本文使用Bernanke, Boivin and Eliasz (2005) 提出因子擴充向量自我迴歸模型(Factor-Augmented Vector Autoregressive，FAVAR)探討臺灣貨幣政策效果之影響。實證結果，﹙1﹚標準VAR隨著加入因子數量增加能解決‘價格迷惑’問題。﹙2﹚當緊縮貨幣政策﹙金融業隔夜拆款利率上升﹚時，產出確實能達到下降的效果，
利率方面，存款利率反應幅度大於放款利率，但全體銀行的放款額是呈現增加的趨勢，與一般貨幣緊縮下的預期不一致，此結果和信用管道的應有效果相反。

This paper applies a Factor-Augmented VAR model proposed by Bernanke, Boivin and Eliasz (2005) to measure the impact of the monetary policy in Taiwan. Our empirical results show that, first, the more the factors added in the benchmark VAR, the more we can explain the price puzzle problem. Second, the effect of the tightening in the monetary policy (the increase in the interbank overnight lending rate) is inconsistent with the results expected by the credit channel.

目 錄
論文審定書....................................................................................................i
誌謝...............................................................................................................ii
中文摘要......................................................................................................iii
英文摘要......................................................................................................iv
第一章 緒論 .................................................................................................1
第一節 研究動機及目的.......................................................................... 1
第二節研究架構...................................................................................... 3
第二章文獻回顧 .........................................................................................4
第一節 貨幣政策之相關文獻.................................................................. 4
第二節貨幣政策傳遞機制之相關文獻.................................................. 6
第三章研究方法 .......................................................................................12
第一節 單根檢定.................................................................................... 12
第二節落後期數的選取........................................................................ 13
第三節因子擴充向量自我迴歸模型﹙FAVAR﹚.............................. 14
第四節衝擊反應函數............................................................................ 17
第四章實證結果分析 ...............................................................................20
第一節 資料來源及處理........................................................................ 20
第二節數列定態分析–單根檢定........................................................ 20
vi
第三節數據基本敍述統計及走勢圖.................................................... 20
第四節最適落後期數﹙Lag﹚ ............................................................. 23
第五節衝擊反應分析﹙Impulse Response Analysis﹚ ....................... 24
第五章結論 ...............................................................................................32
參考文獻.....................................................................................................33
附錄：樣本及資料處理說明.....................................................................38

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