資料訊息問題與前瞻性泰勒法則

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姓名

朱俊虹(Chun-Hung Chu) 查詢紙本館藏

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經濟學系

論文名稱

資料訊息問題與前瞻性泰勒法則
(Data Information Problems and Forward-Looking Taylor Rule-Taiwan Empirical Study)

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摘要(中)

本研究嘗試估計考慮資料訊息問題下之台灣前瞻性法則方程式。由於台灣官方並無即時資料庫，因此本研究使用行政院主計處初次發布之新聞稿內統計資料，定義其為「即時資料」，並與修正後資料之估計結果進行比較。同時，因為台灣為小型開放經濟體，本研究亦在法則方程式中加入匯率變數進行討論。本文之主要實證果顯示：相較於傳統同期模型之設定，通貨膨脹率具有前瞻性之模型較能捕捉台灣央行之施政。再者，使用即時資料估計貨幣法則，可發現實質產出缺口及通貨膨脹之反應係數均較使用修正後資料之估計結果小，此差異即反應資料訊息問題。最後，本研究發現考慮名目匯率變動率後，法則方程式之解釋能力並無改善，而此一結論與文獻上之結果一致。

摘要(英)

We estimate Taiwan’s forward-looking monetary policy reaction function after dealing with the data information problems. Because the monetary authority of Tai-wan didn’t release the real-time data, we use the news that is officially released by the Directorate-General of Budget, Accounting and Statistics. The estimated policy reac-tion functions using the real-time data are compared with those using the revised data. Taking into account the fact that Taiwan is a small open economy, we allow the ex-change rate target to enter policy reaction function. The main findings of this study are stated as follows. First, the forward-looking model can better describe the policy of the Central Bank of Taiwan. Second, the estimated policy response coefficients of real output gap and expected inflation rate based on the real-time data are smaller than those based on the revised data. The difference might be due to the data information problems. Finally, adding exchange rate target in the policy rule cannot provide a bet-ter description of the policy actions of Taiwan’s monetary authority.

關鍵字(中)

★ 資料訊息問題
★ 前瞻性法則方程式
★ 泰勒法則

關鍵字(英)

★ data information problems
★ forward-looking monetary reaction function
★ Taylor rule

論文目次

第一章緒論 1
第二章文獻回顧
第一節國外文獻 3
第二節國內文獻 7
第三章實證模型與計量方法
第一節原始Taylor 法則 9
第二節前瞻性Taylor 法則 10
第四章資料與估計方法
第一節資料來源及處理 14
第二節估計實質產出缺口 21
第三節通貨膨脹率預測 26
第五章實證結果分析
第一節傳統同期Taylor 法則之估計結果 29
第二節使用即時資料再驗台灣之央行反應函數 34
第三節使用即時資料估計台灣具前瞻性之央行反應函數 37
第四節考慮外匯效果之前瞻性法則方程式 48
第六章結論 50
參考文獻 52

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指導教授

姚睿(Ruey Yau)

審核日期

2009-7-16

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