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Title: Granger 因果關係檢定之應用
Authors: 高千涵
Contributors: 林馨怡
Keywords: Granger 因果關係
Date: 2012
Issue Date: 2013-07-11 18:03:20 (UTC+8)
Abstract: 了解通貨膨脹、產出與其不確定性之間的關係,對於政策擬定有很大的參考價值。本文使用 Chuang, Kuan and Lin (2009) 的分量迴歸 Granger 因果關係檢定,檢驗1957/1958年-2012年G7各國的通貨膨脹、產出、通貨膨脹不確定性和產出不確定性之間的變數關係。實證結果發現大部分G7國家的通貨膨脹不確定性對通貨膨脹之影響和顯著性會因分量不同而不同,而通貨膨脹對不同分量的通貨膨脹不確定性都有顯著的影響,且通貨膨脹對高分量的通貨膨脹不確定性有明顯的正向影響。另外,產出不確定性對產出之影響和顯著性也會因分量不同而不同,而產出對各分量的產出不確定性都有顯著的影響,且產出對高分量的產出不確定性有顯著的負向影響。最後,G7國家中,英國的產出不確定性和通貨膨脹不確定性之間會相互影響,日本的兩變數互不影響,而其他五國只有產出不確定性對通貨膨脹不確定性有顯著的影響,且該影響在高分量時為顯著正向或負向影響。
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