淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-0207201303453400
中文論文名稱 應用縱橫平滑轉換模型探討政府的重要性
英文論文名稱 Why Does Government Matter? The Application of PSTR Model
校院名稱 淡江大學
系所名稱(中) 財務金融學系博士班
系所名稱(英) Department of Banking and Finance
學年度 101
學期 2
出版年 102
研究生中文姓名 范譯仁
研究生英文姓名 Yi-Jen Fan
學號 895530094
學位類別 博士
語文別 英文
口試日期 2013-06-21
論文頁數 61頁
口試委員 指導教授-聶建中
共同指導教授-謝劍平
委員-沈中華
委員-謝邦昌
委員-丁克華
委員-林景春
委員-何宗武
委員-姚蕙芸
委員-聶建中
中文關鍵字 政策  菲力普曲線  通貨膨脹  縱橫平滑轉換模型 
英文關鍵字 Government Policy  Phillips Curve  Inflation Rate  PSTR Model 
學科別分類
中文摘要 過去十年,網路泡沫、美國911恐怖攻擊事件、全球金融風暴、歐債危機等對於全球的經濟產生重大衝擊。而這些負面總體環境衝擊已逐漸的改變了全球的經濟體質。在後金融風暴的時代,許多過去仰賴的金融規則已經不存在,我們很難運用過去前人的經驗來解決目前經濟所面臨的問題。我們很好奇的是過去的經濟理論是否還能夠適用,面對此種過去甚少經歷過的情境,政府又該扮演什麼角色。
我們運用縱橫平滑移轉迴歸模型來檢驗政府對於總體經濟影響性,並分成三部分的實證來做說明。第一部份探討主題為”財政政策及貨幣政策有效性”實證發現在利率波動介於-0.7%及14.84%或是政府支出佔GDP比重超過20.92%時,傳統菲力普曲線所陳述失業率與通膨率的抵換關係將不存在。
第二部份所探討的主題為”菲力普曲線仍是解釋通貨膨脹最重要的因素嗎?”實證結果顯示在控制利率的波動之下,實質經濟變數對於通貨膨脹率高於失業率,當匯率波動高於40.95%時,實質經濟變數與通貨膨脹率的關係會越來越密切。本文最後部份探討主題為”在低利率時代下,匯率的變動如何影響貨幣政策?結果顯示當匯率變動率高於8.51%時,利率與經濟成長率仍維持著正常的負向關係,且在匯率變動率較高的區間,利率對於經濟成長率的解釋能力亦較顯著。
英文摘要 During the previous decade, the dotcom bubble, September 11 attacks, financial turmoil, rising prices, debt crisis in Europe, and other events have continually affected the world economy. The negative events of macro above have gradually changed our life. Under the new post-crisis global economic environment, which have been reset the financial benchmarks, we can’t use most of the principles of the past experience to solve economic problem. We are curious about that the traditional economic theory whether still reliable and what role should governments be nowadays.
We utilize the panel smooth transition regression (PSTR) model to reexamine the influence of the government on macro control. The empirical analysis in this article is classified into three main parts. The topic of the first part is " The Efficiency of Financial Policy and Monetary Policy" This empirical investigation indicated that the tradeoff relationship will not be supported if the quarterly percentage change in the interest rate is between -0.70% and 14.84%, or if the ratio of government expenditure to GDP is higher than 20.92%.
The topic of the second part is " Does the Phillips Curve Dominant the Fluctuations of Inflation?" This empirical tests lead to the conclusion that the real activity variables have good explanatory power to inflation rate than unemployment rate based on the volatility of interest rate. The relationship between inflation rate and real activity variables is getting closed, when the volatility of exchange rate is higher than 40.95%.
The topic of the third part is "How Does Monetary Policy Respond to Exchange Rate Movements during the Era of Low Interest Rate". In this study address that the inverse relationship will still exit between discount rate and quarterly percentage change of GDP condition on the volatility of exchange rate is higher than 8.51%. The interest rate has a higher explanatory power to the growth of the GDP than the volatility of exchange rate lower than 8.51%.
論文目次 Chapter 1 Introduction 1
Chapter 2 Literature Review 4
2.1 Issues about the Phillips Curve 4
2.2 Literature about Inflation Rate 6
2.3 Output, Exchange Rate and Interest Rate 9
Chapter3 Methodology 12
Chapter 4 Empirical Investigation 23
PartⅠ The Efficiency of Financial Policy and Monetary Policy 23
4.1.1 Data and Summary Statistics 23
4.1.2 Empirical Test 25
Part Ⅱ Does the Phillips Curve Dominant the Fluctuations of Inflation? 32
4.2.1 Data and Summary Statistics 32
4.2.2 Empirical Test 34
Part Ⅲ How Does Monetary Policy Respond to Exchange Rate Movements during the Era of Low Interest Rate 43
4.3.1 Data and Summary Statistics 43
4.3.2 Empirical Test 44
Chapter 5 Conclusion 48
Reference 52

Table of Content
Chapter 1 Introduction 1
Chapter 2 Literature Review 4
2.1 Issues about the Phillips Curve 4
2.2 Literature about Inflation Rate 6
2.3 Output, Exchange Rate and Interest Rate 9
Chapter3 Methodology 12
Chapter 4 Empirical Investigation 23
PartⅠ The Efficiency of Financial Policy and Monetary Policy 23
4.1.1 Data and Summary Statistics 23
4.1.2 Empirical Test 25
Part Ⅱ Does the Phillips Curve Dominant the Fluctuations of Inflation? 32
4.2.1 Data and Summary Statistics 32
4.2.2 Empirical Test 34
Part Ⅲ How Does Monetary Policy Respond to Exchange Rate Movements during the Era of Low Interest Rate 43
4.3.1 Data and Summary Statistics 43
4.3.2 Empirical Test 44
Chapter 5 Conclusion 48
Reference 52

List of Tables

Table 4.1.1 Summary statistics of seven innovation-driven countries. 24
Table 4.1.2 Panel unit root tests 26
Table 4.1 3 Wald tests (LM) for Remaining Nonlinearity 27
Table 4.1 4 Determination of the Number of Location Parameters 27
Table 4.1 5 Parameter Estimates for the PSTR Models 29
Table 4.1 6 Relationship between the unemployment rate and inflation rate 30
Table 4.2.1 Summary statistics of G7 countries. 34
Table 4.2.2 Panel unit root tests 35
Table 4.2.3 Wald tests (LM) for Remaining Nonlinearity 36
Table 4.2.4 Determination of the Number of Location Parameters 37
Table 4.2.5 Parameter Estimates for the PSTR Models 39
Table 4.2.6 Parameter Estimates for Model A 40
Table 4.2.7 Parameter Estimates for Model B 42
Table4.3.1 Summary statistics 43
Table4.3.2 Panel unit root tests 44
Table4.3.3 LM Test for Remaining Nonlinearity 45
Table4.3.4 Determination of the Number of Location Parameters 46
Table4.3.5 Parameter Estimates for the Final PSTR Models 47
Table4.3.6 Estimation of Coefficients of Control Variables in PSTR Models 47
參考文獻 Ajuzie, E. I. S. and Ike, R. M., (2009), Oil speculation: The impact on prices, inflation, interest rates and the economy. Journal of Business and Economics Research, 7(10), 59-67.
Akerlof, G. A., Dickens, W.T., Perry, G.L., Bewley, T.F. and Blinder, A.S., (2000), Near-rational wage and price setting and the long-run Phillips curve. Brookings Papers on Economic Activity, 1, 1-60.
Atkeson, A. and Ohanian, L. E., (2001), Are Phillips curves useful for forecasting inflation? Federal Reserve Bank of Minneapolis Quarterly Review, 25(1), 2-11.
Bachmeier, L. J. and Cha, I., (2011), Why don’t oil shocks cause inflation? Evidence from disaggregate inflation data. Journal of Money, Credit, and Banking, 43(6), 1165-1183.
Bagliano, F.C, and Morana, C., (2003), Measuring US core inflation: A common trends approach. Journal of Macroeconomics, 25(2), 197-212.
Bahmani-Oskooee, M., Hegerty, S. W., and Xu, J., (2013), Exchange-rate volatility and US-Hong Kong industry trade: Is there evidence of a third country effect? Applied Economics, 45(18), 2629-2651.
Ball, L., (1994), Credible disinflation with staggered price-setting. American Economic Review, 84(1), 282-289.
Benderly, J. and Zwick, B., (1985), Inflation, real balances, output, and real stock returns. American Economic Review, 75(5), 1115-1123.
Bhattacharya, N., Demers, E. and Joos, P., (2010), The relevance of accounting information in a stock market bubble: Evidence from internet IPOs. Journal of Business Finance and Accounting, 37(3), 291-321.
Bilquees, F., Mukhtar, T. and Sohail, S., (2012), Dynamic Causal Interactions of Money, Prices, Interest Rate and Output in Pakistan. Journal of Economic Cooperation and Development, 33(3), 37-64.
Bjornland, H. C. and Halvorsen, J., (2010), How does monetary policy respond to exchange rate movements? New international evidence, SSRN Working Paper Series.
Blanchard, O. J. and Quah, D., (1989), The dynamic effects of aggregate demand and supply disturba. American Economic Review, 79(4), 655-673.
Blinder, A. S., (1997), Is there a core of practical macroeconomics that we should all believe? American Economic Review, 87(2), 240-243.
Brun-Aguerre, R., Fuertes, A. and Phylaktis, K., (2012), Exchange rate pass-through into import prices revisited: What drives it? Journal of International Money and Finance, 31(4), 818-844.
Buttner, D. and Hayo, B., (2012), EMU-related news and financial markets in the czech republic, hungary and poland. Applied Economics, 44(31), 4037-4053.
Campbell, J. Y., Lo, A. W. and MacKinlay, A. C., (1997), The Econometrics of Financial Markets, Princeton, New Jersey: Princeton University Press.
Castillo, P., Montoro, C. and Tuesta, V., (2013), An Estimated Stochastic General Equilibrium Model with Partial Dollarization: A Bayesian approach. Open Economies Review, 24(2), 217-265.
Cheng, M. Y. and Tan, H. B., (2002), Inflation in Malaysia. International Journal of Social Economics, 29(5), 411-425.
Cizkowicz, P. and Rzonca, A., (2013), Does inflation harm corporate investment? empirical evidence from OECD countries. Economics, 7(16), 1-38.
Cogley, T. and Sbordone, A. M., (2008), Trend inflation, indexation, and inflation persistence in the new keynesian phillips curve. American Economic Review, 98(5), 2101-2126.
Coibion, O. and Gorodnichenko, Y., (2011), Monetary policy, trend inflation, and the great moderation: An alternative interpretation. American Economic Review, 101(1), 341-370.
Colletaz, G. and Hurlin, C., (2006), Threshold effects in the public capital productivity: An international panel smooth transition approach. Working Paper, University of Orleans. 2006-1.
Cyrille, S. M., (2010), On the liquidity effect of monetary policy in the CEMAC countries: An empirical investigation, International Journal of Economics and Finance, 2(3), 208-221.
Estrella, A. and Mishkin, F. S., (1997), The predictive power of the term structure of interest rates in Europe and the United States: implications for the European Central Bank. European Economic Review, 41(7), 1375–1401.
Estrella, Arturo and Gikas A. Hardouvelis, (1991), The term structure as a predictor of real economic activity. Journal of Finance, 46, 555-576.
Fama, Eugene F., (1986), Term premiums and default premiums in money markets. Journal of Financial Economics, 17, 175-198.
Fisher, C. and Felmingham, B., (1998), The Australian yield curve as a leading indicator of consumption growth. Applied Financial Economics, 8(6), 627–635.
Friedman, B. M. and Kuttner, K. N., (1992), Money, income, prices and interest rates. American Economic Review, 57(3), 472-492.
Friedman, M., (1968), The role of monetary policy. American Economic Review, 58(1), 1-17.
Friedman, M., (1977), Nobel Lecture: Inflation and Unemployment. Journal of Political Economy, 85(3), 451−472.
Gachet, I., Maldonado, D. and Perez, W., (2008), Determinants of inflation in a dollarized economy: The case of Ecuador. Cuestiones Economicas, 24(1), 5-28.
Garnier, J. and Wilhelmsen, B., (2009), The natural rate of interest and the output gap in the euro area: a joint estimation. Empirical Economics, 36(2), 297-319.
Gerlach, S. and Yiu, M. S., (2004), Estimating output gaps in Asia: A cross-country study. Journal of the Japanese and International Economies, 18, 115-136.
Geske, R. and Roll, R., (1983), The fiscal and monetary linkage between stock returns and inflation. Journal of Finance, 38(1), 1-33.
Ghironi, F. and Giavazzi, F., (1998), Currency areas, international monetary regimes, and the employment-inflation tradeoff. Journal of International Economics, 45(2), 259-296.
Glocker, C., (2012), Unemployment compensation and aggregate fluctuations. International Review of Economics, 59(1), 21-39.
Gonzalez, A., Terasvirta, T. and van Dijk, D., (2005), Panel smooth transition regression models. Research Paper Series 165, Quantitative Finance Research Centre. Sydney: University of Technology

Goodman, D. E. and McMahon, W. W., (1979), Predicting inflation rates with changing oil prices. Quarterly Review of Economics and Finance, 19(2), 35-46.
Granger, G. W. J. and Terasvirta, T., (1993), Modelling nonlinear economic relationships, Oxford University Press.
Grkaynak, R. S. and Wright, J. H., (2012), Macroeconomics and the term structure. Journal of Economic Literature, 50(2), 331-367.
Hamilton, J. D. and Kim, D.H., (2002), A reexamination of the predictability of economic activity using the yield spread. Journal of Money, Credit, and Banking, 34(2), 340-360.
Hansen, B. E., (1999), Threshold effects in non-dynamic panels: estimation, testing and inference. Journal of Econometrics, 93, 345−368.
Haque, N. U. and Qayyum, A., (2006), Inflation everywhere is a monetary phenomenon: An introductory note. The Pakistan Development Review, 45(2), 179-183.
Harvey, C. R., (1988), The real term structure and consumption growth. Journal of Financial Economics, 22, 305-333.
Helder Ferreira, D. M., (2009), Output-inflation and unemployment-inflation trade-offs under inflation targeting. Journal of Economic Studies, 36(1), 66-82.
Ho, T. and Yeh, K.,(2010), Measuring monetary policy in a small open economy with managed exchange rates: The case of Taiwan. Southern Economic Journal, 76(3), 811-826.
Hooker, M. A., (2002), Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime. Journal of Money, Credit, and Banking, 34(2), 540-561.
Im, K. S., Pesaran, M. H. and Shin, Y., (2003), Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74.
Jacobs, R. L. and Jones, R. A., (1980), Price expectations in the United States: 1947-1975. American Economic Review, 70(3), 269-269.
Jondeau, E. and Bihan, H. L., (2005), Testing for the new Keynesian Phillips curve, additional international evidence. Economic Modelling, 22(3), 521-550.
Kappler, M., Reisen, H., Schularick, M. and Turkisch, E., (2013), The macroeconomic effects of large exchange rate appreciations. Open Economies Review, 24(3), 471-494.
Kemal, M. A., (2006), Is inflation in Pakistan a monetary phenomenon? Pakistan Development Review, 45, 213-220.
Kim, S. and Roubini, N., (2000), Exchange rate anomalies in industrial countries: A solution with a structural VAR approach. Journal of Monetary Economy, (45), 561-860.
Krohn, G. A. and Gruver, W. R., (2009), The complexities of the financial turmoil of 2007 and 2008. The Journal of Applied Business and Economics, 9(4), 24-49.
Lange, R. H., (2008), A decomposition of the predictive content of the term structure for output growth in Canada. Applied Economics, 40(12), 1537-1545.
Levin, A. and Lin Chu, C. J., (1992), Unit root tests in panel data: asymptotic and finite sample properties. Discussion Paper, University of California, San Diego, May.
Levin, A. and Lin Chu, C. J., (1993), Unit root tests in panel data: new results. Discussion Paper, University of California, San Diego, December.
Levin, A. Lin, C. and Chu, C. J., (2002), Unit root tests in panel data: asymptotic and finite-sample properties. Journal of Econometrics, 108(1), 1–24.
Lipsey, R. G., (1960), The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1862–1957: A further analysis. Economica, 27, 1–31.
Liu, D. and Jansen, D. W., (2011), Does a factor Phillips curve help? An evaluation of the predictive power for U.S. inflation. Empirical Economics, 40(3), 807-826.
Lucas, R., (1973), Some international evidence on output-inflation tradeoffs. American Economic Review, 63(3), 326-334.
Mallick, S. K., and Mohsin, M., (2010), On the real effects of inflation in open economies: theory and empirics. Empirical Economics, 39(3), 643-673.
Mallik, G. and Chowdhury, A., (2011), Effect of inflation uncertainty, output uncertainty and oil price on inflation and growth in Australia. Journal of Economic Studies, 38(4), 414-429.
Matheson, T. D., (2008), Phillips curve forecasting in a small open economy. Economics Letters, 98(2), 161-166.
Matziorinis, K., (2012), Is the Euro bond the answer to the Euro sovereign debt crisis? what outcome can investors expect from Europe? The Journal of Wealth Management, 14(4), 11-21.
Mazumder, S., (2011), Cost-based Phillips curve forecasts of inflation. Journal of Macroeconomics, 33(4), 553-567.
McGuire, R. A. and Willman, E. S., (1999), Textbook explanations of inflation in the 1970s. Public Finance Review, 27(1), 52-76.
Meltzer, A. H., (2006), From inflation to more inflation, disinflation, and low inflation. American Economic Review, 96(2), 185-188.
Mullineaux, D. J., (1980), Inflation expectations and money growth in the United States. American Economic Review, 70(1), 149-149.
Nobay, A. R. and Peel, D. A., (2000), Optimal monetary policy with a nonlinear Phillips curve. Economics Letters, 67(2), 159-164.
Obstfeld, M., (1998), The global capital market: benefactor or menace? Journal of Economic Perspectives, 12 (4), 9-30.
Ooi, A. and Brahmana, R. K., (2011), Dynamics linkages among money, output, interest rate and price: The case in Malaysia. International Business Research, 4(1), 145-153.
Ormerod, P., Rosewell, B. and Phelps, P., (2013), Inflation/unemployment regimes and the instability of the Phillips curve. Applied Economics, 45(12), 1519-1531.
Owen, A. L. and Palmer, B., (2012), Macroeconomic conditions and technical trading profitability in foreign exchange markets. Applied Economics Letters, 19(12), 1107-1110.
Pastor, L. and Veronesi, P., (2009), Technological revolutions and stock prices. American Economic Review, 99(4), 1451-1483.
Phelps, E. S., (1968), Money wage dynamics and labor market equilibrium. Journal of Political Economy, 76, 678–711.
Phillips, W. A., (1958), The relationship between unemployment and the rate of change of money wages 1862-1957. Economica, 34, 254-281.
Popovic, G., (2010), Inflation and unemployment: Phillips regularity in the EU. Sarajevo Business and Economics Review, 30, 370-389.
Razin, A. and Yuen, C. W., (2002), The new Keynesian Phillips curve: Closed economy versus open economy. Economics Letters, 75, 1-9.
Ribba, A., (2006), The joint dynamics of inflation, unemployment and interest rate in the United States since 1980. Empirical Economics, 31(2), 497-511.
Ribnikar, I., (2004), Exchange rate regimes and monetary arrangements. Journal of Economics and Business, 50 (2), 9-23.
Roeger, W., (2005), International oil price changes: Impact of oil prices on growth and inflation in the EU/OECD. International Economics and Economic Policy, 2(1), 15-32.
Russell, B., (2011), Non-stationary inflation and panel estimates of United States short and long-run Phillips curves. Journal of Macroeconomics, 33(3), 406-419.
Samuelson, P. A. and Solow, R. M., (1960), Analytical aspects of anti-inflation policy. American Economic Review, 50(2), 177-194.
Staudinger, S., (2002), Optimal monetary policy and the term structure of interest rates: A note. Journal of Economic Studies, 29(2), 98-108.
Stock, J. H. and Watson, M. W., (1999), Forecasting inflation. Journal of Monetary Economics, 44(2), 293-335.

Taylor, J. B., (2001), The role of the exchange rate in monetary policy rules. American Economic Review, 91(2), 263-267.
Tella, R. D., MacCulloch, R. J. and Oswald, A. J., (2001), Preferences over inflation and unemployment: Evidence from surveys of happiness. American Economic Review, 91(1), 335-341.
Wilson, B. K. and Culver, S. E., (1999), On measuring the response of real GDP growth to changes in inflation volatility. Quarterly Journal of Business and Economics, 38(4), 3-15.
Yilmazkuday, H., (2013), Inflation targeting, flexible exchange rates and inflation convergence. Applied Economics, 45(5), 593-603.
Zaman, K., Khan, M. M., Ahmad, M. and Ikram, W., (2011), Inflation, unemployment and the NAIRU in Pakistan (1975-2009). International Journal of Economics and Finance, 3(1), 245-254.
Zhou, S., (2013), Nonlinearity and stationarity of inflation rates: Evidence from the Euro-zone countries. Applied Economics, 45(7), 849-856.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2013-07-18公開。
  • 同意授權瀏覽/列印電子全文服務,於2013-07-18起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信