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題名 | 貨幣政策傳遞機制中的資產價格效果=The Asset Prices Effects of Monetary Transmission Mechanism |
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作者 | 張元; | 書刊名 | 中州學報 |
卷期 | 22 民94.12 |
頁次 | 頁15-53 |
分類號 | 561.18 |
關鍵詞 | 貨幣政策傳遞機制; 資產價格效果; 向量自我迴歸模型; Monetary transmission mechanism; Asset prices; VAR; |
語文 | 中文(Chinese) |
中文摘要 | 本文評估貨幣政策傳遞機制中的資產價格效果,也就是探討央行的貨幣政策如何影響經濟體系中的資產價格來調控經濟活動的景氣狀況。首先在理論探討主要會影響經濟活動的三種資產價格,包括股票價格、房地產價格以及匯率水準。利用動態迴歸分析與向量自我迴歸模型估計並模擬央行的貨幣政策改變會如何透過影響比資產價格而對經濟單位的活動發生影響,包括對家計單位以及企業單位兩部門,以評估政策效果的部門性差異。因此本文亦可以視為在評估資產價格效果的同時,亦對廣義的貨幣政策信用觀點做了某種程度的討論。從實證結果發現,央行的貨幣政策指標即金融業拆款利率的變動與三種資產價格的變動方向是渾沌不清的,且許多符號結果與理論不符,另外政策的緊縮帶來了銀行對企業部門與家計部門放款量的增加亦不符合在理論上信用觀點的成立,從拆款利率對兩部門經濟活動的影響關係上我們亦找不到一致性且符合理論預期的方向。從三種資產價格與各部門向量自我迴歸模型的預測誤差變異數分解與衝擊反應分析來看,雖然某些部門經濟變數的影響遞迴階層顯示出資產價格管道的成立,但是其受央行政策影響的動態走勢不是錯了方向就是上下波動而缺乏變動的一致性。因此透過本文的統計分析,整體來說貨幣政策的資產價格效果並不明顯。 |
英文摘要 | The main purpose of this paper is to examine the existence of asset prices effects of monetary transmission mechanism (MTM) by using Taiwan's data from Jan 1994 to Apr 2003. First, we make statements about how asset prices effects of MTM act on economic activities and might be used by central bank to manipulate or find tune of the prosperity of an economy. We identify theoretically three main asset prices: stock market value, real estate price and exchange rate. And then we use dynamic regressions, estimate vector auto-regression (VAR) models and use them to simulate the effects and dynamic process upon assets prices, bank lending variables and economic activities variables, including household sector and corporate sector. The reason of our two-sectors estimating processes is that by doing this we could examine the assets prices effects of MTM as well as the possible sectoral difference of that two sectors in order to check other theories like asymmetric information or flight to quality hypothesis on the past literatures. According to our empirical results of regression analysis and innovation analysis of estimated VAR models, the ability of affecting three assets prices by central bank's monetary policies is restricted and ambiguous, and the short-run increasing in bank lending of both sectors facing tight monetary stance is not able to be explained by traditional credit view of MTM. We also find any significant and consistent evidences about effective and sectoral difference of dynamic processes of economic activities variables after we introducing a monetary policy shock. So, from our empirical findings, the asset prices effects of MTM in Taiwan would be next to nothing. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。