:::

詳目顯示

回上一頁
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-teShaw, 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 substitutionCapital mobilityMoney 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:33
     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
1.Wallace, Neil、Kareken, John(1981)。On the Indeterminacy of Equilibrium Exchange Rates。The Quarterly Journal of Economics,96(2),207-222。  new window
2.Engle, Robert F.、Hendry, David F.、Richard, Jean F.(1983)。Exogeneity。Econometrica,51(2),277-304。  new window
3.Jarque, Carlos M.、Bera, Anil K.(1980)。Efficient Tests for Normality, Homoscedasticity and Serial Independence of Regression Residuals。Economics Letters,6(3),255-259。  new window
4.Johansen, S.(1992)。Cointegration in Partial Systems and the Efficiency of Single-Equation Analysis。Journal of Econometrics,52,389-402。  new window
5.Johansen, Soren、Juselius, Katarina(1992)。Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK。Journal of Econometrics,53(1-3),211-244。  new window
6.Mundell, Robert A.(1963)。Capital Mobility and Stabilization Policy under Fixed and Flexible Exchange Rates。Canadian Journal of Economics and Political Science,29(4),475-485。  new window
7.Chen, Chau-nan(1973)。Diversified Currency Holdings and Flexible Exchange Rates。Quarterly Journal of Economics,87(1),96-111。  new window
8.Chen, Chau-nan、Tsaur, Tien-wang(1983)。Currency Substitution and Foreign Inflation。Quarterly Journal of Economics,98(1),177-184。  new window
9.Frankel, Jeffrey A.(1992)。Measuring International Capital Mobility: A Review。The American Economic Review,82(2),197-202。  new window
10.林宗耀(19931200)。貨幣需求與信用卡本質之探討。中央銀行季刊,15(4),56-87。new window  延伸查詢new window
11.Johansen, S.(1991)。Estimation and Hypothesis Testing of Cointegrating Vectors in Gaussian Vector Autoregressive Model。Econometrica,59(6),1551-1580。  new window
12.許嘉棟(19830900)。臺灣貨幣需求的所得彈性。經濟論文,11(2),13-30。new window  延伸查詢new window
13.Johansen, S.(1992)。Testing weak exogeneity and the order of cointegration in UK money demand data。Journal of Policy Modeling,14(3),313-334。  new window
14.Cuddington, John T.(1983)。Currency Substitution, Capital Mobility and Money Demand。Journal of International Money and Finance,2(2),111-133。  new window
15.McKinnon, R. I.(1982)。Currency Substitution and Instability in the World Dollar Standard。The American Economic Review,72(3),320-333。  new window
16.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
17.Granger, C. W. J.(1981)。Some Properties of Time Series Data and Their Use in Econometric Model Specification。Journal of Econometrics,16(1),121-130。  new window
18.Phillips, P. C. B.(1987)。Time series regression with a unit root。Econometrica: Journal of the Econometric Society,55(2),277-301。  new window
19.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。  new window
20.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
21.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
22.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
23.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
24.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
25.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
26.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics,2(2),111-120。  new window
27.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
28.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
29.施燕(1988)。臺灣地區短期貨幣需求函數之再探討。中央銀行季刊,10(4),21-49。new window  延伸查詢new window
30.Friedman, M.(1988)。Money and the Stock Market。Journal of Political Economy,96(2),221-245。  new window
31.Hylleberg, S.、Engle, R. F.、Granger, C. W. J.、Yoo, B. S.(1990)。Seasonal Integration and Co-Integration。Journal of Econometrics,44,215-238。  new window
32.Johansen, S.(1992)。Determination of the Cointegration Rank in the Presence of a Linear Trend。Oxford Bulletin of Economics and Statistics,54,383-397。  new window
33.Judd, J. P.、Scadding, J. L.(1982)。The Search for a Stable Money Demand Function: A Survey of the Post-1973 Literature。Journal of Economic Literature,20,993-1023。  new window
34.Pantula, S. G.(1989)。Testing for Unit Root in Time Series Data。Econometric Theory,5,256-271。  new window
35.Garcia, R.(1998)。Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Model。International Economic Review,39,763-788。  new window
36.Agenor, P.、Khan, M. S.(1996)。Foreign Currency Deposits and the Demand for Money in Developing Countries。Journal of Development Economics,50,101-118。  new window
37.Amble, S.、McKinnon, R. I.(1985)。US Monetary Policy and the Exchange Rate: Comment。The American Economic Review,75(11),557-559。  new window
38.Arango, S.、Nadiri, M. I.(1981)。Demand for Money in Open Economies。Journal of Monetary Economics,7,69-83。  new window
39.Bana, I. M.、Handa, J.(1990)。Currency Substitution and Transaction Costs。Empirical Economics,15(3),231-243。  new window
40.Bergstrand, J. H.、Bundt, T. P.(1990)。Currency Substitution and Monetary Autonomy: The Foreign Demand for U. S. Demand Deposits。Journal of International Money and Finance,9(3),325-334。  new window
41.Bordo, M.、Choudhri, E.(1982)。Currency Substitution and Demand for Money: Some Empirical Evidence for Canada。Journal of Money, Credit and Banking,14,48-57。  new window
42.Bufman, G.、Leiderman, L.(1992)。Simulating an Optimizing Model of Currency Substitution。Revista de Analisis Economico,7(1),109-124。  new window
43.Choudhry, T.(1995)。High Inflation Rates and the Long-Run Money Demand Function: Evidence from Cointegration Tests。Journal of Macroeconomics,17(1),77-91。  new window
44.Daniel, B. C.、Fried, Harold O.(1983)。Currency Substitution, Postal Strikes, and Canadian Money Demand。The Canadian Journal of Economics=Revue canadienne d'Economique,16(4),612-624。  new window
45.Girton, L.、Roper, D.(1981)。Theory and Implications of Currency Substitution。Journal of Money, Credit and Banking,97,12-30。  new window
46.Johnson, P. D.(1972)。Money and Economic Activity in an Open Economy: The United Kingdom 1880-1970。Journal of Political Economy,84(5),972-1012。  new window
47.Joines, D. H.(1985)。International Currency Substitution and the Income Velocity of Money。Journal of International Money and Finance,4(3),303-316。  new window
48.Leventakis, J. A.(1993)。Modelling Money Demand in Open Economies over the Modern Floating Rate Period。Applied Economics,25,1005-1012。  new window
49.Leventakis, J. A.、Brissimis, S. N.(1991)。Instability of the U. S. Money Demand Function: A Survey of the Issues。Journal of Economic Surveys,5,131-161。  new window
50.McKinnon, R. I.、Radcliffe, C.、Willett, T. D.、Warga, A. D.、Tan, K. Y.(1984)。International Influences on the U. S. Economy: Summary of an Exchange。The American Economic Review,74(11),1132-1134。  new window
51.Miles, M. A.(1978)。Currency Substitution, Flexible Exchange Rate, and Monetary Independence。The American Economic Review,68(2),428-436。  new window
52.Miles, M. A.(1981)。Currency Substitution: Some Further Results and Conclusions。Southern Economic Journal,48,208-217。  new window
53.Mizen, P.、Pentecost, E. J.(1994)。Evaluating the Empirical Evidence for Currency Substitution: A Case Study of the Demand for Sterling in Europe。The Economic Journal,104(9),1057-1069。  new window
54.Ramirez-Rojas, C. L.(1985)。Currency Substitution in Argentina, Mexico, and Uruguay。IMF Staff Papers,32(4),629-667。  new window
55.Spinelli, F.(1983)。Currency Substitution, Flexible Exchange Rats, and the Case for International Monetary Cooperation: Discussion of a Recent Proposal。IMF Staff Papers,30(4),755-783。  new window
56.Thomas, L. R.(1985)。Portfolio Theory and Currency Substitution。Journal of Money, Credit and Banking,17,347-357。  new window
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
59.Choi, I.(1994)。Residual-Based Tests for the Null of Stationarity with Applications to U. S. Macroeconomic Times Series。Econometric Theory,10,720-746。  new window
60.方文碩(1992)。開放經濟貨幣需求模型:共整合與誤差修正模型之應用。中國經濟學會年會論文集,83-110。  延伸查詢new window
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
3.McKinnon, R. I.(1969)。Private and Official International Money: The Case for the Dollar。0。  new window
4.Doornik, J. A.、Hansen, H.(1994)。A Practical Test for Univariate and Mutivariate Normality。0。  new window
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
10.Marquez, J. R.(1992)。Currency substitution。The New Palgrave Dictionary of Money and Finance。New York, NY。  new window
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
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE