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| 研究生： |
陳敬翔 |
|---|---|
| 論文名稱： |
釘住通貨膨脹政策之影響-動態分量迴歸之應用 The effect of inflation targeting policy - The application of dynamic quantile regression |
| 指導教授： | 林馨怡 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2011 |
| 畢業學年度： | 99 |
| 語文別： | 中文 |
| 論文頁數： | 48 |
| 中文關鍵詞： | 通貨膨脹率 、釘住通貨膨脹政策 |
| 相關次數： | 點閱：299 下載：47 |
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貨幣政策為中央銀行控制經濟情勢最主要的工具。1990年紐西蘭成為第一個採取釘住通貨膨脹率政策的國家，許多經濟學家開始認為釘住通貨膨脹率政策為最適當的貨幣政策。本論文利用Lin(2010)動態追蹤資料分量迴歸,分析釘住通貨膨脹率政策對通貨膨脹率，經濟成長，通貨膨脹率之波動和經濟成長之波動的影響。本論文以103個國家在1960-2010年的追蹤資料為例,實證結果發現，通貨膨脹率水準高的國家，釘住通貨膨脹率政策降低通貨膨脹率水準的效果愈強且顯著，而經濟成長高的國家則必須損失經濟成長作為代價，並且可以穩定通貨膨脹率和經濟成長之波動。此結果應證了Ball and Sheridan(2003)提到通貨膨脹率愈高的國家,降低愈多的通貨膨脹率水準。在考慮經濟成長和通貨膨長之抵換關係後，釘住通貨膨脹率政策在高通貨膨脹率的國家能夠有效降低通貨膨脹率水準。另外,在OECD國家和新興市場也得到類似的結論。
1. 緒論....................................................1
2. 文獻回顧................................................3
3. 計量方法................................................9
3.1 分量迴歸............................................9
3.2 追蹤資料之固定效果模型...............................10
3.3 追蹤資料之分量迴歸...................................12
3.4 追蹤資料之動態分量迴歸...............................14
4. 實證結果................................................15
4.1 資料...............................................15
4.2 基本結果............................................16
4.3 不同拔靴抽樣法......................................20
4.4 不同工具變數........................................22
4.5 OECD和新興市場......................................24
4.6 控制高通貨膨脹率.....................................26
4.7 不同期間............................................27
4.8 通貨膨脹率和經濟成長之抵換關係........................28
5. 結論...................................................30
參考文獻...................................................45
A. 釘住通貨膨脹率國家列表...................................47
A.1 23個採取釘住通貨膨脹率政策的國家......................47
A.2 25個採取釘住通貨膨脹率政策的國家......................47
A.3 國家列表............................................48
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