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：臺灣貨幣供給與農工產品物價互動關係之驗證
書刊名：農業經濟半年刊
作者：林灼榮 引用關係／金大勇 引用關係
作者(外文)：Lin, Jwu-rong／Kam, Tai-yung
出版日期：2001
卷期：70
頁次：頁57-89
主題關鍵詞：誤差修正模型；貨幣中立性；中間目標；Error correction model；Monetary neutrality；Intermediate targets
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:43
  • 點閱點閱:31
有關貨幣與一般（絕對）物價水準之互動關係，過去國內外理論與實證文獻，大部份皆由單一部門總體層面進行驗證，然而當農工部門之市場結構存在顯著差異時，貨幣與部門別物價間之互動關係，可能更值得關注。依循此研究背景，本文使用包括廣義貨幣供給（M2）、農民所得物價（PF）、製造業臺售物價（PM）、三個月期可轉讓定期存單實質利率（CR）等四個變數之誤差修正模型（ECM），探究臺灣貨幣供給與農工物價之互動關係。實證結果顯示：（1）臺灣貨幣供給與農工物價存在長期共積且等比例變動之關係，即支持貨幣中立性之命題。（2）在ECM下所進行之變異數分解，顯示四個變數之外生性，依序為PM、CR、PF及M2；此等實證結果顯示，臺灣央行在貨幣政策中間目標之選擇上，似乎應捨棄不易控制的數量目標（貨幣供給），而改採外生性（獨立性）較高的價格目標（利率）；換言之，晚近臺灣經濟干擾大部分源於金融面，就學理言，採行釘住利率政策相對會縮小景氣波動幅度。（3）在ECM下所進行之衝擊反應分析，顯示變數間之相互衝擊效果呈現長期收斂而短期波動現象，此再次證明變數間存在長期穩定共積關係，故短期效果會隨著時間遲延而下降；其中CR對PM之衝擊效果大於PF，而M2對PF影響力大於PM；換言之，中間目標變數對最終目標（農工價格），呈現不對稱之衝擊效果。
Most recent theorical and empirical researches that investigate the interaction between the mony and the general price level are concentrated only to one sector of a macro model. If the market structrures of the agricultural and industrial sector are taken into account, the degree of structural differentiation of those two sectors may have significant effect on the interaction between those two variables. This paper empolys the error correction model to investigate the interrelationships between Taiwan's money supply and the relative commodity price by examining the integration relationship among the variables including monetary aggregate (M2), agricultural product price (PF), manufacturing product price (PM), three month's interest rate for the certificate of deposit (CR). The empirical results show the following: (1) There exists an evidence of a long-term relationship between M2, PF and PM. The result, in fact, consistent with the conventional view that money is neutral. (2) Variance decomposition analysis show that the exogeneity ordering of the variables is (PM, CR, PF, M2). The result suggests that Taiwanese authorities should choose the variables with higher degree of exogeneity such as interest rate to aim for as intermediate targets, instead of aiming at those variables such as money supply that difficult to control. In other words, the latest interventions conducted by the authorities are concertrated on the financial sector, aiming at the interest rate would reduce the variation in the economy caused by the recession. (3) The impulse response analysis show that the impulse impacts among the variables vary in the short-run, but tends to die out in the long-run. The result implies that there is a evidence of long-term cointegrated relationship among the variables. The short-term effect will diminish as the time horizon stretches out. In addition, the impulse impact of CR on PM is greater than on PF, and the impulse impact of M2 on PF is greater than on PM, which implies that the impulse impact of the intermediate targets on the goal variables (PF and PM) is asymmetrically.
期刊論文
1.胡士文、賴景昌、王葳(19970600)。貨幣政策、預期形成與農產品價格的動態調整。農業經濟叢刊，2(2)，211-239。new window  延伸查詢new window
2.Thornton, Daniel L.、Batten, Dallas S.(1985)。Lag-length selection and tests of Granger causality between money and income。Journal of Money, Credit, and Banking，17(2)，164-178。  new window
3.Bessler, David A.(1984)。Relative Prices and Money: A Vector Autoregression on Brazilian Data。American Journal of Agricultural Economics，66(1)，25-30。  new window
4.Bordo, M. D.(1980)。The Effects of Monetary Change on Relative Commodity Prices and the Role of Long-Term Contracts。Journal of Political Economy，88，1088-1109。  new window
5.Choe, Young Chan、Koo, Won W.(1993)。Monetary Impacts on Prices in the Short and Long Run: Further Results for the United States。Journal of Agricultural and Resource Economics，18(2)，211-224。  new window
6.Frankel, J. A.(1986)。Expectations and Commodity Price Dynamics: The Overshooting Model。American Journal of Agricultural Economics，68，344-348。  new window
7.Lai, C. C.、Hu, S. W.、Wang, V.(1996)。Commodity Price Dynamics and Anticipated Shocks。American Journal of Agricultural Economics，78，982-990。  new window
8.Lapp, John S.(1990)。Relative Agricultural Prices and Monetary Policy。American Journal of Agricultural Economics，72(3)，622-630。  new window
9.Hsiao, Cheng(1981)。Autoregressive Modeling and Money-Income Causality Detection。Journal of Monetary Economics，7(1)，85-106。  new window
10.Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica，50(4)，987-1008。  new window
11.Sims, C. A.(1972)。Money, income and causality。American Economic Review，62，540-552。  new window
12.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica，59(6)，1551-1580。  new window
13.Orden, D.(1986)。Money and Agriculture: The Dynamics of Money Financial Market-Agricultural Trade Linkages。Agricultural Economics Research，38(3)，14-28。  new window
14.吳致寧(19940300)。匯率與單根--臺灣之實證研究。經濟論文，22(1)，101-133。new window  延伸查詢new window
15.Perron, P.(1988)。Trends and Random Walks in Macroeconomic Time Series: Further Evidence from a new Approach。Journal of Dynamics and Control，12，297-332。  new window
16.Schwert, G. W.(1987)。Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data。Journal of Monetary Economics，20(1)，73-103。  new window
17.Sims, Christopher A.(1987)。Vector Autoregressions and Reality: Comment。Journal of Business & Economic Statistics，5(4)，443-449。  new window
18.黃柏農(19930300)。滯留期數與移動平均項次對ADF與PP單根檢定法的影響--使用Monte Carlo模擬分析。經濟論文，21(1)，117-149。new window  延伸查詢new window
19.Osterwald-Lenum, M.(1992)。A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics，54(3)，461-471。  new window
20.Phillips, P. C. B.(1987)。Time series regression with a unit root。Econometrica: Journal of the Econometric Society，55(2)，277-301。  new window
21.Stock, James H.、Watson, Mark W.(1989)。Interpreting the Evidence on Money-Income Causality。Journal of Econometrics，40(1)，161-181。  new window
22.Engle, Robert F.、Yoo, Byung Sam(1987)。Forecasting and Testing in Co-Integrated Systems。Journal of Econometrics，35(1)，143-159。  new window
23.Barro, Robert J.(1978)。Unanticipated Money, Output, and the Price Level in the United States。Journal of Political Economy，86(4)，549-580。  new window
24.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society，37(3)，424-438。  new window
25.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society，49(4)，1057-1072。  new window
26.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
27.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
28.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
29.Kwiatkowski, Denis、Phillips, Peter C. B.、Schmidt, Peter、Shin, Yongcheol(1992)。Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?。Journal of Econometrics，54(1-3)，159-178。  new window
30.陳昭南(19760300)。輸入性通貨膨脹之研究。經濟論文，4(1)，105-123。new window  延伸查詢new window
31.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics，2(2)，111-120。  new window
32.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika，75(2)，335-346。  new window
33.Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika，71(3)，599-607。  new window
34.Orden, D.、Robertson, J. C.(1990)。Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand。American Journal of Agricultural Economics，72，160-171。  new window
35.Penson, J. B. Jr.、Jansen, D. W.、Han, D. B.(1990)。Variance of Agricultural Prices, Industrial Prices, and Money。American Journal of Agricultural Economics，72，1066-1073。  new window
36.Devadoss, S.、Meyers, W. H.(1987)。Relative Prices and Money: Further Results for the United States。American Journal of Agricultural Economics，69，838-842。  new window
37.Chambers, R. G.(1984)。Agricultural and Financial Market Interdependence in the Short Run。American Journal of Agricultural Economics，66，12-24。  new window
38.Chambers, R. G.、Just, R. E.(1982)。An Investigation of the Effect of Monetary Factors on U. S. Agriculture。Journal of Monetary Economics，9，235-247。  new window
39.Berrnett, R. C.、Bessler, D. A.、Thompson, R. L.(1983)。The Money Supply and Nominal Agricultural Prices。American Journal of Agricultural Economics，65(2)，303-307。  new window
40.Saunders, P. J.、Bailey, D.(1986)。Effects of Monetary Changes on the Price Level and Output in the U. S. Agricultural Sector。Agricultural Financial Review，46，58-68。  new window
41.Van Duyne, C.(1982)。Food Prices, Expectations, and Inflation。American Journal of Agricultural Economics，64，419-430。  new window
42.Van Duyne, C.(1979)。The Macroeconomic Effects of Commodity Market Disruptions in Open Economics。Journal of International Economics，9，559-582。  new window
43.王春源(1985)。理性預期下管制物價政策與貨幣供給政策相對價格離散之影響－臺灣的經驗。中國經濟學會年會論文集，99-121。  延伸查詢new window
44.吳中書(1985)。貨幣、所得與物價－理性預期模型下貨幣中立性之臺灣實證研究。中國經濟學會年會論文集。  延伸查詢new window
45.林灼榮(1982)。貨幣、所得與價格之因果關係－臺灣的實證。臺灣銀行季刊，33(3)，64-90。new window  延伸查詢new window
46.林灼榮(1986)。我國貨幣供給與農產價格因果關係之研究。農業經濟半年刊，39，71-82。new window  延伸查詢new window
47.林灼榮(1988)。臺灣輸入型通貨膨脹之研究－因果關係檢定法及落遲分配模型之應用。逢甲學報，21，119-146。  延伸查詢new window
48.林灼榮、高在模、嚴宗銘(1989)。貨幣供給與農產價格關係之研究－中韓兩國之比較分析。臺灣經濟（臺灣省政府），149，31-42。  延伸查詢new window
49.林灼榮、郭添保、廖芳敏(1997)。臺灣食物類價格偏向預期假說之檢證。臺灣經濟學會年會論文集，163-185。  延伸查詢new window
50.黃柏農(1991)。臺灣貨幣政策中立性檢定。中國經濟學會年會論文集，141-161。  延伸查詢new window
51.彭作奎、林灼榮(1989)。臺灣食物類價格與物價膨脹關係之研究。臺灣銀行季刊，40(2)，175-212。new window  延伸查詢new window
52.Attfield, C. L. F.、Demery, D.、Duck, N. W.(1981)。A Quarterly Model of Unanticipated Monetary Growth, Output, and the Price Level in the U. K. 1963-1978。Journal of Monetary Economics，8，331-350。  new window
53.Bordo, M. D.、Choudhri, E. V.(1982)。The Link between Money and Prices in an Open Economy: The Canadian Evidence from 1971 to 1980。Economic Review，64(7)，12-23。  new window
54.Chambers, R. G.(1981)。Interrelationships between Monetary Instruments and Agricultural Commodity Trade。American Journal of Agricultural Economics，63，934-941。  new window
55.Schroeder, T. C.、Goodwin, B. K.(1991)。Cointegration Tests and Spatial Price Linkages in Regional Cattle Markets。American Journal of Agricultural Economics，72，452-463。  new window
56.胡士文、賴景昌、王葳(1998)。Monetary Announcement and Commodity Price Dynamics: A Portfolio Balance Model。The American Economic Review，71-81。  new window
57.Heien, D. M.(1980)。Markup Pricing in a Dynamic Model of the Food Industry。American Journal of Agricultural Economics，62，10-18。  new window
58.Krol, R.、Ohanian, L. E.(1990)。The Impact of Stochastic and Deterministic Trends on Money-Output Causality: A Multi-Country Investigation。Journal of Econometrics，45，291-308。  new window
59.Lamm, R. M.、Westcott, P. C.(1981)。The Effects of Changing Input Costs on Food Prices。American Journal of Agricultural Economics，63，187-196。  new window
60.Lee, H. S.、Siklos, P. L.(1991)。Unit Roots and Seasonal Unit Roots in Macroeconometric Time Series。Economics Letters，35，275-277。  new window
61.Lapp, J. S.、Smith, V. H.(1992)。Aggregate Sources of Relative Price Variability among Agricultural Commodities。American Journal of Agricultural Economics，74，1-9。  new window
62.Parks, Richard W.(1978)。Inflation and Relative Price Variability。Journal of Political Economy，86(1)，79-95。  new window
63.West, K.、Otto, G.(1990)。Seasonal Unit Root Tests on Canadian Macroeconomic Time Series。Economics Letters，34，117-120。  new window
64.Pierce, D. A.、Haugh, L. D.(1977)。Causality in Temporal Systems: Characterizations and Survey。Journal of Econometrics，5，265-293。  new window
65.Starleaf, D. R.(1982)。Macroeconomic policies Impact on the Farm Sector。American Journal of Agricultural Economics，854-860。  new window
會議論文
1.汪義育(2000)。臺灣物價與所得因果關係之研究。沒有紀錄。49-97。  延伸查詢new window
2.許振明、莊靜真(1993)。臺灣貨幣政策之探討－共積分析法之應用。沒有紀錄。  延伸查詢new window
學位論文
1.蔡麗茹(1988)。臺灣總體經濟變數之因果關係檢定，0。  延伸查詢new window
2.許登芳(1993)。共整合與購買力平價說：臺灣實證研究(碩士論文)。逢甲大學。  延伸查詢new window
3.蔡麗茹(1992)。總體數列之非恆定計量方法與應用，0。new window  延伸查詢new window
圖書
1.Fuller, W. A.(1996)。Introduction to statistical time series。New York：Wiley & Sons。  new window
2.Pindyck, Robert S.、Rubinfeld, Daniel L.(1998)。Econometric Models and Economic Forecasts。McGraw-Hill Book Company。  new window
3.White, K. J.(1993)。SHAZAM User's Reference Manual。SHAZAM User's Reference Manual。沒有紀錄。  new window
4.吳中書(1994)。Money, Output, Exchange Rate, and Price: The Case of Taiwan。Money, Output, Exchange Rate, and Price: The Case of Taiwan。Taipei。  new window
5.林灼榮(1994)。貨幣供給與農工產品躉售物價之因果關係及外生性檢定。農業經濟論文專集33。沒有紀錄。  延伸查詢new window
6.Engle, R. F.、Granger, C. W. J.(1991)。Long-Run Economic Relationships: Reading in Cointegration。Long-Run Economic Relationships: Reading in Cointegration。沒有紀錄。  new window
圖書論文
1.汪義育(1985)。台灣物價與所得波動之探討--向量自迴歸模型分析之結論。中國經濟學會論文集。  延伸查詢new window
2.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  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：967（臺灣：959，外國：8） ／ 本年度總使用人次：2042760 ／ 訪客人次（自102年09月）：67860201
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