本文嘗試提出一個明確區分內、外在貨幣，且貨幣數量與貨幣政策均為內生的動態隨機全面均衡模型，期望能夠複製出實證上貨幣與產出的動態相關性與統計因果，並為逆向因果假說及支持該假說的實證研究提供具體且可檢驗的理論架構。結果發現，模型大致能複製出台灣實證上貨幣總計數M1與產出的動態相關性，但對於貨幣基數(MB)與產出的動態相關性，本文雖能以央行資訊落後的設定方式來改善模型的解釋能力，卻仍不足以完整詮釋實際資料的特徵。在統計因果方面，本文雖未能以模型中逆向因果傳導機制所產生的模擬值得到實證上“M1 單向Granger cause產出”的結論，但是Granger因果檢定誤判模型中MB與產出間真實的因果關係，的確削弱了傳統上以Granger統計因果來代表真實經濟因果的可信度。此外，藉由實證上貨幣法則轉變的案例來進行模擬比對，本文確認了模型的內生性貨幣政策具有近似中立性的特質。A dynamic general equilibrium model, in which money and monetary policy are both endogenous, is calibrated and simulated. It is then confronted with the dynamic cross-correlation and statistical causality of money and output in Taiwan time series data. The model economy performs well in matching the empirical dynamic cross-correlation of money aggregate M1 and output. However, it leaves few unexplainable causes of empirical dynamic cross-correlation of monetary base (MB) and output, even with a modification to reflect that the central bank cannot acknowledge the exogenous technology shock immediately. In addition, Granger causality test misjudged the economic causality of MB and output in the model. Therefore, the reliability of such statistical test should be weakened in the aspect of representing real economic causality. Furthermore, through the case in which monetary policy rule is different in two empirical stages, the model proves that endogenous monetary policy is nearly neutral.第一節 緒論……………………………………………………….………1.1貨幣變動引發產出變動 ─ 事實或是迷思?………….…………1.2研究目的與論文架構…………………………….……………….4二節 文獻回顧………………………………………….………………6.1貨幣與產出因果關係之實證研究…………………..……………6.2貨幣與產出逆向因果關係之理論模型………………..…………8三節 貨幣與貨幣政策均為內生的實質循環模型…………………11.1理論模型設定………………………………………………….…11.2模型求解…………………………………………………………20.3模型參數設定與模擬步驟………………………………………24四節 基準與延伸模型的模擬結果分析………………………….…28.1基準模型…………………………………………………………28.2延伸模型(I) ─ 央行資訊落後…………………………………32.3延伸模型(II) ─ 貨幣法則轉變…………………………...……36.4小結………………………………………………………………39五節 模型的動態調整過程……………………………………...……41.1技術衝擊下的動態調整過程……………………………………41.2貨幣衝擊下的動態調整過程……………………………………42六節 結論……………………………………………………………45考文獻…………………………………………………………………46錄一 貨幣基數變動法則之推導……………………………….……50錄二 恆定狀態值之求解……………………………………….……51錄三 決策函數之求解………………………………………….……55錄四 第二組參數的模擬結果…………………………………….…5
