系統識別號 | U0002-0207201303453400 |
---|---|
DOI | 10.6846/TKU.2013.00041 |
論文名稱(中文) | 應用縱橫平滑轉換模型探討政府的重要性 |
論文名稱(英文) | Why Does Government Matter? The Application of PSTR Model |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系博士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 101 |
學期 | 2 |
出版年 | 102 |
研究生(中文) | 范譯仁 |
研究生(英文) | Yi-Jen Fan |
學號 | 895530094 |
學位類別 | 博士 |
語言別 | 英文 |
第二語言別 | |
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 |
關鍵字(中) |
政策 菲力普曲線 通貨膨脹 縱橫平滑轉換模型 |
關鍵字(英) |
Government Policy Phillips Curve Inflation Rate PSTR Model |
第三語言關鍵字 | |
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%. |
第三語言摘要 | |
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 |
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