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系統識別號 U0002-0207201323055000
中文論文名稱 貿易開放對通貨膨脹之影響:最適國家負債率之探討
英文論文名稱 Study on the Optimal Sovereign Debt Ratio: The Effect of Trade Openness on the Inflation
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 巫垂晃
研究生英文姓名 Tsui-Huang Wu
學號 893490101
學位類別 博士
語文別 英文
口試日期 2013-06-21
論文頁數 57頁
口試委員 指導教授-聶建中
指導教授-沈中華
委員-聶建中
委員-韋伯韜
委員-陳達新
委員-莊孟翰
委員-黃然
委員-楊敏華
委員-蘇錦江
中文關鍵字 貿易開放  通貨膨脹  縱橫門檻模型 
英文關鍵字 trade openness  inflation  panel threshold model 
學科別分類
中文摘要 本論文以1996年至2010年間110個國家的樣本資料,透過Hansen(1999)的縱橫門檻模型(panel threshold model)與Li et al.(2002)的半參數平滑係數模型(semiparametric smooth-coefficient approach),檢視貿易開放程度與通貨膨脹之關係,並進一步探討國家負債在此關係中所扮演之角色。在縱橫門檻模型的估計過程中,本論文採用國際負債比率作為門檻變數。此模型的估計結果顯示,貿易開放與通貨膨脹具有負向關係,且此負向關係在不同的負債比率區間有不同的顯著性。為了檢驗縱橫門檻模型的穩定度,本論文同時利用運用半參數平滑係數模型,探索貿易開放與通貨膨脹的關係如何隨著債務水準的變動而改變之動態過程。來自半參數平滑係數模型的估計結果顯示,貿易開放與通貨膨脹兩者之間總是呈現負向關係,而此負向關係的程度將隨國家負債程度的增加而變大。
英文摘要 This dissertation uses the panel data of 110 countries for the 1996-2010 periods to explore the relationship between trade openness and inflation through panel threshold model proposed by Hansen (1999) and semiparametric smooth-coefficient approach proposed by Li et al. (2002). The role of sovereign debt in this relationship is further examined. In the estimation of the panel threshold model, this disstertation uses sovereign debt ratio as the threshold variable. The estimated results show that relationship between trade openness and inflation is negative and this relationship varies under different indebtedness regimes. To check the stability of the panel threshold model further, this disstertation also applies semiparametric smooth-coefficient approach to explore how the relationship between trade openness and inflation varies along with change in indebtedness level. The results from the semiparametric smooth-coefficient model reveal the relationship between trade openness and inflation to be always negative and that negative value increases with the increase of the indebtedness level.
論文目次 Acknowledgements Ⅱ
Chinese Abstract Ⅲ
English Abstract Ⅳ
Table of Contents Ⅱ
List of Figures Ⅳ
List of Tables Ⅳ
1 Introduction 1
1.1 Research background and purposes 1
1.2 Research structure 3
2 Literature Review 5
2.1 Sovereign debt 5
2.2 Literature review 6
3 Research Design 10
3.1 The data 10
3.2 Empirical method 10
3.2.1 Panel data unit root test 10
3.2.2 Panel threshold model 13
3.2.3 Semiparametric smooth-coefficient approach 18
4 Empirical Results 21
4.1 Descriptive statistics analysis 21
4.2 Panel unit root test 30
4.3 Empirical analysis 31
4.3.1 Empirical analysis of threshold panel model 31
4.3.2 Empirical analysis of semiparametric smooth-coefficient model 46
5 Conclusions 49
References 51

List of Figures
Figure 4.1 The 3D scatterplot of inflation, openness and debt ............................ 29
Figure 4.2 Time series and scatter graphs of Fiji ................................................. 37
Figure 4.3 Time series and scatter graphs of Albania .......................................... 38
Figure 4.4 Time series and scatter graphs of Guatemala ..................................... 39
Figure 4.5 Time series and scatter graphs of Turkey ........................................... 40
Figure 4.6 Time series and scatter graphs of Chile .............................................. 41
Figure 4.7 Time series and scatter graphs of Georgia ......................................... 42
Figure 4.8 Time series and scatter graphs of Congo ............................................ 43
Figure 4.9 Time series and scatter graphs of Sierra Leone .................................. 44
Figure 4.10 Time series and scatter graphs of Nicaragua ...................................... 45
Figure 4.11 Estimated results of the semiparametric smooth-coefficien ............... 48

List of Tables
Table 4.1 Descriptive statistics ........................................................................... 23
Table 4.2 Panel unit root tests ............................................................................ 30
Table 4.3 Test for thresholds effects ................................................................... 31
Table 4.4 Estimation of double thresholds model .............................................. 33
Table 4.5 The semiparametric smooth-coefficient results ................................. 46
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