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題名	理性預期下產出與通貨膨脹替換關係之理論與驗證
作者	蔡培玄
貢獻者	王春源蔡培玄
日期	1984
上傳時間	9-Nov-2016 17:06:11 (UTC+8)
摘要	自一九七○年代以來，西方主要國家之產出與通貨膨脹間的菲立浦曲線關係，多發生有結構上之變化，亦即兩者之替換關係有惡化現象。此種現象不僅對理論模型之建立有直接的影響，甚至在政策涵義上亦有莫大之衝擊，當中，尤以理性預期假說之研究最具代表性。理性預期假說通常假設經濟個體會理性地充分利用經濟結構之有關訊息來從事預期。在此觀點下，傳統菲立浦曲線之關係究竟會做何變化？其變化之因為何？對政策涵義又有何影響？俱是本文探討之主題。正文可分理論與實證兩部分，且兩者密切配合，脈絡一貫。理論方面採逐步擴充方式，發展出一具有供給面干擾因子及差異性預期之一般化模型。發現總合干擾因子之變異數擴大，會造成產出與通貨膨脹替換關係之惡化；而特定干擾因子之變異數擴大，卻造成該項關係之改善。至於實際通貨膨脹率、預期通貨膨脹率與干擾項之變異數間的關係，在一般化模型下，並無法得出確切之正負方向變動。實證方面利用1963Ⅰ〜1982Ⅳ 之季資料，對中華民國等七個國家做比較實證分析，其方式有二：一是國際間之比較，一是單國不同期間之比較。並且分別就有關理論模型加以設定計量模型驗證之，兩相比較以明其差異之所在。最後，總結本文之理論與實證結果，並針對文中若干假設與限制，予以放寬或檢討，以提供未來可能之改進方向與努力目標。摘要Ⅰ 第一章緒論1 第一節研究目的與方法1 第二節本文結構3 第二章基本理論模型5 第一節總合供給函數5 第二節總合需求函數10 第三節均衡條件之經濟涵義與驗證11 第三章含供給面干擾因子之擴充模型21 第一節基本假設22 第二節模型結構23 第三節均衡條件與經濟涵義28 第四章比較實證分析37 第一節計量模式之設定37 第二節計量方法與限制45 第三節實證結果47 第五章結論與建議63 附錄甲實證附表69 附錄乙隨機係數迴歸模式75 參考文獻79
參考文獻	參考文獻一、中文部分 1.陸民仁，“當前經濟思潮”，政大公企中心演講稿，民國七十一年十月二十三日。 2.陳師孟，“理性預期模型中的價格僵固性與貨幣中立性”，台大經研所經濟論文叢刊第十一輯，民國七十二年五月，頁133~148。 3.黃宗煌，“淺談理性預期及其應用”，台灣經濟研究月刊，第六卷第八期，民國七十二年八月。 4.吳嘉隆，“理性預期模型與貨幣政策”，企銀季刊，第六卷第一期，民國七十一年七月。 5.包佈訓，“理性的預期和總體經濟模型之探討--台灣實證研究”，政大碩士論文，民國七十一年。 6.陳麗霞，“時變係數迴歸模式之探討”，政大碩士論文，民國七十一年。二、英文部分 7. Abrams, R. K. , R. T. Froyen, and R.N. Waud, “ The Variability of Output-Inflation Tradeoff,” JEDC 5, 1983, 151～171. 8. Alberro, J. , The Lucas Hypothesis on the Phillips Curve: Further International Evidence,” JME 7, 1981, 239～250. 9. Arak, M. ,“ Some International Evidence on Output-Inflation Tradeoff: Comment,” AER, Sep. 1977, 728～730. 10. Asako, K, “Rational Expectations and the Effectiveness of Monetary Policy with Special Reference to the Barro-Fischer Model , ” JME 9 , 1982 , 99～107. 11. Barro, R. J., “ Rational Expectations and the Role of Monetary Policy,” JME 2, 1976. 12. Begg, D. K. H., The Rational Expectations Revolution in Macroeconomics : Theories & Evidence, 1982. 13. Benhabib, J., “ Adaptive Monetary Policy and Rational Expectations,” JET 23,1980 , 261～266. 14. Blanchard, O. J., “ Backwark and Forward Solutions for Economics with Rational Expectations,” AER 69 ,1979 , 114～118. 15._________, and C. M. Kahn, “ The Solution of Linear Difference Models under Rational Expectations, ” Econometrica Vol. 48, No. 5, July 1980, 1304～1311. 16. Brunner, K., A. Cukierman, and A. H. Meltzer, “ Money and Economic Activity, Inventory and Business Cycle,” JME 11, 1983, 281～319. 17. Bull, C. and R. Frydman, “The Derivation and Interpretation of the Lucas Supply Function,” JMCB, Feb. 1983, 82～95. 18. Burmeister, E., R. P. Flood, and P. M. Garber, “On the Equivalence of Solutions in Rational Expectations Models,” JEDC, 1983, 311～321. 19. Chun-Yan Wang, “ A Supplement to Reduced Forms of Rational Expectations Models,” Economic Essays, Vol. XI, May, 1983, 211～217. 20. Collard, D. A., “ Pigou on Expectations and Cycle,” EJ. June 1983, 411～413. 21. Cukierman, A., “ The Relationship between Relative Prices and the General Price Level : A suggested interpretation,” AER, June 1979, Vol. 69, No. 3 ,444～447. 22.__________, “ Rational Expectations and the Role of Monetary Policy : A Generalization,” JME5 ,1979, 213～229. 23.__________ , and P. Wachtel, “ Differential Inflationary Expectations and the Variability of the Rate of Inflation : Theory and Evidence, ” AER, Sep. 1979, 595～609. 24.__________, “ Inflationary Expectations : Reply and Further Thoughts on Inflation Uncertainty,” AER, Vol. 72, No. 3, 508～511. 25. Fischer, S., Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule,” JPE, Vol. 85, No. 1, 1977. 26. Fischer, S., Rational Expectations and the Economic Policy, 1980. 27. Froyen, R. T. and R. B. Waud, “ Further International Evidence on Output-Inflation Tradeoffs;” AER, June 1980, 409～421. 28. Granger, C. W. J. and P. Newbold, Forecasting Economic Time Series, 1977. 29. Judge, Hill, Griffiths, Lutkepohl, and Lee, Introduction to the Theory and Practice of Econometrics 1982. 30. Lawrence, C. , “ Rational Expectations, Supply Shocks and the Stability of the Inflation-Output Tradeoff : some time series evidence for the united Kingdom 1957～1977,” JME 11, 1983, 225～245. 31. Lucas, R. E. “ Some International Evidence on Output-Inflation Tradeoffs,” AER, Vol .63, No. 3, 1973, 326～334 32. ________, “ An Equilibrium Model of the Business Cyle ” JPE, Vol. 83, No. 6, 1975, 1113～1144. 33.________ , “ Some International Evidence on Output -Inflation Tradeoffs; Reply,” AER, Sep. 1977, 731. 34._________ , “ Understanding Business Cycles,” JME, Vol. 5, Sep. 1977, 7～29. 35._________, “Methods and Problems in Business Cycle Theory,” JMCB, Vol. 12, No. 4, 1980, 699～715. 36. ________ , and L. A. Rapping, “Real Wages, Employment and Inflation,” JPE, Oct. 1969, 721～754. 37. McCallum, B. T. and J. K. Whitaker, “The Effectiveness of Fiscal Feedback Rules and Automatic Stabilizers under Rational Expectations,” JME 5, 1979, 171～186. 38. Mcnees, S .K. ,“ The “Rationality” of Economic Forecasts,” AER, May 1978, 301～305. 39. Mitchell, D. W. and H. E. Taylor, “ Inflationary Expectations :Comment,” AER, Vol. 72, No. 3, 1982, 502～507. 40. Nelson, C. R., “ Adjustment Lags Versus Information Lags,” JMCB, Vol. 13, No. 1, Feb 1981, 1～11. 41. Parks, R.W., “ Inflation and Relative Price Variability,” JPE, Vol. 86, No. 1, 1978, 79～95. 42. Patrick Minford and David Peel, “The Microfoundations of the phillips Curve with Rational Expectations,” The Microfoundations of the phillips Curve with Rational Expectations.” OEP. No. 5. 1982, 449～451. 43. Pesando, J. E., A Note on the Rationality of the Livingston Price Expectations,” J P E, Vol. 83, No. 4, 1975, 849～858. 44. Sargent, T. J , Macroeconomic Theory, 1979. 45. ________and N. Wallace, “ Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule, ”JPE, 1975. 46. Sijben, J., Rational Expectations and Monetary Policy, 1980. 47. Sims, C. A. “ IS There a Monetary Business Cycle ? AER, May 1983, Vol. 73, No. 2, 228～233. 48. Swamy, P. A. V. B. and J. S. Mehta, “ Bayesian and Non -Bayesian Analysis of Switching Regressions and of Random Coefficient Regression Models,” JASA, Vol. 70, Sep. 1975. 49. Waldo, D. G, “ Rational Expectations and the Role of counter-Cyclical Monetary Policy,” JME 10, 1982, , 101～109. 50. Vining, D. R. and T. C. Elwertowski, “The Relationship between Relative Prices and the General Price Level,” AER, Vol. 66, No. 4, Sep. 1976, 699～798.
關聯	國立政治大學經濟研究所碩士 72
資料類型	thesis

dc.contributor.advisor	王春源
dc.contributor.author (Authors)	蔡培玄
dc.creator (作者)	蔡培玄	zh_TW
dc.date (日期)	1984
dc.date.accessioned	9-Nov-2016 17:06:11 (UTC+8)	-
dc.date.available	9-Nov-2016 17:06:11 (UTC+8)	-
dc.date.issued (上傳時間)	9-Nov-2016 17:06:11 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/103629	-
dc.description.abstract (摘要)	自一九七○年代以來，西方主要國家之產出與通貨膨脹間的菲立浦曲線關係，多發生有結構上之變化，亦即兩者之替換關係有惡化現象。此種現象不僅對理論模型之建立有直接的影響，甚至在政策涵義上亦有莫大之衝擊，當中，尤以理性預期假說之研究最具代表性。理性預期假說通常假設經濟個體會理性地充分利用經濟結構之有關訊息來從事預期。在此觀點下，傳統菲立浦曲線之關係究竟會做何變化？其變化之因為何？對政策涵義又有何影響？俱是本文探討之主題。正文可分理論與實證兩部分，且兩者密切配合，脈絡一貫。理論方面採逐步擴充方式，發展出一具有供給面干擾因子及差異性預期之一般化模型。發現總合干擾因子之變異數擴大，會造成產出與通貨膨脹替換關係之惡化；而特定干擾因子之變異數擴大，卻造成該項關係之改善。至於實際通貨膨脹率、預期通貨膨脹率與干擾項之變異數間的關係，在一般化模型下，並無法得出確切之正負方向變動。實證方面利用1963Ⅰ〜1982Ⅳ 之季資料，對中華民國等七個國家做比較實證分析，其方式有二：一是國際間之比較，一是單國不同期間之比較。並且分別就有關理論模型加以設定計量模型驗證之，兩相比較以明其差異之所在。最後，總結本文之理論與實證結果，並針對文中若干假設與限制，予以放寬或檢討，以提供未來可能之改進方向與努力目標。
dc.description.abstract (摘要)	摘要Ⅰ 第一章緒論1 第一節研究目的與方法1 第二節本文結構3 第二章基本理論模型5 第一節總合供給函數5 第二節總合需求函數10 第三節均衡條件之經濟涵義與驗證11 第三章含供給面干擾因子之擴充模型21 第一節基本假設22 第二節模型結構23 第三節均衡條件與經濟涵義28 第四章比較實證分析37 第一節計量模式之設定37 第二節計量方法與限制45 第三節實證結果47 第五章結論與建議63 附錄甲實證附表69 附錄乙隨機係數迴歸模式75 參考文獻79
dc.format.extent	115 bytes	-
dc.format.mimetype	text/html	-
dc.relation (關聯)	國立政治大學
dc.relation (關聯)	經濟研究所
dc.relation (關聯)	碩士
dc.relation (關聯)	72
dc.title (題名)	理性預期下產出與通貨膨脹替換關係之理論與驗證	zh_TW
dc.type (資料類型)	thesis
dc.relation.reference (參考文獻)	參考文獻一、中文部分 1.陸民仁，“當前經濟思潮”，政大公企中心演講稿，民國七十一年十月二十三日。 2.陳師孟，“理性預期模型中的價格僵固性與貨幣中立性”，台大經研所經濟論文叢刊第十一輯，民國七十二年五月，頁133~148。 3.黃宗煌，“淺談理性預期及其應用”，台灣經濟研究月刊，第六卷第八期，民國七十二年八月。 4.吳嘉隆，“理性預期模型與貨幣政策”，企銀季刊，第六卷第一期，民國七十一年七月。 5.包佈訓，“理性的預期和總體經濟模型之探討--台灣實證研究”，政大碩士論文，民國七十一年。 6.陳麗霞，“時變係數迴歸模式之探討”，政大碩士論文，民國七十一年。二、英文部分 7. Abrams, R. K. , R. T. Froyen, and R.N. Waud, “ The Variability of Output-Inflation Tradeoff,” JEDC 5, 1983, 151～171. 8. Alberro, J. , The Lucas Hypothesis on the Phillips Curve: Further International Evidence,” JME 7, 1981, 239～250. 9. Arak, M. ,“ Some International Evidence on Output-Inflation Tradeoff: Comment,” AER, Sep. 1977, 728～730. 10. Asako, K, “Rational Expectations and the Effectiveness of Monetary Policy with Special Reference to the Barro-Fischer Model , ” JME 9 , 1982 , 99～107. 11. Barro, R. J., “ Rational Expectations and the Role of Monetary Policy,” JME 2, 1976. 12. Begg, D. K. H., The Rational Expectations Revolution in Macroeconomics : Theories & Evidence, 1982. 13. Benhabib, J., “ Adaptive Monetary Policy and Rational Expectations,” JET 23,1980 , 261～266. 14. Blanchard, O. J., “ Backwark and Forward Solutions for Economics with Rational Expectations,” AER 69 ,1979 , 114～118. 15._________, and C. M. Kahn, “ The Solution of Linear Difference Models under Rational Expectations, ” Econometrica Vol. 48, No. 5, July 1980, 1304～1311. 16. Brunner, K., A. Cukierman, and A. H. Meltzer, “ Money and Economic Activity, Inventory and Business Cycle,” JME 11, 1983, 281～319. 17. Bull, C. and R. Frydman, “The Derivation and Interpretation of the Lucas Supply Function,” JMCB, Feb. 1983, 82～95. 18. Burmeister, E., R. P. Flood, and P. M. Garber, “On the Equivalence of Solutions in Rational Expectations Models,” JEDC, 1983, 311～321. 19. Chun-Yan Wang, “ A Supplement to Reduced Forms of Rational Expectations Models,” Economic Essays, Vol. XI, May, 1983, 211～217. 20. Collard, D. A., “ Pigou on Expectations and Cycle,” EJ. June 1983, 411～413. 21. Cukierman, A., “ The Relationship between Relative Prices and the General Price Level : A suggested interpretation,” AER, June 1979, Vol. 69, No. 3 ,444～447. 22.__________, “ Rational Expectations and the Role of Monetary Policy : A Generalization,” JME5 ,1979, 213～229. 23.__________ , and P. Wachtel, “ Differential Inflationary Expectations and the Variability of the Rate of Inflation : Theory and Evidence, ” AER, Sep. 1979, 595～609. 24.__________, “ Inflationary Expectations : Reply and Further Thoughts on Inflation Uncertainty,” AER, Vol. 72, No. 3, 508～511. 25. Fischer, S., Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule,” JPE, Vol. 85, No. 1, 1977. 26. Fischer, S., Rational Expectations and the Economic Policy, 1980. 27. Froyen, R. T. and R. B. Waud, “ Further International Evidence on Output-Inflation Tradeoffs;” AER, June 1980, 409～421. 28. Granger, C. W. J. and P. Newbold, Forecasting Economic Time Series, 1977. 29. Judge, Hill, Griffiths, Lutkepohl, and Lee, Introduction to the Theory and Practice of Econometrics 1982. 30. Lawrence, C. , “ Rational Expectations, Supply Shocks and the Stability of the Inflation-Output Tradeoff : some time series evidence for the united Kingdom 1957～1977,” JME 11, 1983, 225～245. 31. Lucas, R. E. “ Some International Evidence on Output-Inflation Tradeoffs,” AER, Vol .63, No. 3, 1973, 326～334 32. ________, “ An Equilibrium Model of the Business Cyle ” JPE, Vol. 83, No. 6, 1975, 1113～1144. 33.________ , “ Some International Evidence on Output -Inflation Tradeoffs; Reply,” AER, Sep. 1977, 731. 34._________ , “ Understanding Business Cycles,” JME, Vol. 5, Sep. 1977, 7～29. 35._________, “Methods and Problems in Business Cycle Theory,” JMCB, Vol. 12, No. 4, 1980, 699～715. 36. ________ , and L. A. Rapping, “Real Wages, Employment and Inflation,” JPE, Oct. 1969, 721～754. 37. McCallum, B. T. and J. K. Whitaker, “The Effectiveness of Fiscal Feedback Rules and Automatic Stabilizers under Rational Expectations,” JME 5, 1979, 171～186. 38. Mcnees, S .K. ,“ The “Rationality” of Economic Forecasts,” AER, May 1978, 301～305. 39. Mitchell, D. W. and H. E. Taylor, “ Inflationary Expectations :Comment,” AER, Vol. 72, No. 3, 1982, 502～507. 40. Nelson, C. R., “ Adjustment Lags Versus Information Lags,” JMCB, Vol. 13, No. 1, Feb 1981, 1～11. 41. Parks, R.W., “ Inflation and Relative Price Variability,” JPE, Vol. 86, No. 1, 1978, 79～95. 42. Patrick Minford and David Peel, “The Microfoundations of the phillips Curve with Rational Expectations,” The Microfoundations of the phillips Curve with Rational Expectations.” OEP. No. 5. 1982, 449～451. 43. Pesando, J. E., A Note on the Rationality of the Livingston Price Expectations,” J P E, Vol. 83, No. 4, 1975, 849～858. 44. Sargent, T. J , Macroeconomic Theory, 1979. 45. ________and N. Wallace, “ Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule, ”JPE, 1975. 46. Sijben, J., Rational Expectations and Monetary Policy, 1980. 47. Sims, C. A. “ IS There a Monetary Business Cycle ? AER, May 1983, Vol. 73, No. 2, 228～233. 48. Swamy, P. A. V. B. and J. S. Mehta, “ Bayesian and Non -Bayesian Analysis of Switching Regressions and of Random Coefficient Regression Models,” JASA, Vol. 70, Sep. 1975. 49. Waldo, D. G, “ Rational Expectations and the Role of counter-Cyclical Monetary Policy,” JME 10, 1982, , 101～109. 50. Vining, D. R. and T. C. Elwertowski, “The Relationship between Relative Prices and the General Price Level,” AER, Vol. 66, No. 4, Sep. 1976, 699～798.