本文嘗試採用Banerjee. A, Marcellino. M（2009）所提出之因子擴充向量誤差模型（factor-augmented error correction model，FECM model）驗證台美間之利率傳遞管道，

FECM模型優點如下，第一，其將動態因子模型（Daymanic factor model）納入誤差修正向量模型（Error correction model,ECM model），第二，因子萃取採Bolive(2004)所提出之變數分類法，改進了因子擴充自我迴歸向量模型（Factor-augmented vector autoregression model，FAVAR model）中無法判定共同因子意義之情況，第三，誤差向量可以清楚分析出變數長短期之間的變化，第四，採用一般化衝擊反應函數（Generalized impulse respone）來改進以往衝擊反應函數因為變數順序不同而導致分析結果不同。

最後，我們透過了FECM模型驗證出台美間確實存在利率傳遞效果。

This paper applies a Factor-augmented error correction model proposed by Banerjee. A, Marcellino. M（2009）to measure the impact of the United States’ monetary policy on Taiwan.

The FECM model has the following advantages. First, it has refined the dynamic factor model, since it allows us to include the error correction terms into equation. Second, we can improve FAVAR model’s shortcomings, the common factor lack of economic interpretation, by using the method of Belviso. F, Milani. F（2006）. Third, the cointegration can analyze long-run and short-run dynamics of non-stationary variables. Forth, we propose the generalized impulse respone to analyze the FECM model, it doesn’t require orthogonalization of shocks and is invariant to the ordering of the variables.

Finally, we indeed prove the interest rate channel does exist in Taiwan and United States through the method of FECM model.

謝辭………………………………………………………………………………… i
中文摘要………………………………………………………………………… ii
英文摘要……………………………………………………………… iii
第一章 緒論......................................................................................... 1
1.1 研究動機與目的……………………………………………. 1
1.2 研究流程…………………………………………………… 3
第二章 文獻回顧............................................................................... 4
第三章 研究方法…………………………………………………… 8
3.1單根檢定……………………………………………………. 9
3.2 落後期的決定……………………………………………… 10
3.3共整合檢定…………………………………………………. 11
3.4 FECM模型設定……………………………………………... 13
3.5 主成分分析………………………………………………… 18
3.6 一般化衝擊反應函數………………………………………. 21
第四章 實證分析…………………………………………………… 23
4.1 資料處理以及資料來源……………………………………. 23
4.2 因子數量選取………………………………………………. 23
4.3 決定落後期…………………………………………………. 24
4.4 共整合檢定………………………………………………….. 25
4.5 FECM模型估計……………………………………………… 26
4.6一般化衝擊反應……………………………………………. 28
第五章 結論………………………………………………………… 32
參考文獻…………………………………………………………….. 34

圖表目錄

表4.4.1:兩因子選取結果…………………………………………. 24
表 4.4.2:三因子選取結果………………………………………… 24
表4.5.1:兩因子共整合模型………………………………………. 25
表4.5.2:三因子共整合模型………………………………………. 25
表4.6.1:變數定義…………………………………………………. 26
圖4.6.1:台灣物價消費指數………………………………………. 28
圖4.6.2:台灣貨幣總計數-M2……………………………………... 29
圖4.6.3:台灣貨幣存款合計……………………………………….. 30
圖4.6.4:台灣支票存款…………………………………………….. 30
圖4.6.5:台灣對美國出口貿易總額.................................................. 31
圖4.6.6:台灣對美國進口貿易總額……………………………….. 31
變數表處理…………………………………………………………... 38

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