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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/32495


    Title: 低利率時期,貨幣政策是否有效?
    Other Titles: Is monetary policy effective in low-interest rate period?
    Authors: 黃怡瑄;Huang, Yi-hsuan
    Contributors: 淡江大學經濟學系碩士班
    莊希豐;Chuang, Shi-feng
    Keywords: 貨幣政策;利率;匯率;股價;流動性陷阱;投資陷阱;向量自我迴歸分析;衝擊反應函數;預測誤差變異分解;Monetary policy;Interest rate;Exchange rate;Stock price;Liquidity trap;Investment trap;VAR analysis;Impulse response;Variance decomposition
    Date: 2007
    Issue Date: 2010-01-11 02:14:09 (UTC+8)
    Abstract: 觀察台灣近些年的利率已調降的非常低,甚至為負的實質利率,然而國內景氣依然不振,顯示中央銀行在此時藉由調降利率來刺激經濟效果並不彰,因此本文將以貨幣觀點來研究貨幣政策傳遞機制對三個價格管道(利率、匯率和股價)的傳遞過程。
    探討國內外的相關文獻都顯示貨幣政策對實質經濟面有顯著影響力,透露出在其所討論的樣本期間貨幣政策是有效的。本文利用VAR(向量自我迴歸)模型中的衝擊反應分析圖和預測誤差變異分解,分別針對台灣2001年10月到2006年9月及日本1993年10月到2006年6月,討論這兩國在這段期間其國內經濟不景氣的情況下,寬鬆貨幣政策是否有效。
    根據衝擊反應分析圖顯示,不論是台灣或日本在觀察的樣本期間,使用金融業拆款利率做為貨幣政策代理變數,都得到貨幣政策是無效的結論,也就是本文所關心的三個價格管道(利率、匯率和股價)都不暢通。其中,特別是利率管道的部分,台灣資料並沒有存在『流動性陷阱』,但可能存在『投資陷阱』;日本資料則發現存在『流動性陷阱』,更證實了凱恩斯學派所提出的社會上存在這兩個陷阱,將導致利率管道無效的論點。此外,從預測誤差變異分解來看,不論是台灣或日本,其貨幣政策的代理變數─金融業拆款利率,或是三個傳遞管道─利率、匯率和股價對於產出都沒有明顯的貢獻,和衝擊反應分析圖所得到的結論一致。
    In recent years, the interest rates in Taiwan are relative low, however the economy grows slowly. It is suggested that the job central bank to decrease interest rates and to promote outputs doesn''t work out. Thus, this paper will take a monetary view to investigate the process of monetary policy transmission mechanism.
    We use the impulse response and variance decomposition of VAR (vector autoregressive) model to discuss whether monetary policy effective in Taiwan and Japan during the observation periods.
    According to the results of impulse response, we found that the monetary policy was ineffective in both Taiwan and Japan. It implies that the three price channels-- interest rate, exchange rate and stock price channels, don''t work in the sample periods. Especially, there might be some investment traps for interest rate channel in Taiwan. Besides, there is a liquidity trap in Japan, which is in accordance with what the Keynesians argued. Finally, the outcomes of variance decomposition confirm the results obtained from impulse response model.
    Appears in Collections:[Graduate Institute & Department of Economics] Thesis

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