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標題: | 總體經濟變數對核心通膨的影響:ARDL模型分析 The Impact of Several Macroeconomics Variables on Core Inflation Analysis by An ARDL Model |
作者: | Yi-Wen Liao 廖逸文 |
指導教授: | 林建甫(CHIEN FU LIN) 林建甫(CHIEN FU LIN | clin@ntu.edu.tw | ), |
關鍵字: | 核心消費者物價指數年增率,實質個人可支配所得年增率,實質個人消費年增率,零售銷售年增率,受僱生產員工(非監督員工者)的平均時薪年增率,儲蓄率和ISM原物料價格指數年增率,標普500指數,ARDL模型,誤差修正模型, Core inflation,Annual growth rate of real personal disposable income,Annual growth rate of real personal consumption,Annual growth rate of retail sales,Annual growth rate of the average hourly earnings of production and nonsupervisory employees,Savings rate,Annual growth rate of ISM commodity price index, S&P 500,ARDL model,Cointegration test,Error correction model, |
出版年 : | 2022 |
學位: | 碩士 |
摘要: | 通膨是影響經濟成長的重要因素,尤其核心通膨更攸關消費者日常對於物價的真實感受,貨幣學派定義通膨為過多貨幣追逐少量商品因而多數研究著墨於貨幣供給對於通膨的影響,本文主要以凱因斯學派所強調的需求面為切入點,聚焦於所得與消費等相關變數對於美國核心通膨的影響。分析期間為1993年1月至2022年5月近30年美國總體經濟數據月資料為背景,選擇解釋變數以消費所得相關的實質個人可支配所得年增率、實質個人消費年增率、零售銷售年增率為主,其他與薪資儲蓄相關的受僱生產員工(非監督員工者)的平均時薪年增率、儲蓄率以及影響生產者成本的ISM原物料價格指數年增率與股市相關的標普500指數作為模型穩健性測試之控制變數。本文建立ARDL模型為主要分析工具,以共整合分析法導出變數間長期均衡關係以及短期動態調整的部分,其中誤差修正項係數顯著為負,可使短期偏離往長期均衡修正。實質個人消費年增率對核心通膨率不論在長期均衡關係或是短期變動都有很好的解釋力,與核心通膨有正向顯著的因果互饋關係,實質個人可支配所得年增率與核心通膨有負向顯著的因果互饋關係。零售銷售年增率對核心通膨則有正向單向因果關係,ISM原物料價格指數年增率對核心通膨則有負向單向因果關係,這部分結論與通膨相異,其他變數對核心通膨則無顯著的影響。 Inflation is an important factor affecting economic growth. Especially core inflation is more relevant to consumers' real feelings on prices. While the Monetarism defines inflation as “too much money chasing too few goods”, that has made most studies to focus on the impact of money supply on inflation, this paper is based on the demand side of commodities in the Keynesian theory as an entry point and emphasizes influences by such different variables as income and consumption on core inflation in the U.S.A. The analysis period is from January 1993 to May 2022, with reference to the monthly data of the U.S. macroeconomic data for the past 30 years. Selected independent variables mainly consist of the annual growth rates of real personal disposable income, real personal consumption and retail sales, with 3 of them all consumption and income-related. Control variables for model robustness tests are earnings and savings-related, including the annual growth rate of average hourly earnings of production and nonsupervisory employees, savings rate. The annual growth rate of ISM commodity price index has impact on producer costs and the S&P 500 index has correlation with stock market.The ARDL model is used as the main analytical tool in my research, and cointegration analysis method is used to derive the long-term equilibrium relationship between variables and the short-term dynamic adjustment. The coefficient of the error correction term is significantly negative, allowing to correct the short-term deviation to the long-term equilibrium. The annual growth rate of real personal consumption provides solid explanation for core inflation in both long-term equilibrium relationship and short-term changes. A positive and significant bidirectional causality exists between annual growth rate of real personal consumption and core inflation. Also a negative and significant bidirectional causality exists between annual growth rate of real disposable income and core inflation. The annual growth rate of retail sales has a positive unidirectional causality on core inflation. The annual growth rate of ISM commodity price index has a negative unidirectional causality on core inflation which is the opposite of inflation. The other variables have no significant effect on core inflation. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/85862 |
DOI: | 10.6342/NTU202203884 |
全文授權: | 同意授權(全球公開) |
電子全文公開日期: | 2022-09-26 |
顯示於系所單位: | 經濟學系 |
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U0001-2309202211373100.pdf | 15.64 MB | Adobe PDF | 檢視/開啟 |
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