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題名 數量目標與通貨膨脹
Quantitative targets and inflation作者 梁致遠 貢獻者 林馨怡
梁致遠關鍵詞 數量目標
通貨膨脹率
追蹤資料
分量迴歸日期 2010 上傳時間 5-Sep-2013 14:19:29 (UTC+8) 摘要 本文使用Koenker(2004)的追蹤資料分量迴歸方法分析貨幣政策當局採取官方宣告的(de jure)數量目標(Quantitative targets)與事實上的(de facto)數量目標對於通貨膨脹率之影響。我們分析50個國家在1960年到2007年間的追蹤資料。實證結果發現數量目標對通貨膨脹的影響為負向，同時，通貨膨脹越高的國家，其負向效果影響也越大，通貨膨脹越低的國家，則其負向效果影響越小。此結果顯示貨幣政策當局想藉由採取數量目標來降低通貨膨脹率，若該國處於高通貨膨脹環境，則數量目標可以發揮較大的效果，反之，若該國處於適度通貨膨脹環境，則數量目標效果有限。 參考文獻 Agenor, P. (2002).Monetary Policy under Flexible Exchange Rate: An Introduction to Inflation Targeting.Inflation Targeting: Design, Performance, Challenges, Central Bank of ChileBall, L. and N. Sheridan (2003).Does Inflation Targeting Matter?Working Paper, CambridgeBarro, R. and J. Lee (2000).International Data on Educational Attainment Updates and Implications.NBER Working Paper,7911.Bernanke, B., T. Laubach, F. Mishkin, and A. Posen (1999).Inflation Targeting.Princeton, NJ:Princeton University PressBrito, R. D. and B. Bystedt (2006).The Macroeconomic Effects of Inflation Targeting in Latin America.Working PaperBrito, R. D. and B. Bystedt (2010).Inflation Targeting in Emerging Economics: Panel Evidence.Journal of Development Economics, 91 ,198--210.Calderon, C. and K. Schmidt-Hebbel (2008).What Drives The Choice of Money-Based Targets in The World?Working Paper, Central Bank of ChileChernozhukov, V. and C. Hansen (2005).An IV Model of Quantile 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.Cottarelli, C. and C. Giannini (1997).Credibility Without Rules? Monetary Frameworks in The Post-Bretton Woods Era.IMF Occasional Paper, 154Fatas, A., I. Mihov, and A. K. Rose (2006).Quantitative Goals for Monetary Policy.Journal of Money, Credit and Banking, 39 ,1164--1176.Flood, R. P. and A. K. Rose (2010).Inflation Targeting And Business Cycle Synchronization.Journal of International Money and Finance, 29 ,704--727Galvao, A. F. and G. V. Montes-Rojas (2010).Penalized Quantile Regression for Dynamic Panel Data.Journal of Statistical Planning and Inference, 140 ,3476--3497Ghosh, A. R., A. Gulde, J. D. Ostry, and H. Wolf (1996).Does The Exchange Rate Regime Matter For Inflation And Growth?IMF Economic IssuesGoncalves, C. E. and A. Carvalho (2009).Inflation Targeting Matters: Evidence from OECD Economies` Sacrifice Ratios.Journal of Money, Credit and Banking, 41 ,234--243.Hayo, B., M. J. M. Neumann, and J. von Hagen (1998).A Monetary Target For The ECB.EMU Monitor Background PaperHeenan, G., M. Peter, and S. Roger (2006).Implementing Inflation Targeting: Institutional Arrangements, Target Design, and Communications.IMF Working PaperHenisz, W., J. (2000).The Institutional Environment for Economic Growth.Economics and Politics, 12:1International Monetary Fund (IMF) (2005).World Economic Outlook.Washington, SeptemberKoenker, R. and G. Bassett (1978).Regression quantiles.Econometrica, 46, 33--50.Koenker, R. (2004).Quantile regression for longitudinal data.Journal of Multivariate Analysis, 91, 74--89.Levy-Yeyati, E. and F. Sturzenegger (2001).Exchange Rate Regimes And Economic Performance.IMF Staff PapersLoayza, N. and R. Soto (2001).Ten Years of Inflation Targeting: Design, Performance, Challenges.Central Bank of ChileMihov, I. and A. K. Rose (2007).Is Old Money Better Than New? Duration and Monetary Regimes.Working PaperMishkin, F. S. (2004).Can Inflation Targeting Work In Emerging Market Countries?Working Paper, CambridgeMishkin, F. S. and K. Schmidt-Hebbel (2001).One Decade of Inflation Targeting In The World: What Do We Know And What Do We Need To Know?Working Paper, Central Bank of ChileMorande, F. and K. Schmidt-Hebbel (1999).Inflation Targets and Indexaion In Chile.Central Bank of ChilePersson, T. and G. Tabellini (2001).Political Institutions and Policy Outcomes: What Are The Stylized Facts?CEPR Discussion Paper,No 2872.Reinhart, C. and K. Rogoff (2004).A Modern History of Exchange Rate Arrangements: A Reinterpretation.Quarterly Journal of Economics, CXIX, 1--48.Roger, S. (2010).Inflation Targeting Turns 20.Finance and Development,46--49Rose, A. K. (2010).Exchange Rate Regimes In The Modern Era: Fixed, Floating, and Flaky.Working Paper, UC BerkeleySiklos, P. L. (1999).Inflation-Target Design: Changing Inflation Performance and Persistence In Industrial Countries.Federal Reserve Bank of St. Louis ReviewSterne, G. (2002).Inflation Targets In The Global Context.Inflation Targeting: Design, Performance, Challenges, Central Bank of Chilevon Hagen, J. (1998).Monetary Growth Targeting.Sveriges Riskbank and Institute for International Economic Studies, Stockholm University 描述 碩士
國立政治大學
經濟學系
98258001
99資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098258001 資料類型 thesis dc.contributor.advisor 林馨怡 zh_TW dc.contributor.author (Authors) 梁致遠 zh_TW dc.creator (作者) 梁致遠 zh_TW dc.date (日期) 2010 en_US dc.date.accessioned 5-Sep-2013 14:19:29 (UTC+8) - dc.date.available 5-Sep-2013 14:19:29 (UTC+8) - dc.date.issued (上傳時間) 5-Sep-2013 14:19:29 (UTC+8) - dc.identifier (Other Identifiers) G0098258001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60329 - 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) 98258001 zh_TW dc.description (描述) 99 zh_TW dc.description.abstract (摘要) 本文使用Koenker(2004)的追蹤資料分量迴歸方法分析貨幣政策當局採取官方宣告的(de jure)數量目標(Quantitative targets)與事實上的(de facto)數量目標對於通貨膨脹率之影響。我們分析50個國家在1960年到2007年間的追蹤資料。實證結果發現數量目標對通貨膨脹的影響為負向，同時，通貨膨脹越高的國家，其負向效果影響也越大，通貨膨脹越低的國家，則其負向效果影響越小。此結果顯示貨幣政策當局想藉由採取數量目標來降低通貨膨脹率，若該國處於高通貨膨脹環境，則數量目標可以發揮較大的效果，反之，若該國處於適度通貨膨脹環境，則數量目標效果有限。 zh_TW dc.description.tableofcontents 1 緒論..................................12 文獻回顧..............................32.1匯率目標.............................42.2通貨膨脹目標.........................5 2.3貨幣成長率目標.......................103 計量方法..............................123.1分量迴歸.............................123.2分量迴歸與內生性.....................133.3追蹤資料下的分量迴歸.................143.4有內生性問題的追蹤資料分量迴歸.......164 實證結果..............................194.1資料.................................194.2基本結果.............................214.3加入極端通貨膨脹國家.................244.4OECD會員國與非OECD會員國.............334.5不同時期.............................354.6內生性問題...........................415 結論..................................49參考文獻................................50A 國家資料樣本..........................53B 匯率目標的de jure與de facto分類.......54表目錄1 全部國家與包含極端通貨膨脹超過1000%的國家 敘述統計量 212 OECD會員國與非OECD會員國 敘述統計量 223 追蹤資料分量迴歸分析 基本結果-全部國家(1960-2007年) 254 追蹤資料分量迴歸分析 不放達成數量目標-全部國家(1960-2007年) 275 追蹤資料分量迴歸分析 不放實行數量目標-全部國家(1960-2007年) 286 追蹤資料分量迴歸分析 進口-全部國家(1960-2007年) 297 追蹤資料分量迴歸分析 出口-全部國家(1960-2007年) 308 追蹤資料分量迴歸分析 貿易開放性detrend-全部國家(1960-2007年) 319 追蹤資料分量迴歸分析 HP filter-全部國家(1960-2007年) 3210 追蹤資料分量迴歸分析 包含通貨膨脹率超過1000%的國家 3411 追蹤資料分量迴歸分析 OECD會員國 3612 追蹤資料分量迴歸分析 非OECD會員國 3713 追蹤資料分量迴歸分析 工業化國家.............................3814 追蹤資料分量迴歸分析 非工業化國家............................3915 追蹤資料分量迴歸分析 全部國家(1970-2007)....................4216 追蹤資料分量迴歸分析 全部國家(1980-2007)....................4317 追蹤資料分量迴歸分析 全部國家(1990-2007)....................4418 追蹤資料分量迴歸分析 石油危機之後............................4519 追蹤資料分量迴歸分析 領先一期年通貨膨脹率-全部國家...........4720 追蹤資料分量迴歸分析 內生性問題-全部國家.....................48圖目錄1 基本結果(1960-2007年)............................26 zh_TW dc.format.extent 1268432 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/#G0098258001 en_US dc.subject (關鍵詞) 數量目標 zh_TW dc.subject (關鍵詞) 通貨膨脹率 zh_TW dc.subject (關鍵詞) 追蹤資料 zh_TW dc.subject (關鍵詞) 分量迴歸 zh_TW dc.title (題名) 數量目標與通貨膨脹 zh_TW dc.title (題名) Quantitative targets and inflation en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Agenor, P. (2002).Monetary Policy under Flexible Exchange Rate: An Introduction to Inflation Targeting.Inflation Targeting: Design, Performance, Challenges, Central Bank of ChileBall, L. and N. Sheridan (2003).Does Inflation Targeting Matter?Working Paper, CambridgeBarro, R. and J. Lee (2000).International Data on Educational Attainment Updates and Implications.NBER Working Paper,7911.Bernanke, B., T. Laubach, F. Mishkin, and A. Posen (1999).Inflation Targeting.Princeton, NJ:Princeton University PressBrito, R. D. and B. Bystedt (2006).The Macroeconomic Effects of Inflation Targeting in Latin America.Working PaperBrito, R. D. and B. Bystedt (2010).Inflation Targeting in Emerging Economics: Panel Evidence.Journal of Development Economics, 91 ,198--210.Calderon, C. and K. Schmidt-Hebbel (2008).What Drives The Choice of Money-Based Targets in The World?Working Paper, Central Bank of ChileChernozhukov, V. and C. Hansen (2005).An IV Model of Quantile 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.Cottarelli, C. and C. Giannini (1997).Credibility Without Rules? Monetary Frameworks in The Post-Bretton Woods Era.IMF Occasional Paper, 154Fatas, A., I. Mihov, and A. K. Rose (2006).Quantitative Goals for Monetary Policy.Journal of Money, Credit and Banking, 39 ,1164--1176.Flood, R. P. and A. K. Rose (2010).Inflation Targeting And Business Cycle Synchronization.Journal of International Money and Finance, 29 ,704--727Galvao, A. F. and G. V. Montes-Rojas (2010).Penalized Quantile Regression for Dynamic Panel Data.Journal of Statistical Planning and Inference, 140 ,3476--3497Ghosh, A. R., A. Gulde, J. D. Ostry, and H. Wolf (1996).Does The Exchange Rate Regime Matter For Inflation And Growth?IMF Economic IssuesGoncalves, C. E. and A. Carvalho (2009).Inflation Targeting Matters: Evidence from OECD Economies` Sacrifice Ratios.Journal of Money, Credit and Banking, 41 ,234--243.Hayo, B., M. J. M. Neumann, and J. von Hagen (1998).A Monetary Target For The ECB.EMU Monitor Background PaperHeenan, G., M. Peter, and S. Roger (2006).Implementing Inflation Targeting: Institutional Arrangements, Target Design, and Communications.IMF Working PaperHenisz, W., J. (2000).The Institutional Environment for Economic Growth.Economics and Politics, 12:1International Monetary Fund (IMF) (2005).World Economic Outlook.Washington, SeptemberKoenker, R. and G. Bassett (1978).Regression quantiles.Econometrica, 46, 33--50.Koenker, R. (2004).Quantile regression for longitudinal data.Journal of Multivariate Analysis, 91, 74--89.Levy-Yeyati, E. and F. Sturzenegger (2001).Exchange Rate Regimes And Economic Performance.IMF Staff PapersLoayza, N. and R. Soto (2001).Ten Years of Inflation Targeting: Design, Performance, Challenges.Central Bank of ChileMihov, I. and A. K. Rose (2007).Is Old Money Better Than New? Duration and Monetary Regimes.Working PaperMishkin, F. S. (2004).Can Inflation Targeting Work In Emerging Market Countries?Working Paper, CambridgeMishkin, F. S. and K. Schmidt-Hebbel (2001).One Decade of Inflation Targeting In The World: What Do We Know And What Do We Need To Know?Working Paper, Central Bank of ChileMorande, F. and K. Schmidt-Hebbel (1999).Inflation Targets and Indexaion In Chile.Central Bank of ChilePersson, T. and G. Tabellini (2001).Political Institutions and Policy Outcomes: What Are The Stylized Facts?CEPR Discussion Paper,No 2872.Reinhart, C. and K. Rogoff (2004).A Modern History of Exchange Rate Arrangements: A Reinterpretation.Quarterly Journal of Economics, CXIX, 1--48.Roger, S. (2010).Inflation Targeting Turns 20.Finance and Development,46--49Rose, A. K. (2010).Exchange Rate Regimes In The Modern Era: Fixed, Floating, and Flaky.Working Paper, UC BerkeleySiklos, P. L. (1999).Inflation-Target Design: Changing Inflation Performance and Persistence In Industrial Countries.Federal Reserve Bank of St. Louis ReviewSterne, G. (2002).Inflation Targets In The Global Context.Inflation Targeting: Design, Performance, Challenges, Central Bank of Chilevon Hagen, J. (1998).Monetary Growth Targeting.Sveriges Riskbank and Institute for International Economic Studies, Stockholm University zh_TW
