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題名 財政赤字會造成通貨膨脹嗎？動態追蹤資料的分量迴歸分析
Is fiscal deficit inflationary? A dynamic panel quantile analysis
作者 朱浩榜
Chu, Hao Pang
貢獻者 林馨怡
朱浩榜
Chu, Hao Pang
關鍵詞 財政赤字
通貨膨脹
分量迴歸
物價穩定
動態追蹤資料
Fiscal deficit
Inflation
Quantile regression
Price stabilization
Dynamic panel data
日期 2009
上傳時間 11-Oct-2011 17:02:44 (UTC+8)
摘要 經濟理論認為，長期持續的財政赤字將會因貨幣融通而造成通貨膨脹，而且通膨越高的經濟體越容易受到赤字的影響。本文依照Catao and Terrones (2005)的理論模型，以狹義貨幣衡量財政赤字的規模，並據此檢驗1960到2006年間91個國家赤字與通貨膨脹的關係。本文使用Lin (2010)的分量迴歸方法，藉以估計在不同通膨水準下赤字的影響，並且允許兩者之間的動態調整。實證結果發現：當通膨越高，赤字造成的影響將越嚴重；若通膨在低水準，赤字則影響很弱、甚至不會造成任何影響。因此，當通膨越高的時候，維持財政紀律將越能有效達成物價穩定。這層赤字與通膨間關係不會因為考量了其他變數而有所改變。此外，赤字通常在開發中國家影響較強，尤其是在高通膨的時候。最後，在1990到2006年間，卻沒有發現赤字具有任何的通膨效果。
In economic theory, sustained fiscal deficits might cause inflation by means of money creation, and the economy in a higher inflation level would be more strongly impacted by an increase in deficits. Following the theoretical model of Cat\\~{a}o and Terrones (2005), I scaled fiscal deficits by narrow money stock and examined the deficit-inflation relationship in 91 countries from 1960 to 2006. A dynamic panel quantile regression of Lin (2010) was employed, which can estimate the impact of fiscal deficits at various inflation levels and allows for a dynamic adjustment. The empirical results show that fiscal deficits will be more serious as inflation rises, and weakly or not related to inflation if it is at a low level. Therefore, fiscal consolidation would be more effective in price stabilization the higher the inflation. Moreover, the results remain robust while taking other possibly inflation-related factors into consideration. Furthermore, the impact of fiscal deficits on inflation is generally greater in developing countries, particularly when inflation is at a high level. Finally, the inflationary effect of deficits is not detected over 1990--2006.
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Journal of Macroeconomics, 7,447-467.
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The political economy of seigniorage.
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Central bank independence and macroeconomic performance: some comparative evidence.
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Inflation, openness, and exchange-rate regimes: the quest for short-term commitment.
Journal of Development Economics, 77, 229-249.
Amemiya, T. (1982).
Two stage least absolute deviations estimators.
Econometrica, 50, 689-711.
Anderson, T. W. and Hsiao, C. (1981).
Estimation of dynamic models with error components.
Journal of the American Statistical Association, 76, 598-606.
Arellano, M. and Bond, S. (1991).
Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations.
Review of Economic Studies, 58, 277-297.
Baldacci, E., Hillman, A. L. and Kojo, N. C. (2004).
Growth, governance, and fiscal policy transmission channels in low-income countries.
European Journal of Political Economy, 20, 517-549.
Ball, L. and Mankiw, N. G. (1995).
Relative-price changes as aggregate supply shocks.
Quarterly Journal of Economics, 110, 161-193.
Barnhart, S. W. and Darrat, A. F. (1988).
Budget deficits, money growth and causality: further OECD evidence.
Journal of International Money and Finance, 7, 231-242.
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Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study.
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Inflation stabilization and BOP crises in developing countries.
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Catao, L. A. V. and Terrones, M. E. (2005).
Fiscal deficits and inflation.
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Instrumental quantile regression inference for structural and treatment effect models.
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Click, R. W. (1998).
Seigniorage in a cross-section of countries.
Journal of Money, Credit and Banking, 30, 154-163.
Cochrane, J. H. (2001).
Long-term debt and optimal policy in the fiscal theory of the price level.
Econometrica, 69, 69-116.
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The nonmonetary determinants of inflation: a panel data study.
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The evolution of central bank governance around the world.
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描述 碩士
國立政治大學
經濟學系
97258031
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097258031
資料類型 thesis
dc.contributor.advisor 林馨怡zh_TW
dc.contributor.author (Authors) 朱浩榜zh_TW
dc.contributor.author (Authors) Chu, Hao Pangen_US
dc.creator (作者) 朱浩榜zh_TW
dc.creator (作者) Chu, Hao Pangen_US
dc.date (日期) 2009en_US
dc.date.accessioned 11-Oct-2011 17:02:44 (UTC+8)-
dc.date.available 11-Oct-2011 17:02:44 (UTC+8)-
dc.date.issued (上傳時間) 11-Oct-2011 17:02:44 (UTC+8)-
dc.identifier (Other Identifiers) G0097258031en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/51624-
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) 97258031zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 經濟理論認為，長期持續的財政赤字將會因貨幣融通而造成通貨膨脹，而且通膨越高的經濟體越容易受到赤字的影響。本文依照Catao and Terrones (2005)的理論模型，以狹義貨幣衡量財政赤字的規模，並據此檢驗1960到2006年間91個國家赤字與通貨膨脹的關係。本文使用Lin (2010)的分量迴歸方法，藉以估計在不同通膨水準下赤字的影響，並且允許兩者之間的動態調整。實證結果發現：當通膨越高，赤字造成的影響將越嚴重；若通膨在低水準，赤字則影響很弱、甚至不會造成任何影響。因此，當通膨越高的時候，維持財政紀律將越能有效達成物價穩定。這層赤字與通膨間關係不會因為考量了其他變數而有所改變。此外，赤字通常在開發中國家影響較強，尤其是在高通膨的時候。最後，在1990到2006年間，卻沒有發現赤字具有任何的通膨效果。zh_TW
dc.description.abstract (摘要) In economic theory, sustained fiscal deficits might cause inflation by means of money creation, and the economy in a higher inflation level would be more strongly impacted by an increase in deficits. Following the theoretical model of Cat\\~{a}o and Terrones (2005), I scaled fiscal deficits by narrow money stock and examined the deficit-inflation relationship in 91 countries from 1960 to 2006. A dynamic panel quantile regression of Lin (2010) was employed, which can estimate the impact of fiscal deficits at various inflation levels and allows for a dynamic adjustment. The empirical results show that fiscal deficits will be more serious as inflation rises, and weakly or not related to inflation if it is at a low level. Therefore, fiscal consolidation would be more effective in price stabilization the higher the inflation. Moreover, the results remain robust while taking other possibly inflation-related factors into consideration. Furthermore, the impact of fiscal deficits on inflation is generally greater in developing countries, particularly when inflation is at a high level. Finally, the inflationary effect of deficits is not detected over 1990--2006.en_US
dc.description.tableofcontents Contents
1 Introduction 1
2 Literature Review 4
3 Econometric Methodology 12
3.1 Quantile regression and endogeneity .......................... 12
3.1.1 The model and estimation of quantile regression ............ 12
3.1.2 Endogenous problems in quantile regression ................. 13
3.2 Quantile regression for panel data ........................... 15
3.2.1 Panel data ................................................. 15
3.2.2 The model and estimation ................................... 16
3.2.3 Large sample properties .................................... 17
3.3 Dynamic panel quantile regression ............................ 18
3.3.1 The IVQR approach .......................................... 18
3.3.2 The fitted value approach .................................. 20
4 Empirical Results 22
4.1 Data ......................................................... 22
4.2 Cross-sectional results ...................................... 28
4.3 Dynamic panel results ........................................ 31
4.3.1 The baseline analysis ...................................... 31
4.3.2 The extensive analysis ..................................... 36
4.3.3 The country group-specific analysis ........................ 41
4.3.4 The subsample period analysis and central bank independence 43
5 Conclusions 47
References 75
A List of countries 79
B Data sources and descriptions 82
C List of country groups (1960-2006) 83
D List of countries with data of exchange rate regime (1960-2006) 84
E List of countries with data of central bank independence (1990-
2000) 85		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097258031en_US
dc.subject (關鍵詞) 財政赤字zh_TW
dc.subject (關鍵詞) 通貨膨脹zh_TW
dc.subject (關鍵詞) 分量迴歸zh_TW
dc.subject (關鍵詞) 物價穩定zh_TW
dc.subject (關鍵詞) 動態追蹤資料zh_TW
dc.subject (關鍵詞) Fiscal deficiten_US
dc.subject (關鍵詞) Inflationen_US
dc.subject (關鍵詞) Quantile regressionen_US
dc.subject (關鍵詞) Price stabilizationen_US
dc.subject (關鍵詞) Dynamic panel dataen_US
dc.title (題名) 財政赤字會造成通貨膨脹嗎？動態追蹤資料的分量迴歸分析zh_TW
dc.title (題名) Is fiscal deficit inflationary? A dynamic panel quantile analysisen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Ahking, F. W. and Miller, S. M. (1985).zh_TW
dc.relation.reference (參考文獻) The relationship between government deficits, money growth and inflation.zh_TW
dc.relation.reference (參考文獻) Journal of Macroeconomics, 7,447-467.zh_TW
dc.relation.reference (參考文獻) Aisen, A. and Veiga, F. J. (2008).zh_TW
dc.relation.reference (參考文獻) The political economy of seigniorage.zh_TW
dc.relation.reference (參考文獻) Journal of Development Economics, 87, 29-50.zh_TW
dc.relation.reference (參考文獻) Alesina, A. and Summers, L. H. (1993).zh_TW
dc.relation.reference (參考文獻) Central bank independence and macroeconomic performance: some comparative evidence.zh_TW
dc.relation.reference (參考文獻) Journal of Money, Credit and Banking, 25, 151-162.zh_TW
dc.relation.reference (參考文獻) Alfaro, L. (2005).zh_TW
dc.relation.reference (參考文獻) Inflation, openness, and exchange-rate regimes: the quest for short-term commitment.zh_TW
dc.relation.reference (參考文獻) Journal of Development Economics, 77, 229-249.zh_TW
dc.relation.reference (參考文獻) Amemiya, T. (1982).zh_TW
dc.relation.reference (參考文獻) Two stage least absolute deviations estimators.zh_TW
dc.relation.reference (參考文獻) Econometrica, 50, 689-711.zh_TW
dc.relation.reference (參考文獻) Anderson, T. W. and Hsiao, C. (1981).zh_TW
dc.relation.reference (參考文獻) Estimation of dynamic models with error components.zh_TW
dc.relation.reference (參考文獻) Journal of the American Statistical Association, 76, 598-606.zh_TW
dc.relation.reference (參考文獻) Arellano, M. and Bond, S. (1991).zh_TW
dc.relation.reference (參考文獻) Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations.zh_TW
dc.relation.reference (參考文獻) Review of Economic Studies, 58, 277-297.zh_TW
dc.relation.reference (參考文獻) Baldacci, E., Hillman, A. L. and Kojo, N. C. (2004).zh_TW
dc.relation.reference (參考文獻) Growth, governance, and fiscal policy transmission channels in low-income countries.zh_TW
dc.relation.reference (參考文獻) European Journal of Political Economy, 20, 517-549.zh_TW
dc.relation.reference (參考文獻) Ball, L. and Mankiw, N. G. (1995).zh_TW
dc.relation.reference (參考文獻) Relative-price changes as aggregate supply shocks.zh_TW
dc.relation.reference (參考文獻) Quarterly Journal of Economics, 110, 161-193.zh_TW
dc.relation.reference (參考文獻) Barnhart, S. W. and Darrat, A. F. (1988).zh_TW
dc.relation.reference (參考文獻) Budget deficits, money growth and causality: further OECD evidence.zh_TW
dc.relation.reference (參考文獻) Journal of International Money and Finance, 7, 231-242.zh_TW
dc.relation.reference (參考文獻) Buchinsky, M. (1995).zh_TW
dc.relation.reference (參考文獻) Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study.zh_TW
dc.relation.reference (參考文獻) Journal of Econometrics, 68, 303-338.zh_TW
dc.relation.reference (參考文獻) Buchinsky, M. (1998).zh_TW
dc.relation.reference (參考文獻) Recent advances in quantile regression models: a practical guideline for empirical research.zh_TW
dc.relation.reference (參考文獻) Journal of Human Resources, 33, 88-12.zh_TW
dc.relation.reference (參考文獻) Calvo, G. A. and Vegh, C. A. (1999).zh_TW
dc.relation.reference (參考文獻) Inflation stabilization and BOP crises in developing countries.zh_TW
dc.relation.reference (參考文獻) In: Taylor, J. B. and Woodford, M. (Eds.) Handbook of Macroeconomics, Vol. C. North-Holland, Amsterdam, 1531-1614.zh_TW
dc.relation.reference (參考文獻) Catao, L. A. V. and Terrones, M. E. (2005).zh_TW
dc.relation.reference (參考文獻) Fiscal deficits and inflation.zh_TW
dc.relation.reference (參考文獻) Journal of Monetary Economics, 52, 529-554.zh_TW
dc.relation.reference (參考文獻) Chernozhukov, V. and Hansen, C. (2005).zh_TW
dc.relation.reference (參考文獻) An IV model of quantile treatment effects.zh_TW
dc.relation.reference (參考文獻) Econometrica, 73, 245-261.zh_TW
dc.relation.reference (參考文獻) Chernozhukov, V. and Hansen, C. (2006).zh_TW
dc.relation.reference (參考文獻) Instrumental quantile regression inference for structural and treatment effect models.zh_TW
dc.relation.reference (參考文獻) Journal of Econometrics, 132, 491-525.zh_TW
dc.relation.reference (參考文獻) Click, R. W. (1998).zh_TW
dc.relation.reference (參考文獻) Seigniorage in a cross-section of countries.zh_TW
dc.relation.reference (參考文獻) Journal of Money, Credit and Banking, 30, 154-163.zh_TW
dc.relation.reference (參考文獻) Cochrane, J. H. (2001).zh_TW
dc.relation.reference (參考文獻) Long-term debt and optimal policy in the fiscal theory of the price level.zh_TW
dc.relation.reference (參考文獻) Econometrica, 69, 69-116.zh_TW
dc.relation.reference (參考文獻) Cochrane, J. H. (2005).zh_TW
dc.relation.reference (參考文獻) Money as stock.zh_TW
dc.relation.reference (參考文獻) Journal of Monetary Economics, 52, 501-528.zh_TW
dc.relation.reference (參考文獻) Cottarelli, C., Griffiths, M. E. L. and Moghadam, R. (1998).zh_TW
dc.relation.reference (參考文獻) The nonmonetary determinants of inflation: a panel data study.zh_TW
dc.relation.reference (參考文獻) IMF working paper, No. 23.zh_TW
dc.relation.reference (參考文獻) Coll, A. and Pedauga, L. E. (2007).zh_TW
dc.relation.reference (參考文獻) Institutions, economic structure and economic policy: what lies beneath Inflation in Latin America?zh_TW
dc.relation.reference (參考文獻) Monetaria, 30, 7-82.zh_TW
dc.relation.reference (參考文獻) Crowe, C. and Meade, E. E. (2007).zh_TW
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