Publications-Theses
Article View/Open
Publication Export
-
題名 臺灣的通貨膨脹與經濟成長—以門檻迴歸模型分析
Inflation and Economic Growth in Taiwan：A Threshold Approach作者 張映文
Chang, Ying-Wen貢獻者 洪福聲
Hung, Fu-Sheng
張映文
Chang, Ying-Wen關鍵詞 結構性改變
門檻變數
門檻迴歸模型
Structural change
Threshold variables
Threshold autoregressive model日期 2018 上傳時間 30-Jul-2018 15:01:49 (UTC+8) 摘要 無論是理論或者實證研究，有關於通貨膨脹與經濟成長的關係，迄今已有非常眾多國內外文獻。然而關於臺灣總體經濟相關實證研究中，尚少出現運用門檻迴歸模型（threshold regression model）分析通貨膨脹與經濟成長兩者間是否存在結構性改變（structural change）的非線性關係（nonlinear）。本研究先行運用線性迴歸分析並以門檻效果檢定方法檢定該線性分析結果是否存在結構性改變，而門檻變數（即通貨膨脹率）分別以CPI估計之通貨膨脹率（INF_CPI）及GDP平減指數估計之通貨膨脹率（INF_GDP）作為代表。檢定結果若存在門檻效果，再以該通貨膨脹率作為門檻變數，並納入其他可能影響實質經濟成長率的變數，包含固定資本形成年增率、出口年增率、政府支出年增率及人口成長率的變動等變數後，運用門檻迴歸模型進行實證分析。 結果發現以GDP平減指數估計之通貨膨脹率作為門檻變數時存在顯著的結構性改變。因此，我們以GDP平減指數估計之通貨膨脹率作為門檻變數，經門檻迴歸分析實證結果得知，通貨膨脹門檻值為2.16%，支持臺灣通貨膨脹及經濟成長之間存在非線性關係。以經濟成長的角度來看，2.16%可能為臺灣的最適通貨膨脹水準。當通貨膨脹率為2.16%以上為高通貨膨脹水準，通貨膨脹的增加對經濟成長有不利影響，未達2.16%時則為低通貨膨脹水準，此時通貨膨脹上升對經濟成長的影響並不顯著，因此過去文獻討論中支持通貨膨脹上升對於經濟有負面影響之結論，於臺灣實證分析可知僅於高通貨膨脹水準時方成立，但如處於低通貨膨脹水準時，兩者間的影響關係會消失。
Numerous theoretical and empirical studies have reported a nonlinear relationship between inflation and economic growth, namely that this relationship is positive or negative for low levels of inflation, but is definitely and significantly negative for high levels of inflation. Nevertheless, there are very few empirical studies using a threshold regression model to test and verify this nonlinear relationship for Taiwan. To fill this gap, this thesis collects data of Taiwan and employs a threshold regression model to verify whether this nonlinear relationship exists in Taiwan. We find that there is no structure change if the inflation rate is measured by the growth rate of CPI. However, using the growth rate of GDP deflator as the inflation rate, we find that there is a structure break in the relationship between inflation and economic growth, verifying that the relationship between inflation and economic growth is nonlinear in Taiwan. The structure break occurs at 2.16% of the inflation rate. Below 2.16%, an increase in the inflation rate has no significant effect on economic growth; however, once the inflation rate is greater than 2.16%, a further increase in the inflation rate significantly decreases economic growth. Our conclusions accord well with recent internationally recognized inflation level at 2% and provide policy significance for Taiwan’s government.參考文獻 楊英英（2002）。通貨膨脹與經濟成長—台灣實證研究。國立中正大學國際經濟研究所碩士論文，未出版，臺灣嘉義。 李建強（2006）。金融發展、經濟成長與通貨膨脹的門檻效果。臺灣經濟預測與政策，36(2)，77-113。 Azariadis, C., & Smith, B. D. (1996). Private information, money, and growth: Indeterminacy, fluctuations, and the Mundell-Tobin effect. Journal of Economic Growth, 1(3), 309-332. Barro, R. J. (1997). Determinants of economic growth: A cross-country empirical study. MIT Press, Cambridge, MA. Becker, G. S., Murphy, K. M., & Tamura, R. (1990). Human capital, fertility, and economic growth. Journal of Political Economy, 98(5, Part 2), S12-S37. Bernanke, B. S. (2007). Inflation expectations and inflation forecasting, Speech 306, Board of Governors of the Federal Reserve System (U.S.). Bose, N., & Cothren, R. (1996). Equilibrium loan contracts and endogenous growth in the presence of asymmetric information. Journal of Monetary Economics, 38(2), 363-376. Boyd, J. H., Levine, R., & Smith, B. D. (2001). The impact of inflation on financial sector performance. Journal of Monetary Economics, 47(2), 221-248. Bruno, M., & Easterly, W. (1998). Inflation crises and long-run growth. Journal of Monetary Economics, 41(1), 3-26. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. Fischer, S. (1993). The role of macroeconomic factors in growth. Journal of Monetary Economics, 32(3), 485-512. Ghosh, A., & Phillips, S. (1998). Warning: Inflation may be harmful to your growth. Staff Papers, 45(4), 672-710. Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120. Hansen, B. E. (2000). Sample splitting and threshold estimation. Econometrica, 68(3), 575-603. Hung, F. S. (2008). Non-productive consumption loans and threshold effects in the inflation-growth relationship. Oxford Economic Papers, 60(2), 318-342. Huybens, E., & Smith, B. D. (1999). Inflation, financial markets and long-run real activity. Journal of Monetary Economics, 43(2), 283-315. Jones, L. E., & Manuelli, R. E. (1995). Growth and the effects of inflation. Journal of Economic Dynamics and Control, 19(8), 1405-1428. Khan, M. S., & Ssnhadji, A. S. (2001). Threshold effects in the relationship between inflation and growth. IMF Staff Papers, 48(1), 1-21. Kremer, S., Bick, A., & Nautz, D. (2013). Inflation and growth: new evidence from a dynamic panel threshold analysis. Empirical Economics, 44(2), 861-878. López-Villavicencio, A., & Mignon, V. (2011). On the impact of inflation on output growth: Does the level of inflation matter?. Journal of Macroeconomics, 33(3), 455-464. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of Monetary Economics, 10(2), 139-162. Omay, T., & Kan, E. Ö. (2010). Re-examining the threshold effects in the inflation–growth nexus with cross-sectionally dependent non-linear panel: Evidence from six industrialized economies. Economic Modelling, 27(5), 996-1005. Orphanides, A., & Solow, R. M. (1990). Money, inflation and growth. Handbook of Monetary Economics, 1, 223-261. Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. Sarel, M. (1996). Nonlinear effects of inflation on economic growth. Staff Papers, 43(1), 199-215. Sidrauski, M. (1967). Rational choice and patterns of growth in a monetary economy. The American Economic Review, 534-544. Solow, R. M. (1956). A contribution to the theory of economic growth. The Quarterly Journal of Economics, 70(1), 65-94. Stockman, A. C. (1981). Anticipated inflation and the capital stock in a cash in-advance economy. Journal of Monetary Economics, 8(3), 387-393. Tamura, R. (1991). Income convergence in an endogeneous growth model. Journal of Political Economy, 99(3), 522-540. Tobin, J. (1965). Money and economic growth. Econometrica: Journal of the Econometric Society, 671-684. Vinayagathasan, T. (2013). Inflation and economic growth: A dynamic panel threshold analysis for Asian economies. Journal of Asian Economics, 26, 31-41. 描述 碩士
國立政治大學
行政管理碩士學程
105921084資料來源 http://thesis.lib.nccu.edu.tw/record/#G1059210841 資料類型 thesis dc.contributor.advisor 洪福聲 zh_TW dc.contributor.advisor Hung, Fu-Sheng en_US dc.contributor.author (Authors) 張映文 zh_TW dc.contributor.author (Authors) Chang, Ying-Wen en_US dc.creator (作者) 張映文 zh_TW dc.creator (作者) Chang, Ying-Wen en_US dc.date (日期) 2018 en_US dc.date.accessioned 30-Jul-2018 15:01:49 (UTC+8) - dc.date.available 30-Jul-2018 15:01:49 (UTC+8) - dc.date.issued (上傳時間) 30-Jul-2018 15:01:49 (UTC+8) - dc.identifier (Other Identifiers) G1059210841 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/119053 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 行政管理碩士學程 zh_TW dc.description (描述) 105921084 zh_TW dc.description.abstract (摘要) 無論是理論或者實證研究，有關於通貨膨脹與經濟成長的關係，迄今已有非常眾多國內外文獻。然而關於臺灣總體經濟相關實證研究中，尚少出現運用門檻迴歸模型（threshold regression model）分析通貨膨脹與經濟成長兩者間是否存在結構性改變（structural change）的非線性關係（nonlinear）。本研究先行運用線性迴歸分析並以門檻效果檢定方法檢定該線性分析結果是否存在結構性改變，而門檻變數（即通貨膨脹率）分別以CPI估計之通貨膨脹率（INF_CPI）及GDP平減指數估計之通貨膨脹率（INF_GDP）作為代表。檢定結果若存在門檻效果，再以該通貨膨脹率作為門檻變數，並納入其他可能影響實質經濟成長率的變數，包含固定資本形成年增率、出口年增率、政府支出年增率及人口成長率的變動等變數後，運用門檻迴歸模型進行實證分析。 結果發現以GDP平減指數估計之通貨膨脹率作為門檻變數時存在顯著的結構性改變。因此，我們以GDP平減指數估計之通貨膨脹率作為門檻變數，經門檻迴歸分析實證結果得知，通貨膨脹門檻值為2.16%，支持臺灣通貨膨脹及經濟成長之間存在非線性關係。以經濟成長的角度來看，2.16%可能為臺灣的最適通貨膨脹水準。當通貨膨脹率為2.16%以上為高通貨膨脹水準，通貨膨脹的增加對經濟成長有不利影響，未達2.16%時則為低通貨膨脹水準，此時通貨膨脹上升對經濟成長的影響並不顯著，因此過去文獻討論中支持通貨膨脹上升對於經濟有負面影響之結論，於臺灣實證分析可知僅於高通貨膨脹水準時方成立，但如處於低通貨膨脹水準時，兩者間的影響關係會消失。 zh_TW dc.description.abstract (摘要) Numerous theoretical and empirical studies have reported a nonlinear relationship between inflation and economic growth, namely that this relationship is positive or negative for low levels of inflation, but is definitely and significantly negative for high levels of inflation. Nevertheless, there are very few empirical studies using a threshold regression model to test and verify this nonlinear relationship for Taiwan. To fill this gap, this thesis collects data of Taiwan and employs a threshold regression model to verify whether this nonlinear relationship exists in Taiwan. We find that there is no structure change if the inflation rate is measured by the growth rate of CPI. However, using the growth rate of GDP deflator as the inflation rate, we find that there is a structure break in the relationship between inflation and economic growth, verifying that the relationship between inflation and economic growth is nonlinear in Taiwan. The structure break occurs at 2.16% of the inflation rate. Below 2.16%, an increase in the inflation rate has no significant effect on economic growth; however, once the inflation rate is greater than 2.16%, a further increase in the inflation rate significantly decreases economic growth. Our conclusions accord well with recent internationally recognized inflation level at 2% and provide policy significance for Taiwan’s government. en_US dc.description.tableofcontents 目錄 第一章 、緒論 1 第一節 、研究動機與目的 1 第二節 、研究範圍 3 第三節 、研究架構 5 第二章 、文獻回顧 6 第一節 、理論模型文獻回顧 6 第二節 、實證研究文獻回顧 11 第三章 、研究方法與實證模型 17 第一節 、單根檢定（Unit Root Test） 17 第二節 、資料來源與變數設定 21 第四章 、實證研究結果與分析 24 第一節、 實證變數之基本統計量 24 第二節、 單根檢定 28 第三節、 各解釋變數相關係數分析 30 第四節、 線性分析及門檻效果檢定 31 第五節、 門檻迴歸模型（Threshold Regression） 36 第五章 、結論 41 參考文獻 44 附錄一 47 附錄二 49 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1059210841 en_US dc.subject (關鍵詞) 結構性改變 zh_TW dc.subject (關鍵詞) 門檻變數 zh_TW dc.subject (關鍵詞) 門檻迴歸模型 zh_TW dc.subject (關鍵詞) Structural change en_US dc.subject (關鍵詞) Threshold variables en_US dc.subject (關鍵詞) Threshold autoregressive model en_US dc.title (題名) 臺灣的通貨膨脹與經濟成長—以門檻迴歸模型分析 zh_TW dc.title (題名) Inflation and Economic Growth in Taiwan：A Threshold Approach en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 楊英英（2002）。通貨膨脹與經濟成長—台灣實證研究。國立中正大學國際經濟研究所碩士論文，未出版，臺灣嘉義。 李建強（2006）。金融發展、經濟成長與通貨膨脹的門檻效果。臺灣經濟預測與政策，36(2)，77-113。 Azariadis, C., & Smith, B. D. (1996). Private information, money, and growth: Indeterminacy, fluctuations, and the Mundell-Tobin effect. Journal of Economic Growth, 1(3), 309-332. Barro, R. J. (1997). Determinants of economic growth: A cross-country empirical study. MIT Press, Cambridge, MA. Becker, G. S., Murphy, K. M., & Tamura, R. (1990). Human capital, fertility, and economic growth. Journal of Political Economy, 98(5, Part 2), S12-S37. Bernanke, B. S. (2007). Inflation expectations and inflation forecasting, Speech 306, Board of Governors of the Federal Reserve System (U.S.). Bose, N., & Cothren, R. (1996). Equilibrium loan contracts and endogenous growth in the presence of asymmetric information. Journal of Monetary Economics, 38(2), 363-376. Boyd, J. H., Levine, R., & Smith, B. D. (2001). The impact of inflation on financial sector performance. Journal of Monetary Economics, 47(2), 221-248. Bruno, M., & Easterly, W. (1998). Inflation crises and long-run growth. Journal of Monetary Economics, 41(1), 3-26. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. Fischer, S. (1993). The role of macroeconomic factors in growth. Journal of Monetary Economics, 32(3), 485-512. Ghosh, A., & Phillips, S. (1998). Warning: Inflation may be harmful to your growth. Staff Papers, 45(4), 672-710. Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120. Hansen, B. E. (2000). Sample splitting and threshold estimation. Econometrica, 68(3), 575-603. Hung, F. S. (2008). Non-productive consumption loans and threshold effects in the inflation-growth relationship. Oxford Economic Papers, 60(2), 318-342. Huybens, E., & Smith, B. D. (1999). Inflation, financial markets and long-run real activity. Journal of Monetary Economics, 43(2), 283-315. Jones, L. E., & Manuelli, R. E. (1995). Growth and the effects of inflation. Journal of Economic Dynamics and Control, 19(8), 1405-1428. Khan, M. S., & Ssnhadji, A. S. (2001). Threshold effects in the relationship between inflation and growth. IMF Staff Papers, 48(1), 1-21. Kremer, S., Bick, A., & Nautz, D. (2013). Inflation and growth: new evidence from a dynamic panel threshold analysis. Empirical Economics, 44(2), 861-878. López-Villavicencio, A., & Mignon, V. (2011). On the impact of inflation on output growth: Does the level of inflation matter?. Journal of Macroeconomics, 33(3), 455-464. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of Monetary Economics, 10(2), 139-162. Omay, T., & Kan, E. Ö. (2010). Re-examining the threshold effects in the inflation–growth nexus with cross-sectionally dependent non-linear panel: Evidence from six industrialized economies. Economic Modelling, 27(5), 996-1005. Orphanides, A., & Solow, R. M. (1990). Money, inflation and growth. Handbook of Monetary Economics, 1, 223-261. Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607. Sarel, M. (1996). Nonlinear effects of inflation on economic growth. Staff Papers, 43(1), 199-215. Sidrauski, M. (1967). Rational choice and patterns of growth in a monetary economy. The American Economic Review, 534-544. Solow, R. M. (1956). A contribution to the theory of economic growth. The Quarterly Journal of Economics, 70(1), 65-94. Stockman, A. C. (1981). Anticipated inflation and the capital stock in a cash in-advance economy. Journal of Monetary Economics, 8(3), 387-393. Tamura, R. (1991). Income convergence in an endogeneous growth model. Journal of Political Economy, 99(3), 522-540. Tobin, J. (1965). Money and economic growth. Econometrica: Journal of the Econometric Society, 671-684. Vinayagathasan, T. (2013). Inflation and economic growth: A dynamic panel threshold analysis for Asian economies. Journal of Asian Economics, 26, 31-41. zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.MEPA.014.2018.F09 -
