證研究。臺灣銀行季刊，48(4)，270-287。new window  延伸查詢new window
11.Arango, S.、Nadiri, M. I.(1981)。Demand for money in open economies。Journal of Monetary Economics，20，69-83。  new window
12.Bergstrand, Jeffrey H.、Bundt, Thomas P.(1990)。Currency substitution and monetary autonomy: The foreign demand for US demand deposits。Journal of International Money and Finance，9，325-334。  new window
13.Bordo, Michael D.、Choudhri, Ehsan U.(1982)。Currency substitution and the demand for money: Some evidence for Canada。Journal of Money, Credit, and Banking，14，48-57。  new window
14.Brittain, B.(1981)。International currency substitution and the apparent instability of velocity in some Western European economics and in the United States。Journal of Money Credit and Banking，13，135-155。  new window
15.Davies, N.、Newbold, P.(1979)。Some power studies of a portmanteau test of time series model specification。Biometrika，66，153-155。  new window
16.Frenkel, Jacob A.(1977)。The forward exchange rate, expectations and the demand for money: The German hyperinflation。The American Economic Review，67(4)，653-670。  new window
17.Johansen, S.(1992)。Determination of the cointegration rank in presence of a linear trend。Oxford Bulletin of Economics and Statistics，54，383-397。  new window
18.Johnson, H. G.(1972)。The monetary approach to balance of payments theory。Journal of Financial and Quantitative Analysis，7(2)，1555-1572。  new window
19.Leventakis, J. A.(1993)。Modelling money demand in open economics over the modern floating rate period。Applied Economics，25，1005-1012。  new window
20.Mizen, P.、Pentecost, E. J.(1994)。Evaluating the empirical evidence for currency substitution: A case study of the demand for sterling in Europe。The Economic Journal，104，1057-1069。  new window
21.Osterwald-Lenum, M.(1992)。A note with quartiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics。Oxford Bulletin of Economics and Statistics，54，461-471。  new window
22.Ramirez-Rojas, C. L.(1985)。Currency substitution in Argentina, Mexico, and Uruguay。International Monetary Fund Staff Paper，43，629-667。  new window
23.Rogers, J. H.(1992)。The currency substitution hypothesis and relative money demand in Mexico and Canada。Journal of Money, Credit, and Banking，24，300-317。  new window
24.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autogressive Models。Econometrica，59，1551-1580。  new window
25.簡濟民(1992)。臺灣地區貨幣需求函數之實證研究--誤差修正模型之應用。中央銀行季刊，14(3)，19-44。new window  延伸查詢new window
26.Cuddington, John T.(1983)。Currency Substitution, Capital Mobility and Money Demand。Journal of International Money and Finance，2(2)，111-133。  new window
27.McKinnon, R. I.(1982)。Currency Substitution and Instability in the World Dollar Standard。The American Economic Review，72(3)，320-333。  new window
28.Pantula, S. G.(1989)。Testing for Unit Roots in Time Series Data。Econometric Theory，5，256-271。  new window
29.Karefakis, C. I.、Parikh, A.(1993)。A cointegration approach to monetary targeting in Australia。Australian Economic Papers，32(2)，53-72。  new window
30.Granger, C. W. J.、Newbold, P.(1974)。Spurious Regression in Econometrics。Journal of Econometrics，2(2)，111-120。  new window
31.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika，65(2)，297-303。  new window
32.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics，52(2)，169-210。  new window
33.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
研究報告
1.黃瓊玲、東吳大學經濟學系(1996)。通貨替代，國際資本移動與貨幣需求。  延伸查詢new window
2.Doornik, J, A.、Hansen, H.(1994)。A omnibus test for univariate and multivariate normality。Oxford：Nuffield College。  new window
3.Gonzalo, J.(1989)。Comparison of five alternative methods of estimating long run equilibrium relationships。San Diego：University of California。  new window
學位論文
1.王瑞源(1994)。匯率預期與通貨替代(碩士論文)。淡江大學。  延伸查詢new window
2.沈明珊(1992)。緩衝存量的貨幣觀--共整合與誤差修正模型之實証研究(碩士論文)。淡江大學。  延伸查詢new window
3.邱琇玲(1994)。台灣通貨替代的實證研究(碩士論文)。國立政治大學。  延伸查詢new window
4.陳炤良(1990)。貨幣需求與股票市場(碩士論文)。淡江大學。  延伸查詢new window
5.蔡明宏(1994)。台灣狹義貨幣需求之探討(碩士論文)。國立中興大學。  延伸查詢new window
圖書
1.張家宜(198907)。台灣貨幣需求函數之實證研究。台北：淡江大學出版部。  延伸查詢new window
2.Fuller, Wayne A.(1976)。Introduction to Statistical Time Series。New York, NY：John Wiley and Sons。  new window
3.Godfrey, L. G.(1988)。Misspecification Tests in Econometrics: the Lagrange Multiplier Principle and Other Approaches。Cambridge University Press。  new window
單篇論文
1.Brissimis, S. N.，Leventakis, J. A.(1988)。Currency substitution, capital and the stability of the money demand function。  new window
2.Johansen, S.，Nielsen(1993)。Asymptotic for cointegration rank tests in the presence of intervention dummies-manual for the simulation program DISCO，Institute of Mathematical Statistics：University of Copenhagen。  new window
圖書論文
1.Friedman, Milton(1953)。The Case for Flexible Exchange Rates。Essays in Positive Economics。Chicago：University of Chicago Press。  new window
2.方文碩(1992)。開放經濟貨幣需求模型：共整合與誤差修正模型之應用。中國經濟學會年度論文集。  延伸查詢new window
 
 
 
 
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：1393（臺灣：1386，外國：7） ／ 本年度總使用人次：1855660 ／ 訪客人次（自102年09月）：67659014
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