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題名:長期貨幣中立的性質是否成立?--臺灣與韓國的檢定
書刊名:經濟與管理論叢
作者:陳仕偉 引用關係許芠林
作者(外文):Chen, Shyh-weiHsu, Wen-lin
出版日期:2009
卷期:5:1
頁次:頁1-27
主題關鍵詞:貨幣中立性結構化向量自我迴歸模型衝擊反應函數Money neutralityStructural VARImpulse response function
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:2
  • 點閱點閱:36
本文旨在針對台灣及韓國兩個國家以季資料進行長期貨幣中立性檢定。我們首先利用單根檢定及共整合檢定法確定變數間的恆定性質及共整合現象,接著根據 King and Watson (1997)「King and Watson (1997),Testing Long-Run Neutrality, Federal Reserve Bank of Richmond Economic Quarterly, 83(3), 69-103」結構化向量自我迴歸模型檢定長期貨幣中立性是否成立,並藉由衝擊反應函數觀察各國短期貨幣中立性質。實證結果顯示台灣長期短期皆拒絕中立性假設,韓國長期中立性成立,短期則傾向不支持。我們推測,除了貨幣當局對於貨幣政策的態度外,通貨膨脹率、樣本長度以及貨幣定義等因素,都可能是造成台灣長期貨幣中立性不成立的原因。
期刊論文
1.沈中華(19951200)。貨幣對產出的敏感性檢定--SVAR-VECM模型的應用。臺灣銀行季刊,46(4),71-95。new window  延伸查詢new window
2.Bae,S.K、Jensen,M.J、Murdock,S.G(2005)。Long-Run Neutrality in a Fractionally Integrated Model。Journal of Macroeconomics,27,257-274。  new window
3.Boschen, John F.、Otrok, Christopher M.(1994)。Long-Run Neutrality and Superneutrality in an ARIMA Framework: Comment。American Economic Review,84(5),1470-1473。  new window
4.Boschen, J. F、Mills,L. O(1995)。Tests of Long-Run Neutrality Using Permanent Monetary and Real Shocks。Journal of Monetary Economics,32,25-44。  new window
5.Bullard,J(1999)。Testing Long-Run Monetary Neutrality Propositions: Lessons from the Recent Research。Federal Reserve Bank of St. Louis Review,81,57-78。  new window
6.Bullard, J.、Keating, J. W.(1995)。The Long-Run Relationship between Inflation and Output in Postwar Economies。Journal of Monetary Economics,36,477-496。  new window
7.Coe, P. J、Nason,J. M(2003)。The Long-Run Regression Approach to Monetary Neutrality: How Should the Evidence Be Interpreted。Economics Letters,78,351-356。  new window
8.Coe, P.J、Nason,J.M(2004)。Long-Run Monetary Neutrality and Long-Horizon Regressions。Journal of Applied Econometrics,19,355-373。  new window
9.Crosby,M、Otto,G(2000)。Inflation and the Capital Stock。Journal of Money,Credit and Banking,32,236-253。  new window
10.Fisher, M. E.、Seater, J. J.(1993)。Long-Run Neutrality and Superneutrality in an ARIMA Framework。American Economic Review,83(3),402-415。  new window
11.Haug, Alfred A.、Lucas, Robert F.(1997)。Long-Run Neutrality and Superneutrality in an ARIMA Framework: Comment。American Economic Review,87(4),756-759。  new window
12.Koustas, Z.(1998)。Canadian Evidence on Long-Run Neutrality。Propositions,"Journal of Macroeconomics,20,397-411。  new window
13.Koustas, Zisimos、Serletis, Apostolos(199908)。On the Fisher Effect。Journal of Monetary Economics,44(1),105-130。  new window
14.Koustas,Z、Serletis.F(2003)。Long-Run Phillips-Type Trade-offs in European Union Countries。Economic Modelling,20,679-701。  new window
15.Moosa, I(1997)。Testing the Long-Run Neutrality of Money in a Developing Economy: The Case of India。Journal of Development Economics,53,139-155。  new window
16.Olekalns, N.(1996)。Some Further Evidence on the Long-Run Neutrality of Money。Economics Letters,50,393-398。  new window
17.Rapach, D. E(2002)。The Long-Run Relationship between Inflation and Real Stock Prices。Journal of Macroeconomics,24,331-351。  new window
18.Sargent, T. J.(1971)。A Note on the Accelerationist Controversy。Journal of Money, Credit and Banking,4,721-725。  new window
19.Serletis,A、Krause,D(1996)。Empirical Evidence on the Long-Run Neutrality Hypothesis Using Low-Frequency International Data。Economics Letters,50,323-327。  new window
20.Serletis,A、Koustas,Z(1998)。International Evidence on the Neutrality of Money。Journal of Money, Credit and Banking,30,1-25。  new window
21.Serletis,A、Koustas,Z.(2001)。Monetary Aggregation and the Neutrality of Money。Economic Inquiry,39,124-138。  new window
22.Weber, A. A.(1994)。Testing Long-Run Neutrality: Empirical Evidence for G7-Countries with Special Emphasis on Germany。Carnegie-Rochester Conference Series on Public Policy,41,67-117。  new window
23.King, Robert G.、Watson, Mark(1997)。Testing long-run neutrality。Federal Reserve Bank of Richmond Economic Quarterly,83(3),69-101。  new window
24.Lucas, R. E., Jr.(1976)。Econometric policy evaluation: a critique。Journal of Monetary Economics,1(1),19-46。  new window
25.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
26.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
學位論文
1.朱凱依(2002)。長期貨幣中立性之台灣實證研究(碩士論文)。銘傳大學。  延伸查詢new window
2.葉琴玲(1995)。小型開放經濟體系下貨幣長期中立性之檢定 --台灣資料實證研究(碩士論文)。國立清華大學。  延伸查詢new window
圖書
1.賴景昌(2004)。總體經濟學。台北:雙葉。  延伸查詢new window
2.陳師孟(1990)。總體經濟演義。台北:陳師孟。  延伸查詢new window
3.Friedman, Milton、Schwartz, Anna Jacobson(1963)。A Monetary History of the United States, 1867-1960。Princeton University Press。  new window
圖書論文
1.Lucas, R. E. Jr.(1972)。Econometric Testing of the Natural Rate Hypothesis。The Econometrics of Price Determination。Washington:Board of Governors of the Federal Reserve System。  new window
 
 
 
 
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