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題名:貨幣乘數之預測--向量誤差修正模型之應用
書刊名:臺灣銀行季刊
作者:廖永熙王永昌 引用關係
出版日期:2002
卷期:53:4
頁次:頁89-112
主題關鍵詞:貨幣乘數向量自我迴歸模型Johansen共整合向量誤差修正模型衝擊反應分析預測誤差變異數分解
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本文利用向量自我迴歸模型及向量誤差修正模型對貨幣乘數進行預測,並和傳統之ARIMA模型、Granger and Engle誤差修正模型比較各個貨幣乘數的預測能力,經由實證結果可得如下之發現:各個定義之貨幣乘數和總體經濟變數均存在共整合之證據。整體而言,向量自我迴歸及向量誤差修正模型比ARIMA模型、Granger and Engle誤差修正模型能更正確的預測各個貨幣乘數,故本研究建議使用向量自我迴歸模型及向量誤差修正模型對貨幣乘數進行預測。
期刊論文
1.Masih, R.、Masih, A. M. M.(1996)。Macroeconomic activity dynamics and Granger causality: New evidence from a small developing economy based on a vector error-correction modelling analysis。Economic Modelling,13(3),407-426。  new window
2.Cheung, Yin-Wong、Lai, Kon S.(1993)。Finite-Sample Size of Johansen's Likelihood Ratio Tests for Cointegration。Oxford Bulletin of Economics and Statistics,55(3),313-328。  new window
3.Bernanke, Ben S.(1986)。Alternative explanations of the money-income correlation。Carnegie-Rochester Conference Series on Public Policy,25(1),49-99。  new window
4.Johansen, Soren(1991)。Estimation and Hypothesis Testing of Cointegration Vectors m Gaussian Vector Autoregressive Models。Econometrica,59(6),1551-1580。  new window
5.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),461-472。  new window
6.Johansen, S.、Juselius, K.(1990)。Maximum Likelihood Estimation and Inference on Co-integration with Applications for the Demand for Money。Oxford Bulletin of Economics and Statistics,52,169-210。  new window
7.Johannes, Jane M.、Rasche, Robert H.(1979)。Predicting the Money Multiplier。Journal of Monetary Economics,5,301-325。  new window
8.沈中華(19981200)。貨幣政策中間目標的抉擇: 理論與實際。中央銀行季刊,20(4),31-53。new window  延伸查詢new window
9.林灼榮、金大勇(20011200)。臺灣貨幣供給與農工產品物價互動關係之驗證。農業經濟半年刊,70,57-89。new window  延伸查詢new window
10.梁發進(20010600)。臺灣貨幣供給、貨幣乘數與主要經濟變數之關係。華信金融季刊,14,25-37。  延伸查詢new window
11.Baltensperger, E.(1972)。Economics of Scale, Finn Size, and Concentration in Banking。Journal of Money, Credit and Banking,4,467-489。  new window
12.Bomhoff, E. J.(1977)。Forecasting The Money Multiplier : A Case Study for the U.S. and the Netherlands。Journal of Monetary Economics,3,325-345。  new window
13.Burger, A. E.、Rasche, R. H.(1977)。Revision of The Money Base。Federal Reserve Bank of St. Louis Review,61,3-8。  new window
14.Friendman, M.(1959)。The Demand for Money: Some Theoretical and Empirical Result。Journal of Political Economy,67,683-730。  new window
15.Fountas, S.、Laily, B.、Wu, J. L.(1999)。The Relationship between Inflation and Wage Growth in the Irish Economy。Applied Economics Letters,6,317-321。  new window
16.Gauger, J.(1998)。Economic Impacts on the Money Supply Process。Journal of Macroeconomics,20(3),553-577。  new window
17.Hafer, R. W.、Hein, Scott E.、Kool, Clemens J. M.(1983)。Forecasting The Money Multiplier: implications for Money Stock Control and Economic Activity。Federal Reserve Bank of St. Louis Review,65,22-33。  new window
18.Hafer, R. W.、Hein, Scott E.(1984)。Predicting the Money Multiplier Forecasts from Component and Aggregate Models。Journal of Monetary Econometrics,14(3),375-384。  new window
19.Hagen, J. V.(1990)。Operating Targets and Information Variables in Money Multiplier Forecasting。Weltwirtschaftliches Archiv,375-384。  new window
20.Nantz, D.(1998)。Banks' Demand for Reserves when Future Monetary Policy is Uncertain。Journal of Monetary Economics,42,161-183。  new window
21.Zaki, M. Y.(1995)。Forecasting the Multiplier and the Control Supply in Egypt。The Journal of Development Studies,32(1),97-111。  new window
22.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
23.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
24.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
25.Dwyer, M.、Cooley, T. F.(1998)。Business Cycle Analysis without Much Theory: A Look at Structural VARs。Journal of Econometrics,83,57-88。  new window
26.Serletis, A.(1993)。Money and Stock Price in the United States。Applied Financial Economics,3,51-54。  new window
會議論文
1.黃柏農(1993)。貿易收支與匯率及總體變數間之因果關係探封:中美及中日間之實證分析。中國經濟學會年會,211-228。  延伸查詢new window
研究報告
1.王永昌、邢慰祖、王葳(1992)。貨幣乘數之研究。  延伸查詢new window
學位論文
1.李勇鋒(1993)。貨幣乘數對貨幣政策獨立性之分析(碩士論文)。國立清華大學。  延伸查詢new window
2.余靖瑩(1994)。貨幣乘數之預測(碩士論文)。逢甲大學。  延伸查詢new window
3.蔡嫚鞠(1999)。臺灣總體經濟變數對貨幣乘數之影響(碩士論文)。國立中興大學。  延伸查詢new window
圖書
1.McCallum, Bennett T.、Whitaker, John K.(1989)。Monetary Economics: Theory and Policy。New York, NY:Macmillan Publishing Company。  new window
2.Godfrey, L. G.(1988)。Misspecification Tests in Econometrics: the Lagrange Multiplier Principle and Other Approaches。Cambridge University Press。  new window
3.Enders, W.(1995)。Rats Handbook for Econometric Times Series。Iowa State University:John Wiley & Sons, Inc.。  new window
圖書論文
1.Friendman, M.(1956)。The Quantity Theory of Money Restatement。Studies in The Quantity Theory of Money。Chicago:University of Chicago Press。  new window
 
 
 
 
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