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題名：通貨替代與貨幣需求: 臺灣的實證研究
書刊名：經濟論文
作者：黃仁德／蕭明福 引用關係
作者(外文)：Hwang, Jen-te／Shaw, Ming-fu
出版日期：1998
卷期：26:4
頁次：頁403-440
主題關鍵詞：通貨替代；資本移動；貨幣需求；Currency substitution；Capital mobility；Money demand
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(2) 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:2
  • 共同引用共同引用:23
  • 點閱點閱:35
　　　　　本文根據資產組合平衡模型，探討在開放經濟下，我國是否存在通貨替代與資本 移動現象，以及這兩個因素對我國貨幣需求的影響。應用 Johansen 的共整合方法分析我國 自開放美元持有以來的資料， 結果發現不論以 M1B 或 M2 所衡量的實質貨幣需求，在長期 下均有強烈證據顯示存在通貨替代現象； 國際資本移動對我國 M1B 需求的影響並不顯著， 但對 M2 需求的影響則無法確定。考慮通貨替代與外國非貨幣資產報酬率因素之狹義與廣義 的貨幣需求函數，均具有穩定性。實證結果也發現，以 M2 制訂的貨幣政策有較高的自主性 ，故央行應以 M2 為標的擬訂貨幣政策；又因 M2 包含外幣存款，使得外國利率會間接影響 到對 M2 的需求，因此以 M2 為標的貨幣政策亦應考慮外國利率。
　　　　　This paper tests for the existence of currency substitutability and capital mobility between Taiwan and the United States, and examines the role of such two factors in influencing money demand derived from a small-country portfolio balance model using the procedures of Johansen cointegration methodology. We find that there exists cointegrating relationships among certain combinations of real money balances, real income, interest rates, currency substitution, and capital mobility. A money demand function incorporated with currency substitution and capital mobility exhibits stability. Empirical results show that currency substitution is a significant factor influencing the long-run demand function for real M1B and real M2, and capital mobility is an insignificant factor influencing the long-run real M1B demand function and its influence on the long-run real M2 demand function is indistinguishable. The result also shows a lower degree of currency substitution for M2 including foreign deposits. This implies that monetary policy targeting M2 is higher autonomously, hence the monetary authority should design monetary polices according to M2 and take currency substitution and foreign interest rates into account.
期刊論文
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51.Miles, M. A.(1978)。Currency Substitution, Flexible Exchange Rate, and Monetary Independence。The American Economic Review，68(2)，428-436。  new window
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54.Ramirez-Rojas, C. L.(1985)。Currency Substitution in Argentina, Mexico, and Uruguay。IMF Staff Papers，32(4)，629-667。  new window
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57.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
58.林宗耀、李榮謙(1989)。貨幣所得流通速度與股市之關係。中央銀行季刊，1(4)，38-45。new window  延伸查詢new window
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會議論文
1.黃仁德、吳柏林(1995)。臺灣短期貨幣需求函數穩定性的檢定：模糊時間序列方法之應用。臺灣經濟學會年會。臺北市：臺灣經濟學會。169-190。  延伸查詢new window
研究報告
1.Roper, D.、Girton, L.(1976)。Theory and Implications of Currency Substitution。0。  new window
2.Johansen, S.、Hansen, H.(1993)。Recursive Estimation in Cointegrated VAR-models。0。  new window
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5.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.吳萼清(1994)。小型開放經濟下的貨幣需求函數，0。  延伸查詢new window
2.邱秀玲(1994)。臺灣之通貨替代實證研究，0。  延伸查詢new window
3.楊淑惠(1993)。臺灣地區通貨替代的實證研究，0。  延伸查詢new window
4.謝德宗(1986)。通貨替代的個體基礎與總體政策效果，0。new window  延伸查詢new window
5.顏麗真(1993)。臺灣地區通貨替代實證研究：需求系統方法，0。  延伸查詢new window
6.王瑞源(1993)。匯率預期與通貨替代，0。  延伸查詢new window
圖書
1.Hansen, H.、Juselius, K.(1995)。CATs in RATs: Cointegration Analysis of Time Series。Evanston, IL：Worldwide Press。  new window
2.Banerjee, A.、Galbraith, J. W.、Dolado, J. J.、Hendry, D. F.(1993)。Co-Integration, Error Correction, and the Econometric Analysis of Non-Stationary Data。New York：Oxford University Press。  new window
3.Hendry, D. F.、Hendry, David F.(1995)。Dynamic Econometrics。Dynamic Econometrics。Oxford/ New York, NY：Oxford University Press。  new window
4.Fuller, W. A.(1996)。Introduction to statistical time series。New York：Wiley & Sons。  new window
5.Johansen, S.(1995)。Likelihood-based inference in cointegrated vector autoregressive models。Oxford University Press。  new window
6.梁明義、陳坤銘、劉壽祥(1982)。臺灣貨幣需求之再分析。臺灣貨幣需求之再分析。沒有紀錄。  延伸查詢new window
7.Branson, W. H.、Henderson, D. W.(1985)。The Specification and Influence of Asset Markets。Handbook of International Economics。Amsterdam, Netherlands：North-Holland。  new window
8.Giovannini, A.、Turtelboom, B.(1996)。Currency Substitution。Handbook of International Economics。Amsterdam, Netherlands。  new window
9.Hylleberg, S.(1991)。Modelling seasonality。Modelling seasonality。Oxford。  new window
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11.McKinnon, R. I.(1985)。Two Concepts of International Currency Substitution。The Economic of the Caribbean Basin。New York, NY。  new window
12.黃瓊玲(1996)。通貨替代、國際資本移動與貨幣需求。通貨替代、國際資本移動與貨幣需求。沒有紀錄。  延伸查詢new window
13.許嘉棟、吳中書(1993)。臺灣的股票、房地產與貨幣市場之關聯性分析。臺灣的股票、房地產與貨幣市場之關聯性分析。沒有紀錄。  延伸查詢new window
其他
1.Johansen, S.，Nielsen, B.(1993)。Asymptotics for Cointegration Rank Tests in the Presence of Interventions Dummies - Manual for the Simulation Program DISCO，0。  new window
2.Dengso, I.，Johansen, S.，Nielsen, B.，Rahbek, A.(1994)。Test for Cointegration Rank in Partial Systems，0。  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.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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