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題名 全球化與通貨膨脹率-追蹤資料分量迴歸之應用
Globalization and Inflation - The Application of Panel Quantile Regression
作者 李崇凱
貢獻者 林馨怡
李崇凱
關鍵詞 全球化
通貨膨脹率
分量迴歸
追蹤資料
日期 2015
上傳時間 1-Oct-2015 14:24:34 (UTC+8)
摘要 本文使用追蹤資料分量迴歸模型來分析全球化之下，通貨膨脹率受國外經濟狀態變數的影響。我們使用 1980--2013 年 45 個國家的季資料及 1970--2013 年 56 個國家的年資料做分析。根據全球化假說 (Globalization Hypothesis) ，隨著全球化程度的提升，通貨膨脹率受國外經濟狀態的影響會增加。由實證結果發現在通貨膨脹率較低時，國外經濟狀態對通貨膨脹率有顯著正向的影響，隨著通貨膨脹率提升，兩者關係有下降的趨勢但仍為顯著正相關。此結果指出隨著全球化程度較高、通膨較低時，通貨膨脹率受國外經濟狀態影響較大並呼應 Ihrig et al. (2010) 全球化假說的論點。
參考文獻 Anderson, T.W., and Cheng Hsiao. (1981)\nEstimation of Dynamic Models with Error Components. \nJournal of the American Statistical Association, 76, 589--606.\n\nArellano, Manuel, and Stephen Bond. (1991)\nSome Tests for Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.\nReview of Economic Studies, 58, 277--97.\n\nBall, Laurence M. (2006)\nHas Globalization Changed Inflation?\nNBER Working Paper, No. 12687.\n\nBatini, Nicoletta, Brian Jackson, and Stephen Nickell. (2005)\nAn Open-Economy New Keynesian Phillips Curve for the U.K.\nJournal of Monetary Economics, 52, 1061--71.\n\nBernanke, Ben S. (2007)\nGlobalization and Monetary Policy.\nSpeech at the Fourth Economic Summit, March 2.\n\nBianchi, Francesco, and Andrea Civelli. (2014)\nGlobalization and Inflation: Evidence From a Time-Varying VAR.\nReview of Economic Dynamics.\n\nBorio, Claudio, and Andrew Filardo. (2007)\nGlobalisation and Inflation: New Cross-Country Evidence on the Global Determinants of Domestic Inflation\nBank of International Settlements Working Paper, No. 227.\n\nByrne, Joseph P., Alexandros Kontonikas, and Alberto Montagnoli. (2013)\nInternational Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data.\nJournal of Money, Credit and Banking, 45, 913--32.\n\nCalvo, Guillermo A. (1983)\nStaggered Prices in a Utility-Maximizing Framework.\nJournal of Monetary Economics, 12, 383--98.\n\nCalza, Alessandro. (2009)\nGlobalization, Domestic Inflation and Global Output Gaps: Evidence from the Euro Area.\nInternational Finance, 12, 301--20.\n\nCiccarelli, Matteo, and Benoit Mojon. (2010)\nGlobal Inflation.\nReview of Economics and Statistics, 92, 524--35.\n\nFisher, Richard W. (2006)\nCoping with Globalization`s Impact on Monetary Policy.\nSpeech at 2006 Allied Social Science Associations Meeting, January 6.\n\nFrankel, Jeffrey. (2006)\nWhat Do Economists Mean by Globalization? Implications for Monetary Policy.\nUnpublished draft, Kennedy School of Government, Harvard University, October 4.\n\nFriedman, Milton. (1968)\nThe Role of Monetary Policy.\nAmerican Economic Review, 58, 1--17.\n\nGalati, Gabriele, and William Melick. (2006)\nThe Evolving Inflation Process: An Overview.\nBank of International Settlements Working Paper, No. 196.\n\nGali, Jordi, and Mark Gertler. (1999)\nInflation Dynamics: A Structural Econometric Analysis.\nJournal of Monetary Economics, 44, 195--222.\n\nGamber, Edward N., and Juann H. Hung. (2001)\nHas the Rise in Globalization Reduced U.S. Inflation in the 1990s?\nEconomic Inquiry, 39, 58--73.\n\nIhrig, Jane, Steven B. Kamin, Deborah Lindner, and Jaime Marquez. (2010)\nSome Simple Tests of the Globalization and Inflation Hypothesis.\nInternational Finance, 13, 343--75.\n\nIm, Kyung So, M.Hashem Pesaran, and Yongcheol Shin. (2003)\nTesting for Unit Roots in Heterogeneous Panels.\nJournal of Econometrics, 115 , 53--74.\n\nKohn, Donald L. (2006)\nThe Effects of Globalization and Their Implications for Monetary Policy.\nSpeech at the Federal Reserve Bank of Boston`s 51st Economic Conference, June 16.\n\nKoenker, Roger, and Gilbert Bassett. (1978)\nRegression Quantiles.\nEconometrica, 46, 33--50.\n\nKoenker, Roger. (2004).\nQuantile Regression for Longitudinal Data.\nJournal of Multivariate Analysis, 91, 74--89.\n\nLevine, Andrew, Chien-Fu Lin, and Chia-Shang James Chu. (2002)\nUnit Root Tests in Panel Data: Asymptotic and Finite Sample Properties.\nJournal of Econometrics, 108, 1--24.\n\nLin, Hsin-Yi. (2010)\nEndogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach.\nWorking Paper, National Chengchi University.\n\nLoretan, Mico. (2005)\nIndexes of the Foreign Exchange Value of the Dollar.\nFederal Reserve Bulletin, 91, 1--8.\n\nLucas, Robert E., Jr. (1972)\nExpectations and the Neutrality of Money.\nJournal of Economic Theory, 4, 103--24.\n\nMilani, Fabio. (2010)\nGlobal Slack and Domestic Inflation Rates: A Structural Investigation for the G-7 Countries.\nJournal of Macroeconomics, 32, 968--81.\n\nMumtaz, Haroon, and Paolo Surico. (2012)\nEvolving International Inflation Dynamics: World and Country-Specific Factors.\nJournal of the European Economic Association, 10, 716--34.\n\nPapademos, Lucas. (2006)\nMonetary Policy in a Changing World: Commitment, Strategy, and Credibility.\nSpeech at Fourth Conference of the International Research Forum on Monetary Policy, December 1.\n\nPhillips, A. William. (1958)\nThe Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom: 1861-1957.\nEconomica, 25, 283--99.\n\nRogoff, Kenneth. (2003)\nGlobalization and Global Disinflation.\nEconomic review, 88, 45--79.\n\nRomer, David. (1993)\nOpenness and Inflation:Theory and Evidence.\nQuarterly Journal of Economics, 58, 869--903.\n\nRotemberg, Julio J. (1982)\nSticky prices in the United States.\nJournal of Political Economy, 90, 1187--211.\n\nSamuelson, Paul A., and Robert M. Solow. (1960)\nProblem of Achieving and Maintaining a Stable Price Level: Analytical Aspects of Anti-Inflation Policy.\nAmerican Economic Review , 50, 177--94.\n\nSargent, Thomas J., and Neil Wallace. (1993)\nRational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule.\nJournal of Political Economy, 83, 241--54.\n\nSbordone, Argia M. (2007)\nGlobalization and Inflation Dynamics: the Impact of Increased Competition.\nNBER Working Paper, No. 13556.\n\nTaylor, John B. (1980)\nAggregate Dynamics and Staggered Contracts.\nJournal of Political Economy, 88, 1--23.\n\nTootell, Geoffrey M. B. (1998)\nGlobalization and U.S. Inflation.\nNew England Economic Review, 25, 151-62.\n\nWynne, Mark A., and Erasmus K. Kersting. (2007)\nCentral Bank Independence and Macroeconomic Performance: Some Comparative Evidence.\nFederal Reserve of Dallas Staff Paper, No. 2.\n\nYellen, Janet. (2006)\nMonetary Policy in a Global Environment.\nSpeech at the Conference: The Euro and the Dollar in a Globalized Economy, May 27.\n\nZhang, Chengsi, Denise R. Osborn, and Dong Heon Kim. (2009)\nObserved Inflation Forecasts and the New Keynesian Phillips Curve.\nOxford Bulletin of Economics and Statistics, 71, 375--98.\n\nZhang, Chengsi, and Joel Clovis. (2010)\nThe New Keynesian Phillips Curve of Rational Expectations: A Serial Correlation Extension.\nJournal of Applied Economics, 13, 159--79.
描述 碩士
國立政治大學
經濟學系
102258019
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0102258019
資料類型 thesis
dc.contributor.advisor 林馨怡zh_TW
dc.contributor.author (Authors) 李崇凱zh_TW
dc.creator (作者) 李崇凱zh_TW
dc.date (日期) 2015en_US
dc.date.accessioned 1-Oct-2015 14:24:34 (UTC+8)-
dc.date.available 1-Oct-2015 14:24:34 (UTC+8)-
dc.date.issued (上傳時間) 1-Oct-2015 14:24:34 (UTC+8)-
dc.identifier (Other Identifiers) G0102258019en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=87908-
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) 102258019zh_TW
dc.description.abstract (摘要) 本文使用追蹤資料分量迴歸模型來分析全球化之下，通貨膨脹率受國外經濟狀態變數的影響。我們使用 1980--2013 年 45 個國家的季資料及 1970--2013 年 56 個國家的年資料做分析。根據全球化假說 (Globalization Hypothesis) ，隨著全球化程度的提升，通貨膨脹率受國外經濟狀態的影響會增加。由實證結果發現在通貨膨脹率較低時，國外經濟狀態對通貨膨脹率有顯著正向的影響，隨著通貨膨脹率提升，兩者關係有下降的趨勢但仍為顯著正相關。此結果指出隨著全球化程度較高、通膨較低時，通貨膨脹率受國外經濟狀態影響較大並呼應 Ihrig et al. (2010) 全球化假說的論點。zh_TW
dc.description.tableofcontents 1 緒論............................................... 1\n2 文獻回顧........................................... 4\n2.1 菲利浦曲線....................................... 4\n2.2 全球化........................................... 6\n3 計量方法........................................... 14\n3.1 動態追蹤資料..................................... 14\n3.2 動態追蹤資料分量迴歸模型......................... 16\n3 資料與模型......................................... 18\n3.1 資料............................................. 18\n3.2 模型............................................. 23\n5 實證結果........................................... 25\n5.1 季資料........................................... 25\n5.2 年資料........................................... 27\n5.3 穩健性測試 ...................................... 31\n5.4 OECD,非 OECD 及已開發國家........................ 34\n5.5 不同時期......................................... 35\n5.6 不同計量方法..................................... 36\n6 結論............................................... 38\n\n參考文獻............................................. 54\n\n附錄................................................. 59zh_TW
dc.format.extent 1417455 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0102258019en_US
dc.subject (關鍵詞) 全球化zh_TW
dc.subject (關鍵詞) 通貨膨脹率zh_TW
dc.subject (關鍵詞) 分量迴歸zh_TW
dc.subject (關鍵詞) 追蹤資料zh_TW
dc.title (題名) 全球化與通貨膨脹率-追蹤資料分量迴歸之應用zh_TW
dc.title (題名) Globalization and Inflation - The Application of Panel Quantile Regressionen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Anderson, T.W., and Cheng Hsiao. (1981)\nEstimation of Dynamic Models with Error Components. \nJournal of the American Statistical Association, 76, 589--606.\n\nArellano, Manuel, and Stephen Bond. (1991)\nSome Tests for Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.\nReview of Economic Studies, 58, 277--97.\n\nBall, Laurence M. (2006)\nHas Globalization Changed Inflation?\nNBER Working Paper, No. 12687.\n\nBatini, Nicoletta, Brian Jackson, and Stephen Nickell. (2005)\nAn Open-Economy New Keynesian Phillips Curve for the U.K.\nJournal of Monetary Economics, 52, 1061--71.\n\nBernanke, Ben S. (2007)\nGlobalization and Monetary Policy.\nSpeech at the Fourth Economic Summit, March 2.\n\nBianchi, Francesco, and Andrea Civelli. (2014)\nGlobalization and Inflation: Evidence From a Time-Varying VAR.\nReview of Economic Dynamics.\n\nBorio, Claudio, and Andrew Filardo. (2007)\nGlobalisation and Inflation: New Cross-Country Evidence on the Global Determinants of Domestic Inflation\nBank of International Settlements Working Paper, No. 227.\n\nByrne, Joseph P., Alexandros Kontonikas, and Alberto Montagnoli. (2013)\nInternational Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data.\nJournal of Money, Credit and Banking, 45, 913--32.\n\nCalvo, Guillermo A. (1983)\nStaggered Prices in a Utility-Maximizing Framework.\nJournal of Monetary Economics, 12, 383--98.\n\nCalza, Alessandro. (2009)\nGlobalization, Domestic Inflation and Global Output Gaps: Evidence from the Euro Area.\nInternational Finance, 12, 301--20.\n\nCiccarelli, Matteo, and Benoit Mojon. (2010)\nGlobal Inflation.\nReview of Economics and Statistics, 92, 524--35.\n\nFisher, Richard W. (2006)\nCoping with Globalization`s Impact on Monetary Policy.\nSpeech at 2006 Allied Social Science Associations Meeting, January 6.\n\nFrankel, Jeffrey. (2006)\nWhat Do Economists Mean by Globalization? Implications for Monetary Policy.\nUnpublished draft, Kennedy School of Government, Harvard University, October 4.\n\nFriedman, Milton. (1968)\nThe Role of Monetary Policy.\nAmerican Economic Review, 58, 1--17.\n\nGalati, Gabriele, and William Melick. (2006)\nThe Evolving Inflation Process: An Overview.\nBank of International Settlements Working Paper, No. 196.\n\nGali, Jordi, and Mark Gertler. (1999)\nInflation Dynamics: A Structural Econometric Analysis.\nJournal of Monetary Economics, 44, 195--222.\n\nGamber, Edward N., and Juann H. Hung. (2001)\nHas the Rise in Globalization Reduced U.S. Inflation in the 1990s?\nEconomic Inquiry, 39, 58--73.\n\nIhrig, Jane, Steven B. Kamin, Deborah Lindner, and Jaime Marquez. (2010)\nSome Simple Tests of the Globalization and Inflation Hypothesis.\nInternational Finance, 13, 343--75.\n\nIm, Kyung So, M.Hashem Pesaran, and Yongcheol Shin. (2003)\nTesting for Unit Roots in Heterogeneous Panels.\nJournal of Econometrics, 115 , 53--74.\n\nKohn, Donald L. (2006)\nThe Effects of Globalization and Their Implications for Monetary Policy.\nSpeech at the Federal Reserve Bank of Boston`s 51st Economic Conference, June 16.\n\nKoenker, Roger, and Gilbert Bassett. (1978)\nRegression Quantiles.\nEconometrica, 46, 33--50.\n\nKoenker, Roger. (2004).\nQuantile Regression for Longitudinal Data.\nJournal of Multivariate Analysis, 91, 74--89.\n\nLevine, Andrew, Chien-Fu Lin, and Chia-Shang James Chu. (2002)\nUnit Root Tests in Panel Data: Asymptotic and Finite Sample Properties.\nJournal of Econometrics, 108, 1--24.\n\nLin, Hsin-Yi. (2010)\nEndogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach.\nWorking Paper, National Chengchi University.\n\nLoretan, Mico. (2005)\nIndexes of the Foreign Exchange Value of the Dollar.\nFederal Reserve Bulletin, 91, 1--8.\n\nLucas, Robert E., Jr. (1972)\nExpectations and the Neutrality of Money.\nJournal of Economic Theory, 4, 103--24.\n\nMilani, Fabio. (2010)\nGlobal Slack and Domestic Inflation Rates: A Structural Investigation for the G-7 Countries.\nJournal of Macroeconomics, 32, 968--81.\n\nMumtaz, Haroon, and Paolo Surico. (2012)\nEvolving International Inflation Dynamics: World and Country-Specific Factors.\nJournal of the European Economic Association, 10, 716--34.\n\nPapademos, Lucas. (2006)\nMonetary Policy in a Changing World: Commitment, Strategy, and Credibility.\nSpeech at Fourth Conference of the International Research Forum on Monetary Policy, December 1.\n\nPhillips, A. William. (1958)\nThe Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom: 1861-1957.\nEconomica, 25, 283--99.\n\nRogoff, Kenneth. (2003)\nGlobalization and Global Disinflation.\nEconomic review, 88, 45--79.\n\nRomer, David. (1993)\nOpenness and Inflation:Theory and Evidence.\nQuarterly Journal of Economics, 58, 869--903.\n\nRotemberg, Julio J. (1982)\nSticky prices in the United States.\nJournal of Political Economy, 90, 1187--211.\n\nSamuelson, Paul A., and Robert M. Solow. (1960)\nProblem of Achieving and Maintaining a Stable Price Level: Analytical Aspects of Anti-Inflation Policy.\nAmerican Economic Review , 50, 177--94.\n\nSargent, Thomas J., and Neil Wallace. (1993)\nRational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule.\nJournal of Political Economy, 83, 241--54.\n\nSbordone, Argia M. (2007)\nGlobalization and Inflation Dynamics: the Impact of Increased Competition.\nNBER Working Paper, No. 13556.\n\nTaylor, John B. (1980)\nAggregate Dynamics and Staggered Contracts.\nJournal of Political Economy, 88, 1--23.\n\nTootell, Geoffrey M. B. (1998)\nGlobalization and U.S. Inflation.\nNew England Economic Review, 25, 151-62.\n\nWynne, Mark A., and Erasmus K. Kersting. (2007)\nCentral Bank Independence and Macroeconomic Performance: Some Comparative Evidence.\nFederal Reserve of Dallas Staff Paper, No. 2.\n\nYellen, Janet. (2006)\nMonetary Policy in a Global Environment.\nSpeech at the Conference: The Euro and the Dollar in a Globalized Economy, May 27.\n\nZhang, Chengsi, Denise R. Osborn, and Dong Heon Kim. (2009)\nObserved Inflation Forecasts and the New Keynesian Phillips Curve.\nOxford Bulletin of Economics and Statistics, 71, 375--98.\n\nZhang, Chengsi, and Joel Clovis. (2010)\nThe New Keynesian Phillips Curve of Rational Expectations: A Serial Correlation Extension.\nJournal of Applied Economics, 13, 159--79.zh_TW