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題名:臺灣貨幣需求行為模式之建立與實證研究
書刊名:華人經濟研究
作者:梁榮輝 引用關係
出版日期:2004
卷期:2:1
頁次:頁1-42
主題關鍵詞:貨幣需求預期調整模式時差分配落後期數Cobb-Douglas函數
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 共同引用共同引用:7
  • 點閱點閱:27
鑒於歷年來貨幣需求理論和實證之爭論,包括貨幣需求決定因素之預期、名目和實質、物價、時差分配型態或落後期數,以及總體計量方法等,故利用不同的調整設定,在Cobb-Douglas目標函數經由自然對數轉換成直線形式,在不同預期調整設定下進行預期模式的推導,其主要影響變數計有國民所得、利率和物價,以及其時差分配落後期數。計有單一預期調整模式和雙重預期模式,前者包括靜態、類推、適應和部分調整預期等調整設定;後者包括Waud模式所引用的Nerlove和Cagan模式之交互運用。經由有系統及分層的研究推導,可以在上述不同調整設定下,求算出不同的貨幣需求估計式。這些估計式除了因名目和實質變數不同的目標設定,或預期調整外,可以得出各變數的特定落後期數(最多為兩期),不同的物價形成組合,以及行為參數特定的條數限制條件式,這些貨幣需求估計式均有其個體基礎的分析和意義。針對上述推導之不同貨幣需求估計式,以台灣近20年之季資料,進行迴歸統計分析,得到幾點結論:(一)贊賞調整的估計式,以實質變數之結果較為理想,(二)係數限制條件式較無限制條件之估計式為佳,(三)單一預期調整模式,以部分預期調整之估計式較佳,(四)物價方面,名目貨幣採Cagan和物價(非單一彈性)的調整模式,費者查結果最符合台灣情況,(五)利率方面,具限制條件之估計式名目貨幣採Nerlove和名目利率採Cagan的調整模式,可以得到利率方面的實證支持,(六)所得方面,具限制條件之估計式,名目貨幣和名目所得均採Cagan的調整模式,可以得到所得方面的實證支持。
期刊論文
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會議論文
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圖書論文
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