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題名 開放性、犧牲比率與通貨膨脹：工具變數分量迴歸模型之應用
Openness, sacrifice ratio, and inflation: application of instrumental variable quantile regression作者 侯俊宇
Hou, Jun Yu貢獻者 林馨怡
Lin, Hsin Yi
侯俊宇
Hou, Jun Yu關鍵詞 通貨膨脹
犧牲比率
開放性
分量迴歸
內生性
追蹤資料
Inflation
Sacrifiece Ratio
Openness
Quantile Regression
Endogeneity
Panel Data日期 2009 上傳時間 5-Sep-2013 14:19:18 (UTC+8) 摘要 開放性與通貨膨脹之間的關係一直是總體經濟學中重要的議題。Romer (1993) 使用 Kydland and Prescott (1977) 和 Barro and Gordan (1983) 的模型進行分析，發現開放性增加會使的降低背離法則的誘因。本篇論文使用 Galvao (2008), Galvao and Montes-Rojas (2009), 和 Harding and Lamarche (2009) 的追蹤資料工具變數分量回歸模型進行分析，同時也以實證分析開放性和犧牲比率之間的關係。在考慮的開放性的內生性之後，我們發現在通膨越高的國家其開放性的影響越大，動態不一致性也越嚴重。
The relationship between openness and inflation is an important issue in macroeconomics. Romer (1993) uses the models of Kydland and Prescott (1977) and Barro and Gordan (1983) to argue that greater openness will reduce the policymakers` incentive to deviate from the rule. Cukierman, Webb, and Neyapti (1992) and Romer (1993) have an idea that countries with less political stability have a higher probability to violate the pre-committed monetary policies. In addition, as proposed by Romer (1993), the openness may be endogenous when analyzing the relationship between openness and inflation. Thus,we apply instrumental variable quantile regression for panel data proposed by Galvao (2008), Galvao and Montes-Rojas (2009), and Harding and Lamarche (2009) to test whether or not the negative effects of openness is stronger when inflation is higher. We also do the empirical work between openness and the sacrifice ratio to test the mechanism that openness affects inflation established by Romer (1993). After dealing with the potential endogeneity of openness, we find that when the inflation is higher the negative effect of openness is stronger. As the argument of Romer (1993), our empirical results show that the time inconsistency problem is more serious in countries with higher inflation. But our empirical results show that the effect of openness on the sacrifice ratio is positive which is different from the mechanism established by Romer (1993).參考文獻 Arellano, M., and Bond, S., (1991). Some tests of specification for panel data: monte carlo evidence and an application to employment equations, The Review of Economic Studies, 58, 277-297.Arellano, M., and Bover, O., (1995). Another look at the instrumental variable estimation of error-components models, Journal of Econometrics, 68, 29-51.Alfaro, L., (2005). Inflation, openness, and exchange-rate regimes. The quest for short-term commitment, Journal of Development Economics, 77, 229-249.Angrist, J., V. Chernozhukov, and I. Fernandez-Val (2006). Quantile regression under misspecification, with an application to the U.S. wage structure, Econometrica, 74, 539-573.Barro, R.J., and Gordon, D.B., (1987). A positive theory of monetary policy in a natural rate model, The Journal of Political Economy, 4, 581-610.Ball, L., Mankiw, G., and Romer, D., (1988). The new Keynesian economics and the output-inflation trade-o_, Brookings Papers on Economic Activity, 1-65.Ball, L., (1994). What determines the sacrifice ration? In Gregory Mankiw N. (Ed), Monetary Policy. The University of Chicago Press, Chicago, pp. 229-249.Bleaney, M., (1999). The disappearing openness-inflation relationship: a crosscountry analysis of inflation rates, International Monetary Fund, Washington IMF Working Paper, 99/161.Badinger, H., (2009). Globalization, the output-inflation trade off and inflation, European Economic Review (2009), doi:10.1016/j.euroecorev.2009.03.005Bowdler, C., (2009). Openness, exchange rate regimes and the Phillips curve, Journal of International Money and Finance, 28, 146-160.Cukierman, A., Wedd, S. V., and Neyapti, B., (1992). Measuring the independence of central banks and its e_ects on policy outcomes, World Bank Economic Review, 6, 353-398.Calvo, G. A., and Vegh, C. A., (1999). Inflation stabilization in chronic inflation countries, In: Taylor, J., Woodford, M. (Eds.), Handbook of Macroeconomics. North Holland, Amsterdam.Chernozhukov, V. and C. Hansen (2005). An IV model of quantile and treatment effects, Econometrica, 73, 245-261. Chernozhukov, V. and C. Hansen (2006). Instrumental quantile regression inference for structural and treatment effect models, Journal of Econometrics, 132, 491-525.Chinn, M. D., and Ito, H., (2006). What matters for financial development? Capital controls, institutions, and interactions, Journal of Development Economics, 81, 163-192.Cavallo, E. A., and Frankel, J. A., (2008). Does openness to trade make countries more vulnerable to sudden stops, or less? Using gravity to establish causality, Journal of International Money and Finance, 27, 1430-1452.Chernozhukov, V. and C. Hansen (2008). Instrumental variable quantile regression: a robust inference approach, Journal of Econometrics, 142, 379-398.Danels, J. P., Nourzan, F., and VanHoose, D. D., (2005). Openness, central bank independence, and the sacrifice ratio, Journal of Money, Credit, and Banking, 37, 371-379.Danels, J. P., and VanHoose, D. D., (2006). Openness, the sacrifice ratio, and inflation: Is there a puzzle? Journal of International Money and Finance,25, 1336-1347.Daniels, J. P., and VanHoose, D. D., (2009). Globalization, the output-inflation trade o_ and inflation, Open Economic Review, 20, 473-487.Frankel, J. A., (1999). No single currency regime is right for all countries or at all times. NBER Working Paper, 7338.Frankel, J.A., and Romer, D., (1999). Does trade cause growth? American Economic Review, 89, 1336-1347.Frankel, J., and Rose, A., (2002). An estimate of the effect of common currencies on trade and income, Quarterly Journal of Economics, 117, 437-466.Ghosh, A. R., Gulde, A., Ostry, J. D., and Wolf, H. C., (1995). Does the nominal exchange rate regime matter? NBER Working Paper, 5874, Washington.Gruben, W. C., and Mcleod, D., (2002). Capital account liberalization and ination, Economics Letters, 77, 221-225.Gruben, W.C., and Mcleod, D., (2004). The openness-inflation puzzle revisited, Applied Economics Letters, 11, 465-468.Galvao, A., (2008). Quantile regression for dynamic panel data, University of Illinois, Urbana-Champain.Gupta, A. S., (2008). Does capital account openness lower inflation? International Economic Journal, 22:4, 471-487.Galvao, A., and Montes-Rojas, G., (2009). Instrumental variables quantile regression for panel data with measurement errors, University of Illinois, Urbana-Champain.Harding, M., and Lamarche, C., (2009). A quantile regression approach for estimating panel data models using instrumental variables, Economics Letters, 104, 133-135.Jordan, T. J., (1997). Disination costs, accelerating inflation cains, and central bank independence, Weltwirtschaftliches Archiv, 133, 1-21.Kydland, F. and Prescott, E., (1977). Rule Rather than Discretion: the Inconsistency of Optimal Plans, Journal of Political Economy, 85 , 473-492.Koenker, R. and Bassett, G., (1978). Regression Quantiles, Econometrica, 46 , 33-50.Koenker, R. (2004). Quantile Regression for Longitudinal Data, Journal of Multivariate Analysis, 91 , 74-89.Lucas, R. E., (1973). Some international evidence on output-inflation tradeoffs, The American Economic Review, 63, 326-334.Lane, P., (1997). Inflation in Open Economies, Journal of International Economics, 42 , 327-347.Lane, P.R., and Milesi-Ferretti, G.M., (2007). The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970-2004, Journal of International Economics, 73, 223-250.Lin, H. Y., and Chen, P. Y., (2010). The relation between inflation and trade openness: the application of panel data quantile regression, Academia Economic Papers, 38:1, 1-32.Nasser, O.M.A., Sachsida, A., and Mendonca, M.J.C., (2009). The openness inflation puzzle: panel data evidence, International Research Journal of Finance and Economics, 28, 169-180.Powell, J.(1986). Censored Regression Quantiles, Journal of Econometrics,32, 143-155.Powell, J. (2002). Lecture notes on quantile regression, Department of Economics, UC Berkeley.Polillo, S., and Guillen, M. F., (2005). Globalization pressures and the state: the global spread of central bank independence, American Journal of Sociology, 110, 1764-1802.Quinn, D., and Toyoda, M., (1996). Measuring international financial openness and closure, Department of Political Science, Georgetown University, Washington, DC, Mimeo.Razie, A., and Yuen, C. W., (2002). The New Keynesian Phillips curve: closed economy versus open economy, Economics Letters, 75, 1-9.Romer, D., (1993). Openness and Inflation: Theory and Evidence, Quarterly Journal of Economics, 58 , 869-903.Reinhart, C. and Rogoff, K., (2004). A Modern History of Exchange Rate Arrangements: A Reinterpretation, Quarterly Journal of Economics, 119 , 1-48.Razie, A., and Loungani, P., (2007). Globalization and equilibrium inflation-output tradeoffs, In: Frankel, J. A., Pissarides, C. (Eds.) NBER International Seminaron Macroeconomics 2005. MIT Press, Cambridge.Terra, C., (1995). Openness and inflation: a new assessment, Chapter 2 of Ph.D. thesis, Princeton University, Princeton.Terra, C., (1998). Openness and Inflation: A New Assessment, Quarterly Journal of Economics, 63 , 641-648.Temple, J., (2002). Openness, Inflation, and the Phillips Curve: A Puzzle, Journal of Money,Credit,and Banking, 34 , 450-468. 描述 碩士
國立政治大學
經濟學系
97258010
98資料來源 http://thesis.lib.nccu.edu.tw/record/#G0097258010 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) 侯俊宇 zh_TW dc.contributor.author (Authors) Hou, Jun Yu en_US dc.creator (作者) 侯俊宇 zh_TW dc.creator (作者) Hou, Jun Yu en_US dc.date (日期) 2009 en_US dc.date.accessioned 5-Sep-2013 14:19:18 (UTC+8) - dc.date.available 5-Sep-2013 14:19:18 (UTC+8) - dc.date.issued (上傳時間) 5-Sep-2013 14:19:18 (UTC+8) - dc.identifier (Other Identifiers) G0097258010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60328 - 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) 97258010 zh_TW dc.description (描述) 98 zh_TW dc.description.abstract (摘要) 開放性與通貨膨脹之間的關係一直是總體經濟學中重要的議題。Romer (1993) 使用 Kydland and Prescott (1977) 和 Barro and Gordan (1983) 的模型進行分析，發現開放性增加會使的降低背離法則的誘因。本篇論文使用 Galvao (2008), Galvao and Montes-Rojas (2009), 和 Harding and Lamarche (2009) 的追蹤資料工具變數分量回歸模型進行分析，同時也以實證分析開放性和犧牲比率之間的關係。在考慮的開放性的內生性之後，我們發現在通膨越高的國家其開放性的影響越大，動態不一致性也越嚴重。 zh_TW dc.description.abstract (摘要) The relationship between openness and inflation is an important issue in macroeconomics. Romer (1993) uses the models of Kydland and Prescott (1977) and Barro and Gordan (1983) to argue that greater openness will reduce the policymakers` incentive to deviate from the rule. Cukierman, Webb, and Neyapti (1992) and Romer (1993) have an idea that countries with less political stability have a higher probability to violate the pre-committed monetary policies. In addition, as proposed by Romer (1993), the openness may be endogenous when analyzing the relationship between openness and inflation. Thus,we apply instrumental variable quantile regression for panel data proposed by Galvao (2008), Galvao and Montes-Rojas (2009), and Harding and Lamarche (2009) to test whether or not the negative effects of openness is stronger when inflation is higher. We also do the empirical work between openness and the sacrifice ratio to test the mechanism that openness affects inflation established by Romer (1993). After dealing with the potential endogeneity of openness, we find that when the inflation is higher the negative effect of openness is stronger. As the argument of Romer (1993), our empirical results show that the time inconsistency problem is more serious in countries with higher inflation. But our empirical results show that the effect of openness on the sacrifice ratio is positive which is different from the mechanism established by Romer (1993). en_US dc.description.tableofcontents 1 Introduction 12 Literature Review 42.1 The Openness and Inflation . . . . . . . . . . . . . . 42.2 The Openness and Sacrifice Ratio . . . . . . . . . . . 92.3 The Financial Openness and Inflation . . . . . . . . 132.4 The Endogeneity of Openness . . . . . . . . . . . . . 143 Model 173.1 Quantile Regression . . . . . . . . . . . . . . . . . . 173.2 Quantile Regression with Endogeneity . . . . . . . . 183.3 Quantile Regression for Panel Data with Endogeneity 213.3.1 Estimation . . . . . . . . . . . . . . . . . . . . 213.3.2 Large Sample Properties . . . . . . . . . . . . 244 Empirical Results 284.1 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . 284.2 Cross-Sectional Analysis . . . . . . . . . . . . . . . . 314.2.1 The Openness and Inflation . . . . . . . . . . . 314.2.2 The Openness and Sacrifice Ratio . . . . . . . 334.3 Panel Data Analysis . . . . . . . . . . . . . . . . . . 354.3.1 Basic Results . . . . . . . . . . . . . . . . . . . 354.3.2 Exchange Rate Regime . . . . . . . . . . . . . 384.3.3 The Degree of Indebtedness . . . . . . . . . . . 404.3.4 The Degree of Income . . . . . . . . . . . . . . 425 Conclusion 43Reference 45A Tables and Figures 50B Data Description 72C List of Countries 73C.1 All Countries . . . . . . . . . . . . . . . . . . . . . . 73C.2 Severely Debted Countries . . . . . . . . . . . . . . . 73C.3 Moderately Debted Countries . . . . . . . . . . . . . 74C.4 Less Debted Countries . . . . . . . . . . . . . . . . . 74C.5 High Income Countries . . . . . . . . . . . . . . . . . 74C.6 Middle Income Countries . . . . . . . . . . . . . . . 74C.7 Low Income Countries . . . . . . . . . . . . . . . . . 75 zh_TW dc.format.extent 867829 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0097258010 en_US dc.subject (關鍵詞) 通貨膨脹 zh_TW dc.subject (關鍵詞) 犧牲比率 zh_TW dc.subject (關鍵詞) 開放性 zh_TW dc.subject (關鍵詞) 分量迴歸 zh_TW dc.subject (關鍵詞) 內生性 zh_TW dc.subject (關鍵詞) 追蹤資料 zh_TW dc.subject (關鍵詞) Inflation en_US dc.subject (關鍵詞) Sacrifiece Ratio en_US dc.subject (關鍵詞) Openness en_US dc.subject (關鍵詞) Quantile Regression en_US dc.subject (關鍵詞) Endogeneity en_US dc.subject (關鍵詞) Panel Data en_US dc.title (題名) 開放性、犧牲比率與通貨膨脹：工具變數分量迴歸模型之應用 zh_TW dc.title (題名) Openness, sacrifice ratio, and inflation: application of instrumental variable quantile regression en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Arellano, M., and Bond, S., (1991). Some tests of specification for panel data: monte carlo evidence and an application to employment equations, The Review of Economic Studies, 58, 277-297.Arellano, M., and Bover, O., (1995). Another look at the instrumental variable estimation of error-components models, Journal of Econometrics, 68, 29-51.Alfaro, L., (2005). Inflation, openness, and exchange-rate regimes. The quest for short-term commitment, Journal of Development Economics, 77, 229-249.Angrist, J., V. Chernozhukov, and I. Fernandez-Val (2006). Quantile regression under misspecification, with an application to the U.S. wage structure, Econometrica, 74, 539-573.Barro, R.J., and Gordon, D.B., (1987). A positive theory of monetary policy in a natural rate model, The Journal of Political Economy, 4, 581-610.Ball, L., Mankiw, G., and Romer, D., (1988). The new Keynesian economics and the output-inflation trade-o_, Brookings Papers on Economic Activity, 1-65.Ball, L., (1994). What determines the sacrifice ration? In Gregory Mankiw N. (Ed), Monetary Policy. The University of Chicago Press, Chicago, pp. 229-249.Bleaney, M., (1999). The disappearing openness-inflation relationship: a crosscountry analysis of inflation rates, International Monetary Fund, Washington IMF Working Paper, 99/161.Badinger, H., (2009). Globalization, the output-inflation trade off and inflation, European Economic Review (2009), doi:10.1016/j.euroecorev.2009.03.005Bowdler, C., (2009). Openness, exchange rate regimes and the Phillips curve, Journal of International Money and Finance, 28, 146-160.Cukierman, A., Wedd, S. V., and Neyapti, B., (1992). Measuring the independence of central banks and its e_ects on policy outcomes, World Bank Economic Review, 6, 353-398.Calvo, G. A., and Vegh, C. A., (1999). Inflation stabilization in chronic inflation countries, In: Taylor, J., Woodford, M. (Eds.), Handbook of Macroeconomics. North Holland, Amsterdam.Chernozhukov, V. and C. Hansen (2005). An IV model of quantile and treatment effects, Econometrica, 73, 245-261. Chernozhukov, V. and C. Hansen (2006). Instrumental quantile regression inference for structural and treatment effect models, Journal of Econometrics, 132, 491-525.Chinn, M. D., and Ito, H., (2006). What matters for financial development? Capital controls, institutions, and interactions, Journal of Development Economics, 81, 163-192.Cavallo, E. A., and Frankel, J. A., (2008). Does openness to trade make countries more vulnerable to sudden stops, or less? Using gravity to establish causality, Journal of International Money and Finance, 27, 1430-1452.Chernozhukov, V. and C. Hansen (2008). Instrumental variable quantile regression: a robust inference approach, Journal of Econometrics, 142, 379-398.Danels, J. P., Nourzan, F., and VanHoose, D. D., (2005). Openness, central bank independence, and the sacrifice ratio, Journal of Money, Credit, and Banking, 37, 371-379.Danels, J. P., and VanHoose, D. D., (2006). Openness, the sacrifice ratio, and inflation: Is there a puzzle? Journal of International Money and Finance,25, 1336-1347.Daniels, J. P., and VanHoose, D. D., (2009). Globalization, the output-inflation trade o_ and inflation, Open Economic Review, 20, 473-487.Frankel, J. A., (1999). No single currency regime is right for all countries or at all times. NBER Working Paper, 7338.Frankel, J.A., and Romer, D., (1999). Does trade cause growth? American Economic Review, 89, 1336-1347.Frankel, J., and Rose, A., (2002). An estimate of the effect of common currencies on trade and income, Quarterly Journal of Economics, 117, 437-466.Ghosh, A. R., Gulde, A., Ostry, J. D., and Wolf, H. C., (1995). Does the nominal exchange rate regime matter? NBER Working Paper, 5874, Washington.Gruben, W. C., and Mcleod, D., (2002). Capital account liberalization and ination, Economics Letters, 77, 221-225.Gruben, W.C., and Mcleod, D., (2004). The openness-inflation puzzle revisited, Applied Economics Letters, 11, 465-468.Galvao, A., (2008). Quantile regression for dynamic panel data, University of Illinois, Urbana-Champain.Gupta, A. S., (2008). Does capital account openness lower inflation? International Economic Journal, 22:4, 471-487.Galvao, A., and Montes-Rojas, G., (2009). Instrumental variables quantile regression for panel data with measurement errors, University of Illinois, Urbana-Champain.Harding, M., and Lamarche, C., (2009). A quantile regression approach for estimating panel data models using instrumental variables, Economics Letters, 104, 133-135.Jordan, T. J., (1997). Disination costs, accelerating inflation cains, and central bank independence, Weltwirtschaftliches Archiv, 133, 1-21.Kydland, F. and Prescott, E., (1977). Rule Rather than Discretion: the Inconsistency of Optimal Plans, Journal of Political Economy, 85 , 473-492.Koenker, R. and Bassett, G., (1978). Regression Quantiles, Econometrica, 46 , 33-50.Koenker, R. (2004). Quantile Regression for Longitudinal Data, Journal of Multivariate Analysis, 91 , 74-89.Lucas, R. E., (1973). Some international evidence on output-inflation tradeoffs, The American Economic Review, 63, 326-334.Lane, P., (1997). Inflation in Open Economies, Journal of International Economics, 42 , 327-347.Lane, P.R., and Milesi-Ferretti, G.M., (2007). The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970-2004, Journal of International Economics, 73, 223-250.Lin, H. Y., and Chen, P. Y., (2010). The relation between inflation and trade openness: the application of panel data quantile regression, Academia Economic Papers, 38:1, 1-32.Nasser, O.M.A., Sachsida, A., and Mendonca, M.J.C., (2009). The openness inflation puzzle: panel data evidence, International Research Journal of Finance and Economics, 28, 169-180.Powell, J.(1986). Censored Regression Quantiles, Journal of Econometrics,32, 143-155.Powell, J. (2002). Lecture notes on quantile regression, Department of Economics, UC Berkeley.Polillo, S., and Guillen, M. F., (2005). Globalization pressures and the state: the global spread of central bank independence, American Journal of Sociology, 110, 1764-1802.Quinn, D., and Toyoda, M., (1996). Measuring international financial openness and closure, Department of Political Science, Georgetown University, Washington, DC, Mimeo.Razie, A., and Yuen, C. W., (2002). The New Keynesian Phillips curve: closed economy versus open economy, Economics Letters, 75, 1-9.Romer, D., (1993). Openness and Inflation: Theory and Evidence, Quarterly Journal of Economics, 58 , 869-903.Reinhart, C. and Rogoff, K., (2004). A Modern History of Exchange Rate Arrangements: A Reinterpretation, Quarterly Journal of Economics, 119 , 1-48.Razie, A., and Loungani, P., (2007). Globalization and equilibrium inflation-output tradeoffs, In: Frankel, J. A., Pissarides, C. (Eds.) NBER International Seminaron Macroeconomics 2005. MIT Press, Cambridge.Terra, C., (1995). Openness and inflation: a new assessment, Chapter 2 of Ph.D. thesis, Princeton University, Princeton.Terra, C., (1998). Openness and Inflation: A New Assessment, Quarterly Journal of Economics, 63 , 641-648.Temple, J., (2002). Openness, Inflation, and the Phillips Curve: A Puzzle, Journal of Money,Credit,and Banking, 34 , 450-468. zh_TW
