本文將模型中加入內生變數，探討台灣央行在 1981-2010 年間之貨幣政策是採取政策遲滯假說(policy inertia hypothesis)或忽略變數假說( unobserved variables
hypothesis )。實證結果顯示，政策遲滯假說與忽略變數假說在台灣央行之貨幣政策皆扮演重要的角色，此結果與 Gerlach-Kristen (2004)一致。

This paper adopts an modle with endogenous variable to investigates policy inertia hypothesis or unobserved variable hypothesis in Taiwan’s interest-rate rule 1981-
2010. Empirical result suggests that both policy inertia and omitted variable hypothesis are important in monetary policy in Taiwan,which is consistent with that of Gerlach-
Kristen (2004).

目錄
1 緒論 1
1.1 前言 1
1.2 本文架構 2
2 文獻回顧 3
3 研究方法 8
3.1 單根檢定 8
3.2 卡爾曼濾波器 14
4 實證分析 22
4.1 模型設定 22
4.2 估計方法 24
4.3 資料來源與處理 27
4.4 估計結果 27
5 結論 33
參考文獻 34

圖表目錄
表1 29
表2 30
表3 31
表4 32
圖1 28

參考文獻

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葉翔渝(2008)，“我國貨幣政策反應函數之非對稱性”，國立清華大學經濟學系碩士論文。

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