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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)
Estimation of Dynamic Models with Error Components.
Journal of the American Statistical Association, 76, 589--606.

Arellano, Manuel, and Stephen Bond. (1991)
Some Tests for Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.
Review of Economic Studies, 58, 277--97.

Ball, Laurence M. (2006)
Has Globalization Changed Inflation?
NBER Working Paper, No. 12687.

Batini, Nicoletta, Brian Jackson, and Stephen Nickell. (2005)
An Open-Economy New Keynesian Phillips Curve for the U.K.
Journal of Monetary Economics, 52, 1061--71.

Bernanke, Ben S. (2007)
Globalization and Monetary Policy.
Speech at the Fourth Economic Summit, March 2.

Bianchi, Francesco, and Andrea Civelli. (2014)
Globalization and Inflation: Evidence From a Time-Varying VAR.
Review of Economic Dynamics.

Borio, Claudio, and Andrew Filardo. (2007)
Globalisation and Inflation: New Cross-Country Evidence on the Global Determinants of Domestic Inflation
Bank of International Settlements Working Paper, No. 227.

Byrne, Joseph P., Alexandros Kontonikas, and Alberto Montagnoli. (2013)
International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data.
Journal of Money, Credit and Banking, 45, 913--32.

Calvo, Guillermo A. (1983)
Staggered Prices in a Utility-Maximizing Framework.
Journal of Monetary Economics, 12, 383--98.

Calza, Alessandro. (2009)
Globalization, Domestic Inflation and Global Output Gaps: Evidence from the Euro Area.
International Finance, 12, 301--20.

Ciccarelli, Matteo, and Benoit Mojon. (2010)
Global Inflation.
Review of Economics and Statistics, 92, 524--35.

Fisher, Richard W. (2006)
Coping with Globalization`s Impact on Monetary Policy.
Speech at 2006 Allied Social Science Associations Meeting, January 6.

Frankel, Jeffrey. (2006)
What Do Economists Mean by Globalization? Implications for Monetary Policy.
Unpublished draft, Kennedy School of Government, Harvard University, October 4.

Friedman, Milton. (1968)
The Role of Monetary Policy.
American Economic Review, 58, 1--17.

Galati, Gabriele, and William Melick. (2006)
The Evolving Inflation Process: An Overview.
Bank of International Settlements Working Paper, No. 196.

Gali, Jordi, and Mark Gertler. (1999)
Inflation Dynamics: A Structural Econometric Analysis.
Journal of Monetary Economics, 44, 195--222.

Gamber, Edward N., and Juann H. Hung. (2001)
Has the Rise in Globalization Reduced U.S. Inflation in the 1990s?
Economic Inquiry, 39, 58--73.

Ihrig, Jane, Steven B. Kamin, Deborah Lindner, and Jaime Marquez. (2010)
Some Simple Tests of the Globalization and Inflation Hypothesis.
International Finance, 13, 343--75.

Im, Kyung So, M.Hashem Pesaran, and Yongcheol Shin. (2003)
Testing for Unit Roots in Heterogeneous Panels.
Journal of Econometrics, 115 , 53--74.

Kohn, Donald L. (2006)
The Effects of Globalization and Their Implications for Monetary Policy.
Speech at the Federal Reserve Bank of Boston`s 51st Economic Conference, June 16.

Koenker, Roger, and Gilbert Bassett. (1978)
Regression Quantiles.
Econometrica, 46, 33--50.

Koenker, Roger. (2004).
Quantile Regression for Longitudinal Data.
Journal of Multivariate Analysis, 91, 74--89.

Levine, Andrew, Chien-Fu Lin, and Chia-Shang James Chu. (2002)
Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties.
Journal of Econometrics, 108, 1--24.

Lin, Hsin-Yi. (2010)
Endogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach.
Working Paper, National Chengchi University.

Loretan, Mico. (2005)
Indexes of the Foreign Exchange Value of the Dollar.
Federal Reserve Bulletin, 91, 1--8.

Lucas, Robert E., Jr. (1972)
Expectations and the Neutrality of Money.
Journal of Economic Theory, 4, 103--24.

Milani, Fabio. (2010)
Global Slack and Domestic Inflation Rates: A Structural Investigation for the G-7 Countries.
Journal of Macroeconomics, 32, 968--81.

Mumtaz, Haroon, and Paolo Surico. (2012)
Evolving International Inflation Dynamics: World and Country-Specific Factors.
Journal of the European Economic Association, 10, 716--34.

Papademos, Lucas. (2006)
Monetary Policy in a Changing World: Commitment, Strategy, and Credibility.
Speech at Fourth Conference of the International Research Forum on Monetary Policy, December 1.

Phillips, A. William. (1958)
The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom: 1861-1957.
Economica, 25, 283--99.

Rogoff, Kenneth. (2003)
Globalization and Global Disinflation.
Economic review, 88, 45--79.

Romer, David. (1993)
Openness and Inflation:Theory and Evidence.
Quarterly Journal of Economics, 58, 869--903.

Rotemberg, Julio J. (1982)
Sticky prices in the United States.
Journal of Political Economy, 90, 1187--211.

Samuelson, Paul A., and Robert M. Solow. (1960)
Problem of Achieving and Maintaining a Stable Price Level: Analytical Aspects of Anti-Inflation Policy.
American Economic Review , 50, 177--94.

Sargent, Thomas J., and Neil Wallace. (1993)
Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule.
Journal of Political Economy, 83, 241--54.

Sbordone, Argia M. (2007)
Globalization and Inflation Dynamics: the Impact of Increased Competition.
NBER Working Paper, No. 13556.

Taylor, John B. (1980)
Aggregate Dynamics and Staggered Contracts.
Journal of Political Economy, 88, 1--23.

Tootell, Geoffrey M. B. (1998)
Globalization and U.S. Inflation.
New England Economic Review, 25, 151-62.

Wynne, Mark A., and Erasmus K. Kersting. (2007)
Central Bank Independence and Macroeconomic Performance: Some Comparative Evidence.
Federal Reserve of Dallas Staff Paper, No. 2.

Yellen, Janet. (2006)
Monetary Policy in a Global Environment.
Speech at the Conference: The Euro and the Dollar in a Globalized Economy, May 27.

Zhang, Chengsi, Denise R. Osborn, and Dong Heon Kim. (2009)
Observed Inflation Forecasts and the New Keynesian Phillips Curve.
Oxford Bulletin of Economics and Statistics, 71, 375--98.

Zhang, Chengsi, and Joel Clovis. (2010)
The New Keynesian Phillips Curve of Rational Expectations: A Serial Correlation Extension.
Journal 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) http://nccur.lib.nccu.edu.tw/handle/140.119/78784-
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
2 文獻回顧........................................... 4
2.1 菲利浦曲線....................................... 4
2.2 全球化........................................... 6
3 計量方法........................................... 14
3.1 動態追蹤資料..................................... 14
3.2 動態追蹤資料分量迴歸模型......................... 16
3 資料與模型......................................... 18
3.1 資料............................................. 18
3.2 模型............................................. 23
5 實證結果........................................... 25
5.1 季資料........................................... 25
5.2 年資料........................................... 27
5.3 穩健性測試 ...................................... 31
5.4 OECD,非 OECD 及已開發國家........................ 34
5.5 不同時期......................................... 35
5.6 不同計量方法..................................... 36
6 結論............................................... 38

參考文獻............................................. 54

附錄................................................. 59		zh_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)
Estimation of Dynamic Models with Error Components.
Journal of the American Statistical Association, 76, 589--606.

Arellano, Manuel, and Stephen Bond. (1991)
Some Tests for Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.
Review of Economic Studies, 58, 277--97.

Ball, Laurence M. (2006)
Has Globalization Changed Inflation?
NBER Working Paper, No. 12687.

Batini, Nicoletta, Brian Jackson, and Stephen Nickell. (2005)
An Open-Economy New Keynesian Phillips Curve for the U.K.
Journal of Monetary Economics, 52, 1061--71.

Bernanke, Ben S. (2007)
Globalization and Monetary Policy.
Speech at the Fourth Economic Summit, March 2.

Bianchi, Francesco, and Andrea Civelli. (2014)
Globalization and Inflation: Evidence From a Time-Varying VAR.
Review of Economic Dynamics.

Borio, Claudio, and Andrew Filardo. (2007)
Globalisation and Inflation: New Cross-Country Evidence on the Global Determinants of Domestic Inflation
Bank of International Settlements Working Paper, No. 227.

Byrne, Joseph P., Alexandros Kontonikas, and Alberto Montagnoli. (2013)
International Evidence on the New Keynesian Phillips Curve Using Aggregate and Disaggregate Data.
Journal of Money, Credit and Banking, 45, 913--32.

Calvo, Guillermo A. (1983)
Staggered Prices in a Utility-Maximizing Framework.
Journal of Monetary Economics, 12, 383--98.

Calza, Alessandro. (2009)
Globalization, Domestic Inflation and Global Output Gaps: Evidence from the Euro Area.
International Finance, 12, 301--20.

Ciccarelli, Matteo, and Benoit Mojon. (2010)
Global Inflation.
Review of Economics and Statistics, 92, 524--35.

Fisher, Richard W. (2006)
Coping with Globalization`s Impact on Monetary Policy.
Speech at 2006 Allied Social Science Associations Meeting, January 6.

Frankel, Jeffrey. (2006)
What Do Economists Mean by Globalization? Implications for Monetary Policy.
Unpublished draft, Kennedy School of Government, Harvard University, October 4.

Friedman, Milton. (1968)
The Role of Monetary Policy.
American Economic Review, 58, 1--17.

Galati, Gabriele, and William Melick. (2006)
The Evolving Inflation Process: An Overview.
Bank of International Settlements Working Paper, No. 196.

Gali, Jordi, and Mark Gertler. (1999)
Inflation Dynamics: A Structural Econometric Analysis.
Journal of Monetary Economics, 44, 195--222.

Gamber, Edward N., and Juann H. Hung. (2001)
Has the Rise in Globalization Reduced U.S. Inflation in the 1990s?
Economic Inquiry, 39, 58--73.

Ihrig, Jane, Steven B. Kamin, Deborah Lindner, and Jaime Marquez. (2010)
Some Simple Tests of the Globalization and Inflation Hypothesis.
International Finance, 13, 343--75.

Im, Kyung So, M.Hashem Pesaran, and Yongcheol Shin. (2003)
Testing for Unit Roots in Heterogeneous Panels.
Journal of Econometrics, 115 , 53--74.

Kohn, Donald L. (2006)
The Effects of Globalization and Their Implications for Monetary Policy.
Speech at the Federal Reserve Bank of Boston`s 51st Economic Conference, June 16.

Koenker, Roger, and Gilbert Bassett. (1978)
Regression Quantiles.
Econometrica, 46, 33--50.

Koenker, Roger. (2004).
Quantile Regression for Longitudinal Data.
Journal of Multivariate Analysis, 91, 74--89.

Levine, Andrew, Chien-Fu Lin, and Chia-Shang James Chu. (2002)
Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties.
Journal of Econometrics, 108, 1--24.

Lin, Hsin-Yi. (2010)
Endogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach.
Working Paper, National Chengchi University.

Loretan, Mico. (2005)
Indexes of the Foreign Exchange Value of the Dollar.
Federal Reserve Bulletin, 91, 1--8.

Lucas, Robert E., Jr. (1972)
Expectations and the Neutrality of Money.
Journal of Economic Theory, 4, 103--24.

Milani, Fabio. (2010)
Global Slack and Domestic Inflation Rates: A Structural Investigation for the G-7 Countries.
Journal of Macroeconomics, 32, 968--81.

Mumtaz, Haroon, and Paolo Surico. (2012)
Evolving International Inflation Dynamics: World and Country-Specific Factors.
Journal of the European Economic Association, 10, 716--34.

Papademos, Lucas. (2006)
Monetary Policy in a Changing World: Commitment, Strategy, and Credibility.
Speech at Fourth Conference of the International Research Forum on Monetary Policy, December 1.

Phillips, A. William. (1958)
The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom: 1861-1957.
Economica, 25, 283--99.

Rogoff, Kenneth. (2003)
Globalization and Global Disinflation.
Economic review, 88, 45--79.

Romer, David. (1993)
Openness and Inflation:Theory and Evidence.
Quarterly Journal of Economics, 58, 869--903.

Rotemberg, Julio J. (1982)
Sticky prices in the United States.
Journal of Political Economy, 90, 1187--211.

Samuelson, Paul A., and Robert M. Solow. (1960)
Problem of Achieving and Maintaining a Stable Price Level: Analytical Aspects of Anti-Inflation Policy.
American Economic Review , 50, 177--94.

Sargent, Thomas J., and Neil Wallace. (1993)
Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule.
Journal of Political Economy, 83, 241--54.

Sbordone, Argia M. (2007)
Globalization and Inflation Dynamics: the Impact of Increased Competition.
NBER Working Paper, No. 13556.

Taylor, John B. (1980)
Aggregate Dynamics and Staggered Contracts.
Journal of Political Economy, 88, 1--23.

Tootell, Geoffrey M. B. (1998)
Globalization and U.S. Inflation.
New England Economic Review, 25, 151-62.

Wynne, Mark A., and Erasmus K. Kersting. (2007)
Central Bank Independence and Macroeconomic Performance: Some Comparative Evidence.
Federal Reserve of Dallas Staff Paper, No. 2.

Yellen, Janet. (2006)
Monetary Policy in a Global Environment.
Speech at the Conference: The Euro and the Dollar in a Globalized Economy, May 27.

Zhang, Chengsi, Denise R. Osborn, and Dong Heon Kim. (2009)
Observed Inflation Forecasts and the New Keynesian Phillips Curve.
Oxford Bulletin of Economics and Statistics, 71, 375--98.

Zhang, Chengsi, and Joel Clovis. (2010)
The New Keynesian Phillips Curve of Rational Expectations: A Serial Correlation Extension.
Journal of Applied Economics, 13, 159--79.		zh_TW