後續研究建議

本文主要是探討國內總體經濟與資產間的相互影響效果，然而台灣為小型開放經 濟體系(small open economy) ，文獻指出匯率與貨幣政策的交互作用可能是顯著的 (Faust and Rogers, 2003；Bjornland, 2009；Bjornland and Halvorsen, 2008)，在後續研 究中可加入匯率或是國際原油價格作為國外經濟變數。由於大陸及美國與台灣的總體 經濟關係密切，因此，往後研究相關議題時，在模型內可考慮增加此二國的資料進行 分析，以探討大陸、美國與台灣之間的貨幣政策與總體經濟及資產價格間的互動關係 以及異同處。

模型中以信義房地產指數作為住宅價格的代理變數，由於信義房地產指數是由中 古屋的價格所編製而成，若想針對不同類型的住宅做比較（例如預售屋及新成屋）在 總體經濟中的影響差異，可採用國泰房地產價格指數（以預售屋及新成屋價格來編製）

作為房價的代理變數。

本文以放款加權平均利率作為貨幣政策之代理變數，然而，中央銀行公告之放款 加權平均利率不完全是受貨幣政策之操控來變更市場資金供需之影響，因此，後續研 究可考慮以貨幣供給亦或者非借入準備作為貨幣政策的代理變數。

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附錄

一、 遞迴式 VAR 之衝擊反應分析

附圖 1 lnGDP衝擊反應

附圖 2 lnCPI衝擊反應

附圖 3 lnHP衝擊反應

附圖 4 lnSTOCK 衝擊反應

附圖 5 RATE之衝擊反應

二、 遞迴式 VAR 之變異數分解

期數 S.E. lnGDP lnCPI lnHP lnSTOCK RATE 1 0.015 100.000 0.000 0.000 0.000 0.000 2 0.019 92.980 3.774 0.795 2.651 0.001 3 0.021 81.811 9.549 2.148 6.491 0.001 4 0.023 72.264 14.648 3.411 9.676 0.001 5 0.024 66.243 17.945 4.245 11.564 0.001 12 0.025 63.263 19.691 4.721 12.314 0.011 24 0.026 62.896 19.838 4.799 12.438 0.029

附表 2 lnCPI變異數分解

期數 S.E. lnGDP lnCPI lnHP lnSTOCK RATE 1 0.005 0.107 99.893 0.000 0.000 0.000 2 0.006 4.908 94.923 0.111 0.056 0.002 3 0.007 12.555 86.266 0.516 0.656 0.006 4 0.007 18.731 77.755 1.307 2.193 0.014 5 0.008 21.787 71.362 2.378 4.451 0.022 12 0.009 20.694 61.950 5.843 11.454 0.059 24 0.009 20.927 61.694 5.844 11.436 0.098 附表 3 lnHP變異數分解

期數 S.E. lnGDP lnCPI lnHP lnSTOCK RATE 1 0.029 5.559 0.812 93.629 0.000 0.000 2 0.033 7.184 3.744 87.998 1.074 0.000 3 0.035 7.038 7.012 83.359 2.590 0.000 4 0.036 6.660 9.436 80.161 3.742 0.000 5 0.036 6.789 10.758 78.126 4.327 0.000 12 0.037 8.977 11.377 74.962 4.678 0.006 24 0.037 9.014 11.445 74.788 4.738 0.014

附表 4 lnSTOCK變異數分解

期數 S.E. lnGDP lnCPI lnHP lnSTOCK RATE 1 0.116 17.852 1.885 5.379 74.884 0.000 2 0.155 13.946 1.433 11.693 72.928 5.92E-07 3 0.180 10.891 2.747 15.469 70.893 6.73E-05 4 0.196 9.205 4.294 17.418 69.083 0.000 5 0.205 8.799 5.393 18.286 67.521 0.001 12 0.218 11.963 6.161 18.233 63.615 0.027 24 0.218 11.940 6.352 18.214 63.418 0.076

附表 5 RATE變異數分解

期數 S.E. lnGDP lnCPI lnHP lnSTOCK RATE 1 0.135 2.393 1.451 3.235 0.078 92.843 2 0.209 13.722 0.682 6.326 1.364 77.907 3 0.285 20.852 2.120 9.280 4.694 63.054 4 0.365 22.714 5.090 11.795 8.673 51.729 5 0.445 21.530 8.493 13.825 12.358 43.794 12 0.861 9.365 19.889 19.705 22.449 28.591 24 1.241 5.745 21.133 21.357 23.961 27.804