台灣貨幣需求函數非線性平滑移轉誤差修正模型之實證分析

本研究目的在分析我國自金融自由化以來貨幣需求函數的長期均衡關係與短期調整過程，觀察我國貨幣需求函數是否存在非線性成分，並考慮到台灣為一小型開放經濟體系，因此本研究將匯率納入貨幣需求函數以探討其長期均衡關係與短期動態調整行為。過去研究總體經濟變數模型主要以線性模型居多，但自Granger and Teräsvirta (1993)提出平滑轉換迴歸模型後，應用非線性模型來探討總體經濟變數逐漸形成主流。本研究的實證方法為非線性平滑移轉誤差修正模型。實證結果發現，實質貨幣需求M2、實質國內生產毛額、實質匯率及存款利率之間，具有一條共積關係式，存在著長期均衡關係，而貨幣需求之短期動態調整至長期均衡的過程呈現非線性的行為，其調整過程是非對稱性的Logistic平滑轉換誤差修正模型。

關鍵字

貨幣需求；共積；非線性平滑移轉誤差修正模型

並列摘要

Most models of the past research on macroeconomic variables are linear ones. However, since Granger and Teräsvirta proposed the smooth transition regression (STR) methodology, discussing macroeconomic variables by applying nonlinear models are going to be the mainstream. The purpose of this paper is to test and diagnose if the money demand of Taiwan exists any nonlinear forms . Empirical results indicate that real M2,real GDP, real exchange rate and saving deposit rate have a long term relationship under some specific threshold value. On the selection of choosing models, it is more suitable to select the LSTECM model which has better capacity than other linear models to explain macroeconomic meanings.

並列關鍵字

Money Demand ； Cointegration ； Nonlinear Smooth Transition Error Correction Model

參考文獻

鄭育姍，(2006)，匯率與總體變數非線性平滑轉換誤差修正模型之實證分析，淡江大學金融研究所碩士論文。

Arango, L.E. and L.F. Melo (2006), “Expansions and contractions in Brazil, Colombia and Mexico：A view through nonlinear models, ” Journal of Development Economics, Vol. 80, pp.501-517.

Austin, D., B. Ward, and P. Dalziel (2007), “The Demand for Money in China 87-2004：A Nonlinear Model, ” China Economic Review, Vol.18, pp.190-204.

Baillie, R.T. and R. Kilic (2006), “Do asymmetric and nonlinear adjustment explain the forward premium anomaly?, ” Journal of International Money and Finance, Vol. 25, pp.22-47.

Ball, L. (2001), “Another Look at Long-Run Money Demand,” Journal of Monetary 　　Economics, Vol.47, pp.31-44.

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台灣貨幣需求函數非線性平滑移轉誤差修正模型之實證分析

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