非對稱性貨幣政策效果之估計-雙層隨機邊界模型之應用

Estimating the Asymmetric Effects of Monetary Policy using a Two-Tiered Stochastic Frontier Model

林聖倫(Sheng-Lun Lin)

指導教授 ： 王泓仁

共同指導教授 ： 張勝凱(Sheng-Kai Chang)

國立臺灣大學/社會科學院/經濟學研究所/碩士(2011年)

https://doi.org/10.6342/NTU.2011.03054

摘要

本文首度採用創新的計量模型-雙層隨機邊界模型-分析貨幣政策在景氣循環下的效果為何。估計變數方面，本文採用Romer and Romer (2004)提出的外生性貨幣政策衡量新指標，作為本文研究貨幣政策效果的依據。此外，本文同時將聯邦資金利率、領先景氣指標和政府財政政策等變數考慮進模型中，以避免文獻上所提出可能的內生性問題。樣本期間的選擇為1970年第一季至1996年第四季的資料。
實證結果發現，聯準會的外生性貨幣政策在景氣低迷時對於實質產出有刺激的效果；然而，在景氣熱絡時對於實質產出的緊縮效果則不顯著。更進一步發現，在1979年代以前的外生性貨幣政策，不論是在景氣熱絡或是低迷時均對於產出均無顯著的影響，而在1985年金融證券化以後的外生性貨幣政策在景氣低迷時的效果則較1985年以前的大且顯著。

關鍵字

非對稱性貨幣政策 ； 隨機邊界模型

並列摘要

In this thesis, we first used an innovative econometric model, two-tiered stochastic frontier model, to analyze the effect of monetary policy in different phases of business cycles. In particular, we hypothesized that the monetary policy has different effects in booms (i.e., positive output gaps) and busts (i.e., negative output gaps) over business cycles, and the output gaps are suitably captured by the two-tiered frontier model. We used the US quarterly data from 1970:Q1 to 1996:Q4 as the empirical sample. The stance of monetary policy is measured by the index of Romer and Romer (2004) which is shown to have superior characteristics compared to other measures of monetary policy. Other variables are included in the model to control of the omitted variable problem.
Our results show that a positive monetary innovation in recession is more effective than the negative innovation in boom. Furthermore, we find that the monetary policy shock has no significant effect before 1979 in either expansion or recession periods. On the other hand, the monetary policy innovation is larger and more significant in recessions after 1985 than before 1985.

並列關鍵字

Asymmetric Effects of Monetary Policy ； Stochastic Frontier Model

參考文獻

1. Friedman, B., and Kuttner, K. (1992). “Money, Income, Prices, and Interest Rates,”

The American Economic Review 3, pp.472-492.

4. Weise, C. (1999). “The Asymmetric Effects of Monetary Policy: A Nonlinear

Vector Autoregression Approach,” Journal of Money, Credit, and Banking 1,

for Estimating Potential Output and Output Gap,” Journal of Macroeconomics 3,