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博碩士論文 etd-0518115-160449 詳細資訊
Title page for etd-0518115-160449
論文名稱
Title
學習機制、貨幣法則與實質匯率動態─台灣之實證研究
Learning, Taylor Rule and Real Exchange Rate Dynamics-The Evidence from Taiwan
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
63
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2015-06-10
繳交日期
Date of Submission
2015-06-22
關鍵字
Keywords
泰勒法則、適應性學習、實質匯率模型、理性預期、通貨膨脹
Inflation, Rational Expectation, Real Exchange Rate Model, Adaptive Learning, Taylor Rule
統計
Statistics
本論文已被瀏覽 5799 次,被下載 2349
The thesis/dissertation has been browsed 5799 times, has been downloaded 2349 times.
中文摘要
本文遵循Mark(2009)的研究,假設央行根據泰勒法則來調整名目利率且未拋補利率平價成立下,將名目利率與實質匯率兩者做結合,建構出實質匯率模型,得出的實質匯率模型由相對名目利率、落後一期的實質匯率、相對政策干擾、相對通貨膨脹率與相對產出缺口所決定。在泰勒法則中有些文獻強調當期通膨的重要性,有些則強調預期通膨之重要性,因此本文考慮此兩不同之變數於泰勒法則中,進而探討兩種模型分別在理性預期下與學習機制下所隱含之實質匯率能與實際匯率有較密切之關係。由實證發現,根據實質匯率與實際路徑之均方根誤差(RMSE),我們可以發現利率法則具前瞻性時理性預期模型與實際路徑的誤差最小,利率法則具前瞻性時學習模型次之,與實際匯率誤差最大為利率法則具後顧式時學習模型。
Abstract
In this paper, we follow Mark(2009) to set nominal interest rates according to the Taylor rule and to assume that uncovered interest parity holds: The real exchange rate is determined by nominal interest rate differentials, expected inflation differentials and output gap differentials. In the Taylor rule, some literature emphasizes the importance of the current inflation, while others focus on the importance of the future expected inflation. Therefore, we consider both cases in the Taylor rule. Also, I investigate whether the implied learning exchange rates do a better job of matching the data than the implied rational expectations exchange rates. Our empirical results indicate that the RMSE of the forward-looking rational expectations model with the data are generally quite good relative to other models.
目次 Table of Contents
中文摘要 iv
英文摘要 v
第一章、緒論 1
第一節、研究動機 1
第二節、本文架構 3
第二章、文獻回顧 4
第一節、泰勒法則的相關文獻 4
第二節、具泰勒法則之實質匯率決定模型的相關實證文獻 5
第三節、學習機制之相關文獻 8
第三章、模型 14
第一節、具有前瞻性的利率反應函數 14
第二節、具有前瞻性的理性預期下的實質匯率模型 17
第三節、具有前瞻性的學習機制下的實質匯率模型 20
第四節、後顧式的利率反應函數 24
第五節、理性預期下後顧式法則的實質匯率模型 26
第六節、學習機制下後顧式法則的實質匯率模型 28
第四章、實證結果分析 32
第一節、資料來源與處理 32
第二節、利率反應函數的實證結果 33
第三節、理性預期與學習機制下的實質匯率路徑 37
第五章、結論 41
參考文獻 42
附錄一、表 45
附錄二、圖 48
附錄三 54
參考文獻 References
中文部份
[1] 沈中華(1998),“使用門檻Taylor Rule衡量台灣貨幣政策”,『1998 年總體經濟計量模型研討會』,中央研究院經濟研究所。
[2] 劉淑敏(1999),“泰勒法則在台灣的實證研究”,中央銀行季刊,第22卷第4期,頁79-96。
[3] 侯德潛、田慧琦(2000),“通貨膨脹預測與泰勒法則—台灣地區實證分析”,中央銀行季刊,第22卷第3期,頁21-48。
[4] 高曉楓(2008),“學習機制下考慮股票市場的泰勒法則與實質匯率動態-以德國馬克兌美元為例”,國立中山大學經濟學研究所碩士論文。
[5] 周國偉 、吳孟道(2010),“金融海嘯與台灣金融市場壓力及因應政策”,經社法制論叢,第45期,頁39-67。
[6] 賴景昌(2011),《總體經濟學》,台北:雙葉書廊。
[7] 張志揚(2014),“台灣地區通膨預期與總體變數動態關係之探討”,中央銀行季刊,第36卷第4期

英文部分
[1] Chen, J. and Mark, N. C. (1996), “Alternative long-horizon exchange-rate Predictors,” International Journal of Finance and Economics, 1(4): 229 – 250.
[2] Clarida, R., Gali, J. and Gertler, M. (1998), “Monetary Policy Rules in Practice: Some International Evidence,” European Economic Review 42: 1033-1067.
[3] Clarida, R., Gali, J. and Gertler, M. (2000), “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,” Quarterly Journal of Economics 115: 147-180.
[4] Edison, H. and Pauls, D. (1993), “A Re-assessment of the Relationship between Real Exchange Rates and Real Interest Rates: 1974-1990,” Journal of Monetary Economics 31: 165-87.
[5] Engel, C. and West, K. D. (2006), “Taylor Rules and the Deutschemark-Dollar Real Exchange Rate,” Journal of Money, Credit, and Banking 38: 1175-1194.
[6] Evans, G. W. and Honkapohja, S. (2001), Learning and Expectations in
Macroeconomics. Princeton University Press, Princeton, NJ.
[7] Evans, G. W. and Honkapohja, S. (2002), “Adaptive Learning and Monetary Policy Design,” Journal of Money, Credit, and Banking, 35(6): 1045–1072.
[8] Frankel, J. (1979), “On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials,” American Economic Review, 69(4): 610-22.
[9] Frankel, A. (1992), “Measuring international capital mobility: a review,” American Economic Review, 82: 197-201.
[10] Groen, J. J.J. (2000), “The Monetary Exchange Rate Model as a Long-Run Phenomenon,” Journal of International Economics, 52(2): 299-319.
[11] Groen, J. J.J. (2002), “Cointegration and the Monetary Exchange Rate Model Revisited,” Oxford Bulletin of Economics and Statistics, 64(4): 361-380.
[12] Mark, N. C. (1995), “ Exchange rates and fundamentals: evidence on long-horizon predictability.” American Economic Review 85(1): 201-218.
[13] Mark, N. C. (2009), “Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics,” Journal of Money, Credit, and Banking, 41(6): 1047-1070.
[14] Meese, R. and Rogoff, K. (1983), “Empirical Exchange Rate Models of the 1970’s:
Do they Fit Out of Sample?” Journal of International Economics 14: 3-24.
[15] Meese, R. and Rogoff, K. (1988), “Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period,” Journal of Finance 43: 933-48.
[16] Molodstova, T. and Papell, D. H. (2008), “Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals,” Journal of International Economics 77(2): 167-180.
[17] Muth, J. F. (1961), “Rational Expectations and the Theory of Price Movements,” Econometrica 29(3): 315-335.
[18] Orphanides, A. and Williams, J. C. (2003), “The Decline of Activist Stabilization Policy: Natural Rate Misperceptions, Learning, and Expectations,” mimeo, Federal Reserve Board.
[19] Rapach, D. and Wohar, M. (2002), “Testing the Monetary Model of Exchange Rate Determination: New Evidence From A Century of data,” Journal of International Economics, 58: 359-385.
[20] Taylor, J. (1993), “Discretion versus Policy Rules in Practice,” Carnegie-Rochester Conference Series on Public Policy, 39:195-214.
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