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題名 通貨膨脹目標政策效果分析
Empirical Analysis of the Effect of Inflation Targeting on Inflation作者 余福燊
Yu, Fu Shen貢獻者 林馨怡
Lin, Hsin Yi
余福燊
Yu, Fu Shen關鍵詞 通貨膨脹
通貨膨脹目標
分量處理效果
inflation
inflation targeting
treatment effect日期 2016 上傳時間 14-Nov-2016 16:20:48 (UTC+8) 摘要 本文使用分量處理效果方法，分析通貨膨脹目標政策對通貨膨脹的影響。依據Svensson (1997)與Orphanides and Wilcox (2002)的理論可知，當通貨膨脹低於目標區間時，通貨膨脹目標政策對通貨膨脹具有正向的效果；當通貨膨脹高於目標區間時，具有負向的效果；而當通貨膨脹位於目標區間時，效果微弱。本文利用1980年--2010年17個國家的年資料作實證分析。實證結果發現，通貨膨脹目標政策在不同分量的通貨膨脹下對通貨膨脹的影響有所不同。當通貨膨脹低的時候，通貨膨脹目標政策對通貨膨脹具有正向效果；然而，當通貨膨脹高的時候，具有負向效果，且隨著通貨膨脹的上升，負向效果有增強的趨勢。此結果與前述理論一致。即使考慮刪去高通貨膨脹國家、將不同開發程度的國家分開討論、不同的資料期間和不同的政策開始時間，均得到類似的結果。 參考文獻 Alpanda, S., Honig, A., 2014. The Impact of Central Bank Independence on the Performance of Inflation Targeting Regimes. Journal of International Money and Finance, 44, 118–135.Ammer, J., Freeman, R. T., 1995. Inflation Targeting in the 1990s: the Experiences of New Zealand, Canada, and the United Kingdom. Journal of Economics and Business, 47(2), 165–192.Ayres, K., Belasen A. R., Kutan, A. M., 2014. Does Inflation Targeting Lower Inflation and Spur Growth? Journal of Policy Modeling, 36(2), 373–388.Ball, L., Sheridan, N., 2003. Does Inflation Targeting Matter? NBER Working Paper, No. 9577.Barnow, B. S., Cain, G. G., Goldberger, A. S., 1980. Issues in the Analysis of Selectivity Bias. Evaluation Studies, Vol. 5, ed. by E. Stromsdorfer and G. Farkas. San Francisco: Sage.Barro, R. J., Gordon, D. B., 1983a. A Positive Theory of Monetary Policy in a Natural Rate Model. Journal of Political Economy, 91(4), 589–610.Barro, R. J., Gordon, D. B., 1983b. Rules, Discretion and Reputation in a Model of Monetary Policy. Journal of Monetary Economics, 12(1), 101–121.Bernanke, B. S., Mishkin, F. S., 1997. Inflation Targeting: A New Framework for Monetary Policy?Journal of Economic Perspectives, 11(2), 97–116.Bernanke, B. S., Launach, T., Mishkin, F. S., Posen, A. S., 1999. Inflation Targeting: Lessons from the International Experience. Princeton University Press, Princeton, NJ.Brito, R. D., Bystedt, B., 2010. Inflation Targeting in Emerging Economies: Panel Evidence.Journal of Development Economics, 91(2), 198–210.Bunzel, H., Enders, W., 2010. The Taylor Rule and “Opportunistic” Monetary Policy. Journal of Money, Credit and Banking, 42(5), 931–949.Calvo, G., 1990. Capital Markets and Exchange Rate. Mimeo, University of Maryland.Carare, A., Stone, M. R., 2006. Inflation Targeting Regimes. European Economic Review, 50(5), 1297–1315.Cecchetti, S. G., 1995. Inflation Indicators and Inflation Policy. NBER Macroeconomics Annual 1995, 10, 189–219.Chinn, M.D., Ito, H., 2008. A New Measure of Financial Openness. Journal of Comparative PolicyAnalysis, 10(3), 309–322.Cukierman, A., Webb, S., Neyapti, B., 1992. Measuring the Independence of Central Banks and Its Effects on Policy Outcomes. World Bank Economic Review, 6(3), 353–398.de Mendon¸ ca, H. F., de Guimar˜ aes e Souza, G. J., 2012. Is Inflation Targeting a Good Remedy to Control Inflation? Journal of Development Economics, 98(2), 178–191.Dreher, A., Sturm, J. E., de Haan, J., 2008. Does High Inflation Cause Central Bankers to Lose Their Job? Evidence Based on A New Data Set. European Journal of Political Economy, 24(4), 778–787.Firpo, S., 2007. Efficient Semiparametric Estimation of Quantile Treatment Effects. Econometrica,75(1), 259–276.Friedman, B. M., Kuttner, K., 1996. A Price Target for US Monetary Policy? Lessons from the Experience with Money Growth Targets. Brookings Papers on Economic Activity, 27(1), 77–125.Frölich, M., 2007. Propensity Score Matching without Conditional Independence Assumption–with an Application to the Gender Wage Gap in the United Kingdom. Econometrics Journal, 10(2), 359–407.Frölich, M., Melly, B., 2010. Estimation of Quantile Treatment Effects with STATA. Stata Journal, 10(3), 423–457.Gon¸ calves, C., Salles, J., 2008. Inflation Targeting in Emerging Economies: What Do the Data Say? Journal of Development Economics, 85(12), 312–318.Gruben, W., McLeod, D., 2002. Capital Account Liberalization and Inflation. Economics Letters, 77(2), 221–225.Hammond, G., 2012. State of the Art of Inflation Targeting. Centre for Central Banking Studies Handbook, No. 29.Hirano K., Imbens, G. W., Ridder, G., 2003. Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score. Econometrica, 71(4), 1161–1189.Hu, Y., 2006. The Choice of Inflation Targeting–An Empirical Investigation. International Economics and Economic Policy, 3(1), 27–42.Koenker, R., Bassett, G., 1978. Regression Quantiles. Econometrica, 46(1), 33–50.Kydland, F.E., Prescott, E.C., 1977. Rules Rather than Discretion: The Inconsistency of Optimal Plans. Journal of Political Economy, 85(3), 473–491.Lengwiler, Y., Orphanides, A., 2002. Optimal Discretion. Scandinavian Journal of Economics, 104(1), 261–276.Lin, S., Ye, H., 2007. Does Inflation Targeting Really Make a Difference? Evaluating the Treatment Effect of Inflation Targeting in Seven Industrial Countries. Journal of Monetary Economics, 54(8), 2521–2533.Lin, S., Ye, H., 2009. Does Inflation Targeting Make a Difference in Developing Countries? Journal of Development Economics, 89(1), 118–123.Lucotte, Y., 2010. The Choice of Adopting Inflation Targeting in Emerging Economies: Do Domestic Institutions Matter? MPRA Working Paper, No. 27118.Martin, C., Milas, C., 2010. Testing the Opportunistic Approach to Monetary Policy. Manchester School, 78(2), 110–125.Masson, P. R., Savastano, M. A., Sharma, S., 1997. The Scope for Inflation Targeting in Developing Countries. IMF Working Paper, No. 97/130.Melly, B., 2006. Estimation of Counterfactual Distributions Using Quantile Regression. Discussionpaper, Universität St. Gallen.Meyer, H. L., 2002. Inflation Targets and Inflation Targeting. North American Journal of Economics and Finance, 13(2), 147–162.Minea, A., Tapsoba, R. 2014. Does Inflation Targeting Improve Fiscal Discipline? Journal of International Money and Finance, 40, 185–203.Mishkin, F. S., 1996. Understanding Financial Crises: A Developing Country Perspective. Annual World Bank conference on development economics, 29–62.Mishkin, F. S., 1999. International Experiences with Different Monetary Policy Regimes. Journal of Monetary Economics, 43(3), 579–605.Mishkin, F. S., 2004. Can Inflation Targeting Work in Emerging Market Countries? NBER Working Paper, No. 10646.Mishkin, F. S., Adam, P., 1997. Inflation Targeting: Lessons from Four Countries. Federal Reserve Bank of New York Economic Policy Review, 3(3), 9–110.Mishkin, F. S., Westelius, N. J., 2008. Inflation Band Targeting and Optimal Inflation Contracts. Journal of Money, Credit and Banking, 40(4), 557–582.Naraidoo, R., Raputsoane, L., 2011. Optimal Monetary Policy Reaction Function in a Model with Target Zones and Asymmetric Preferences for South Africa. Economic Modelling, 28(1–2), 251–258.Neumann, M. J. M., von Hagen, J., 2002. Does Inflation Target Matter? Federal Reserve Bank of St. Louis Review, 84(4), 127–148.Persson, T., 2001. Currency Unions and Trade: How Large Is the Treatment Effect? Economic Policy, 16(33), 433–462.Orphanides, A., Wilcox, D. W., 2002. The Opportunistic Approach to Disinflation. International Finance, 5(1), 47–71.Reinhart, C. M., Rogoff, K.S., 2004. The Modern History of Exchange Rate Arrangements: A Reinterpretation. Quarterly Journal of Economics, 119(1), 1–48.Rogoff, K. S., 1985. The Optimal Degree of Commitment to an Intermediate Monetary Target. Quarterly Journal of Economics, 100(4), 1169–1189.Romer, D., 2006. Advanced Macroeconomics. McGraw-Hill, Irwin, New York.Samarina, A., de Haan, J., 2014. Right on Target: Exploring the Factors Leading to Inflation Targeting Adoption. Contemporary Economic Policy, 32(2), 372–389.Samarina, A., Terpstra, M., de Haan, J., 2014. Inflation Targeting and Inflation Performance: A Comparative Analysis. Applied Economics, 46(1), 41–56.Silverman, B. W., 1986. Density Estimation for Statistics and Data Analysis. New York: Chapman and Hall.Svensson, L. E. O., 1997. Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets. European Economic Review, 41(6), 1111–1146.Taylor, B.J., 1993. Discretion versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, 39(1), 195–214.Tommasi, M., 1999. On High Inflation and the Allocation of Resources. Journal of Monetary Economics, 44(3), 401–421.Truman, E., 2003. Inflation Targeting in the World Economy. Institute for International Economics, Washington.Tytell, I., Wei, S., 2004. Does Financial Globalization Induce Better Macroeconomic Policies? IMF Working Paper, No. 04/84.Vega, M., Winkelried, D., 2005. Inflation Targeting and Inflation Behavior: A Successful Story? International Journal of Central Banking, 1(3), 153–175.Walsh, C.E., 1995. Optimal Contracts for Central Bankers. American Economic Review, 85(1), 150–167.Willard, L. B., 2012. Does Inflation Targeting Matter? A Reassessment. Applied Economics, 44(17), 2231–2244.Wu, Y. T., 2004. Does Inflation Targeting Reduce Inflation? An Analysis for the OECD Industrial Countries. Central Bank of Brazil Working Paper, No. 83.Wynne, M.A., Kersting, E.K., 2007. Openness and Inflation. Federal Reserve Bank of Dallas StaffPapers, No. 2.Yamada, H., 2013. Does the Exchange Rate Regime Make a Difference in Inflation Performance in Developing and Emerging Countries?: The Role of Inflation Targeting. Journal of International Money and Finance, 32, 968–989. 描述 碩士
國立政治大學
經濟學系
103258017資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103258017 資料類型 thesis dc.contributor.advisor 林馨怡 zh_TW dc.contributor.advisor Lin, Hsin Yi en_US dc.contributor.author (Authors) 余福燊 zh_TW dc.contributor.author (Authors) Yu, Fu Shen en_US dc.creator (作者) 余福燊 zh_TW dc.creator (作者) Yu, Fu Shen en_US dc.date (日期) 2016 en_US dc.date.accessioned 14-Nov-2016 16:20:48 (UTC+8) - dc.date.available 14-Nov-2016 16:20:48 (UTC+8) - dc.date.issued (上傳時間) 14-Nov-2016 16:20:48 (UTC+8) - dc.identifier (Other Identifiers) G0103258017 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/104006 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 103258017 zh_TW dc.description.abstract (摘要) 本文使用分量處理效果方法，分析通貨膨脹目標政策對通貨膨脹的影響。依據Svensson (1997)與Orphanides and Wilcox (2002)的理論可知，當通貨膨脹低於目標區間時，通貨膨脹目標政策對通貨膨脹具有正向的效果；當通貨膨脹高於目標區間時，具有負向的效果；而當通貨膨脹位於目標區間時，效果微弱。本文利用1980年--2010年17個國家的年資料作實證分析。實證結果發現，通貨膨脹目標政策在不同分量的通貨膨脹下對通貨膨脹的影響有所不同。當通貨膨脹低的時候，通貨膨脹目標政策對通貨膨脹具有正向效果；然而，當通貨膨脹高的時候，具有負向效果，且隨著通貨膨脹的上升，負向效果有增強的趨勢。此結果與前述理論一致。即使考慮刪去高通貨膨脹國家、將不同開發程度的國家分開討論、不同的資料期間和不同的政策開始時間，均得到類似的結果。 zh_TW dc.description.tableofcontents 1 緒論 12 文獻回顧 32.1 通貨膨脹目標政策 32.2 通貨膨脹目標政策與通貨膨脹 63 處理效果 153.1 平均處理效果 153.2 分量處理效果 174 實證分析 194.1 資料 194.2 基本結果 234.3 刪去高通貨膨脹國家 264.4 已開發國家與開發中國家 284.5 不同的資料期間 294.6 不同的政策開始時間 305 結論 32參考文獻 39附錄 43 zh_TW dc.format.extent 1273843 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103258017 en_US dc.subject (關鍵詞) 通貨膨脹 zh_TW dc.subject (關鍵詞) 通貨膨脹目標 zh_TW dc.subject (關鍵詞) 分量處理效果 zh_TW dc.subject (關鍵詞) inflation en_US dc.subject (關鍵詞) inflation targeting en_US dc.subject (關鍵詞) treatment effect en_US dc.title (題名) 通貨膨脹目標政策效果分析 zh_TW dc.title (題名) Empirical Analysis of the Effect of Inflation Targeting on Inflation en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Alpanda, S., Honig, A., 2014. The Impact of Central Bank Independence on the Performance of Inflation Targeting Regimes. Journal of International Money and Finance, 44, 118–135.Ammer, J., Freeman, R. T., 1995. Inflation Targeting in the 1990s: the Experiences of New Zealand, Canada, and the United Kingdom. Journal of Economics and Business, 47(2), 165–192.Ayres, K., Belasen A. R., Kutan, A. M., 2014. Does Inflation Targeting Lower Inflation and Spur Growth? Journal of Policy Modeling, 36(2), 373–388.Ball, L., Sheridan, N., 2003. Does Inflation Targeting Matter? NBER Working Paper, No. 9577.Barnow, B. S., Cain, G. G., Goldberger, A. S., 1980. Issues in the Analysis of Selectivity Bias. Evaluation Studies, Vol. 5, ed. by E. Stromsdorfer and G. Farkas. San Francisco: Sage.Barro, R. J., Gordon, D. B., 1983a. A Positive Theory of Monetary Policy in a Natural Rate Model. Journal of Political Economy, 91(4), 589–610.Barro, R. J., Gordon, D. B., 1983b. Rules, Discretion and Reputation in a Model of Monetary Policy. Journal of Monetary Economics, 12(1), 101–121.Bernanke, B. S., Mishkin, F. S., 1997. Inflation Targeting: A New Framework for Monetary Policy?Journal of Economic Perspectives, 11(2), 97–116.Bernanke, B. S., Launach, T., Mishkin, F. S., Posen, A. S., 1999. Inflation Targeting: Lessons from the International Experience. Princeton University Press, Princeton, NJ.Brito, R. D., Bystedt, B., 2010. Inflation Targeting in Emerging Economies: Panel Evidence.Journal of Development Economics, 91(2), 198–210.Bunzel, H., Enders, W., 2010. The Taylor Rule and “Opportunistic” Monetary Policy. Journal of Money, Credit and Banking, 42(5), 931–949.Calvo, G., 1990. Capital Markets and Exchange Rate. Mimeo, University of Maryland.Carare, A., Stone, M. R., 2006. Inflation Targeting Regimes. European Economic Review, 50(5), 1297–1315.Cecchetti, S. G., 1995. Inflation Indicators and Inflation Policy. NBER Macroeconomics Annual 1995, 10, 189–219.Chinn, M.D., Ito, H., 2008. A New Measure of Financial Openness. Journal of Comparative PolicyAnalysis, 10(3), 309–322.Cukierman, A., Webb, S., Neyapti, B., 1992. Measuring the Independence of Central Banks and Its Effects on Policy Outcomes. World Bank Economic Review, 6(3), 353–398.de Mendon¸ ca, H. F., de Guimar˜ aes e Souza, G. J., 2012. Is Inflation Targeting a Good Remedy to Control Inflation? Journal of Development Economics, 98(2), 178–191.Dreher, A., Sturm, J. E., de Haan, J., 2008. Does High Inflation Cause Central Bankers to Lose Their Job? Evidence Based on A New Data Set. European Journal of Political Economy, 24(4), 778–787.Firpo, S., 2007. Efficient Semiparametric Estimation of Quantile Treatment Effects. Econometrica,75(1), 259–276.Friedman, B. M., Kuttner, K., 1996. A Price Target for US Monetary Policy? Lessons from the Experience with Money Growth Targets. Brookings Papers on Economic Activity, 27(1), 77–125.Frölich, M., 2007. Propensity Score Matching without Conditional Independence Assumption–with an Application to the Gender Wage Gap in the United Kingdom. Econometrics Journal, 10(2), 359–407.Frölich, M., Melly, B., 2010. Estimation of Quantile Treatment Effects with STATA. Stata Journal, 10(3), 423–457.Gon¸ calves, C., Salles, J., 2008. Inflation Targeting in Emerging Economies: What Do the Data Say? Journal of Development Economics, 85(12), 312–318.Gruben, W., McLeod, D., 2002. Capital Account Liberalization and Inflation. Economics Letters, 77(2), 221–225.Hammond, G., 2012. State of the Art of Inflation Targeting. Centre for Central Banking Studies Handbook, No. 29.Hirano K., Imbens, G. W., Ridder, G., 2003. Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score. Econometrica, 71(4), 1161–1189.Hu, Y., 2006. The Choice of Inflation Targeting–An Empirical Investigation. International Economics and Economic Policy, 3(1), 27–42.Koenker, R., Bassett, G., 1978. Regression Quantiles. Econometrica, 46(1), 33–50.Kydland, F.E., Prescott, E.C., 1977. Rules Rather than Discretion: The Inconsistency of Optimal Plans. Journal of Political Economy, 85(3), 473–491.Lengwiler, Y., Orphanides, A., 2002. Optimal Discretion. Scandinavian Journal of Economics, 104(1), 261–276.Lin, S., Ye, H., 2007. Does Inflation Targeting Really Make a Difference? Evaluating the Treatment Effect of Inflation Targeting in Seven Industrial Countries. Journal of Monetary Economics, 54(8), 2521–2533.Lin, S., Ye, H., 2009. Does Inflation Targeting Make a Difference in Developing Countries? Journal of Development Economics, 89(1), 118–123.Lucotte, Y., 2010. The Choice of Adopting Inflation Targeting in Emerging Economies: Do Domestic Institutions Matter? MPRA Working Paper, No. 27118.Martin, C., Milas, C., 2010. Testing the Opportunistic Approach to Monetary Policy. Manchester School, 78(2), 110–125.Masson, P. R., Savastano, M. A., Sharma, S., 1997. The Scope for Inflation Targeting in Developing Countries. IMF Working Paper, No. 97/130.Melly, B., 2006. Estimation of Counterfactual Distributions Using Quantile Regression. Discussionpaper, Universität St. Gallen.Meyer, H. L., 2002. Inflation Targets and Inflation Targeting. North American Journal of Economics and Finance, 13(2), 147–162.Minea, A., Tapsoba, R. 2014. Does Inflation Targeting Improve Fiscal Discipline? Journal of International Money and Finance, 40, 185–203.Mishkin, F. S., 1996. Understanding Financial Crises: A Developing Country Perspective. Annual World Bank conference on development economics, 29–62.Mishkin, F. S., 1999. International Experiences with Different Monetary Policy Regimes. Journal of Monetary Economics, 43(3), 579–605.Mishkin, F. S., 2004. Can Inflation Targeting Work in Emerging Market Countries? NBER Working Paper, No. 10646.Mishkin, F. S., Adam, P., 1997. Inflation Targeting: Lessons from Four Countries. Federal Reserve Bank of New York Economic Policy Review, 3(3), 9–110.Mishkin, F. S., Westelius, N. J., 2008. Inflation Band Targeting and Optimal Inflation Contracts. Journal of Money, Credit and Banking, 40(4), 557–582.Naraidoo, R., Raputsoane, L., 2011. Optimal Monetary Policy Reaction Function in a Model with Target Zones and Asymmetric Preferences for South Africa. Economic Modelling, 28(1–2), 251–258.Neumann, M. J. M., von Hagen, J., 2002. Does Inflation Target Matter? Federal Reserve Bank of St. Louis Review, 84(4), 127–148.Persson, T., 2001. Currency Unions and Trade: How Large Is the Treatment Effect? Economic Policy, 16(33), 433–462.Orphanides, A., Wilcox, D. W., 2002. The Opportunistic Approach to Disinflation. International Finance, 5(1), 47–71.Reinhart, C. M., Rogoff, K.S., 2004. The Modern History of Exchange Rate Arrangements: A Reinterpretation. Quarterly Journal of Economics, 119(1), 1–48.Rogoff, K. S., 1985. The Optimal Degree of Commitment to an Intermediate Monetary Target. Quarterly Journal of Economics, 100(4), 1169–1189.Romer, D., 2006. Advanced Macroeconomics. McGraw-Hill, Irwin, New York.Samarina, A., de Haan, J., 2014. Right on Target: Exploring the Factors Leading to Inflation Targeting Adoption. Contemporary Economic Policy, 32(2), 372–389.Samarina, A., Terpstra, M., de Haan, J., 2014. Inflation Targeting and Inflation Performance: A Comparative Analysis. Applied Economics, 46(1), 41–56.Silverman, B. W., 1986. Density Estimation for Statistics and Data Analysis. New York: Chapman and Hall.Svensson, L. E. O., 1997. Inflation Forecast Targeting: Implementing and Monitoring Inflation Targets. European Economic Review, 41(6), 1111–1146.Taylor, B.J., 1993. Discretion versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, 39(1), 195–214.Tommasi, M., 1999. On High Inflation and the Allocation of Resources. Journal of Monetary Economics, 44(3), 401–421.Truman, E., 2003. Inflation Targeting in the World Economy. Institute for International Economics, Washington.Tytell, I., Wei, S., 2004. Does Financial Globalization Induce Better Macroeconomic Policies? IMF Working Paper, No. 04/84.Vega, M., Winkelried, D., 2005. Inflation Targeting and Inflation Behavior: A Successful Story? International Journal of Central Banking, 1(3), 153–175.Walsh, C.E., 1995. Optimal Contracts for Central Bankers. American Economic Review, 85(1), 150–167.Willard, L. B., 2012. Does Inflation Targeting Matter? A Reassessment. Applied Economics, 44(17), 2231–2244.Wu, Y. T., 2004. Does Inflation Targeting Reduce Inflation? An Analysis for the OECD Industrial Countries. Central Bank of Brazil Working Paper, No. 83.Wynne, M.A., Kersting, E.K., 2007. Openness and Inflation. Federal Reserve Bank of Dallas StaffPapers, No. 2.Yamada, H., 2013. Does the Exchange Rate Regime Make a Difference in Inflation Performance in Developing and Emerging Countries?: The Role of Inflation Targeting. Journal of International Money and Finance, 32, 968–989. zh_TW
