臺灣博碩士論文加值系統

近幾十多年來，美國受到一連串危機影響，政府實施貨幣政策以刺激經濟，
間接影響資產價格。不同於過去文獻，本研究將貨幣政策分為兩個面向(三個月
短期美國國庫券利率、M2 貨幣供給額)，分析期間為 1990 年 1 月至 2017 年 10
月之月資料。採用遞迴式 VAR 模型研究貨幣政策對長期利率、美元指數、S&P500
指數與房價指數的同期結構關係，並利用衝擊反應函數分析、變異數分解探討貨
幣政策與資產間是否存在長期均衡關係。實證結果顯示，短期利率、貨幣供給額
(M2)對長期利率、美元指數、S&P500 指數存在同期影響關係，其中短期利率對
長期利率、美元指數與 S&P500 指數呈現正向關係，而貨幣供給額(M2)對 S&P500
指數呈現負向關係。此外，衝擊反應函數分析與變異數分解中，可看出短期利率
對所有變數皆有一定程度的影響。

For decades, the United States has been affected by a series of crises. The government implements monetary policies to stimulate the economy and indirectly influences asset prices. Depart from past literatures, this study clearly divides Monetary Policy into two dimensions: 3-month Treasury constant maturity rate, Money supply. The analysis period is from the first month of 1990 to the tenth month of 2017, then applies Recursive VAR model to discuss the structural relationship of monetary policy over 10-year Treasury rate, US dollar index, S&P500 index and house price index during the same period. Further, we use Impulse Response Function and Variance Decomposition to explore whether there is a long-term equilibrium relationship between monetary policy and assets.
The empirical results show that 3-month Treasury constant maturity rate and money supply have contemporaneous effects on 10-year Treasury rate, US dollar index and S&P500 index. 3-month Treasury constant maturity rate is positively related to 10-year Treasury rate, US dollar index and S&P500 index. And money supply is negatively related to S&P500 index. In addition, in Impulse Response Function and Variance Decomposition, we can find out 3-month Treasury constant maturity rate has some influence on the other variables.

第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 2
第三節 研究架構 3
第二章 文獻探討 5
第一節 貨幣政策之相關文獻 5
第二節 結構式向量自我迴歸模型相關文獻 12
第三節 遞迴式向量自我迴歸模型相關文獻 14
第三章 研究方法 17
第一節 變數說明與樣本期間資料概述 17
第二節 單根檢定 24
第三節 結構式與遞迴式向量自我迴歸模型 27
第四節 衝擊反應函數 32
第五節 變異數分解 34
第四章 實證分析 36
第一節 單根檢定結果 36
第二節 落後期數判定 40
第三節 遞迴式VAR模型結果 41
第四節 衝擊反應函數分析結果 43
第五節 預測誤差變異數分解 47
第五章 結論與建議 54
參考文獻 56

表目錄
表2-1 貨幣供給額文獻總整理 9
表2-2短期利率文獻總整理 12
表3-1各變數之定義、處理與資料來源 19
表3-2 各變數之敘述統計量 21
表4-1 單根檢定之結果 37
表4-2 落後期數選擇判定結果 40
表4-3 美國遞迴式VAR同期結構參數估計結果 42
表4-4 三個月短期美國國庫券利率變異數分解 47
表4-5 美國貨幣供給額變異數分解 49
表4-6 十年長期美國國庫券利率變異數分解 50
表4-7美元指數變異數分解 51
表4-8 標普500指數變異數分解 52
表4-9 美國房價指數變異數分解 53
圖目錄
圖1-1 研究流程圖 3
圖1-2 實證分析架構圖 4
圖3-1 美國短期利率時間序列圖 22
圖3-2美國M2時間序列圖 22
圖3-3美國長期利率時間序列圖 22
圖3-4美元指數時間序列圖 23
圖3-5 S&P500指數時間序列圖 23
圖3-6美國房價指數時間序列圖 23
圖4-1 美國短期利率一階差分之時間序列圖 38
圖4-2 美國M2一階差分之時間序列圖 38
圖4-3 美國長期利率一階差分之時間序列圖 38
圖4-4美元指數一階差分之時間序列圖 39
圖4-5 S&P500指數一階差分之時間序列 39
圖4-6美國房價指數一階差分之時間序列圖 39
圖4-7 三個月短期美國國庫券利率之衝擊反應函數圖 45
圖4-8美國貨幣供給額之衝擊反應函數圖 45
圖4-9十年長期美國國庫券利率之衝擊反應函數圖 45
圖4-10美元指數之衝擊反應函數圖 46
圖4-11標普500指數之衝擊反應函數圖 46
圖4-12美國房價指數之衝擊反應函數圖 46
圖4-13三個月短期美國國庫券利率變異數分解 48
圖4-14 美國貨幣供給額變異數分解 49
圖4-15 十年長期美國國庫券利率變異數分解 50
圖4-16 美元指數變異數分解 51
圖4-17 標普500指數變異數分解 52
圖4-18 美國房價指數變異數分解 53

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