| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 85 === Deposit the fact the behavior of the interest rates have a
profound influence on economic activity,there has been little
discussiobn in Taiwan of the effect that the business cycle
has on interest rate.Conventional thinking is that expansion are
associated with rising real rate of interest and recessions are
associated woth falling real rates. However, the theoretial
foundations for asserting are quite weak-usually relying on
static IS-LM models or loanable founds. Moreover, no distinction
is typically made between nominal or real interest rates in
these assertions. The principal goals of this thesis are to
(1)estimate a common measure of the business cycle known as the
output gap, and (2)investigate the relation of this output gap
to the behavior of both real and nominal interest rates. Such
knowledge can be useful in helping to predict quarterly movement
in interestrates,and in formulating appropriate count-cyclical
monetary and fiscal policies. In the fist part of hte thesis,
a system method is emplyed to estimate Taiwan''s potential output
taking into consideration the structure of labor market.
Theestimated potential output and related output gap are seen to
conform quite closewith the indicator-base, business cycle
dating of the government''s Directorate-General of Budget,
Accounting, and Statistics. In the second part of the thesis,
a standard VAR anylysis is undertaken ofthe relationship between
interest rates and above output gap. Variance decompositions,
impulse resposes, and causality test are performed to ascertain
weather the gaphas statistically significant effect on behavior
of interest rates. The results can be summarized as follows:
The output gap is seen to have a clear and strong effect on the
behavior ofinterest rates(both real and nominal), even after the
autocorrelative effect s of the interest rates on themselves
are taken into account. The effect of the gap appears to confirm
the dynamic theoretial model which is presented in the thesis.
Finally, from causality test, it is seen that the level of
interest rates do not have a measurable effect on the business
cycle.
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