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題 名 | 通貨替代與貨幣需求: 臺灣的實證研究=Currency Substitution and Money Demand: Empirical Investigation of Taiwan |
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作 者 | 黃仁德; 蕭明福; | 書刊名 | 經濟論文 |
卷 期 | 26:4 1998.12[民87.12] |
頁 次 | 頁403-440 |
分類號 | 561.18 |
關鍵詞 | 通貨替代; 資本移動; 貨幣需求; Currency substitution; Capital mobility; Money demand; |
語 文 | 中文(Chinese) |
中文摘要 | 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。 |
英文摘要 | 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. |
本系統中英文摘要資訊取自各篇刊載內容。