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DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 林建甫(CHIEN FU LIN) | |
dc.contributor.advisor | 林建甫(CHIEN FU LIN | clin@ntu.edu.tw | ), | |
dc.contributor.author | Yi-Wen Liao | en |
dc.contributor.author | 廖逸文 | zh_TW |
dc.date.accessioned | 2023-03-19T23:26:49Z | - |
dc.date.copyright | 2022-09-26 | |
dc.date.issued | 2022 | |
dc.date.submitted | 2022-09-23 | |
dc.identifier.citation | 吳靖東 (2021). '廠商直接投資之匯率問題研究: 台灣與東南亞國協貨幣之長期關 係.' 東吳經濟商學學報(103): 67-82. 周明智與聶建中 (2005). '區間測試法探討總體經濟與出國旅遊之影響關係.' 臺大管理論叢 16(1): 1-20. 洪瑞成與張文一 (2016). '國際商品指數與台灣物價指數之關聯性: 以 GSCI 與 CRB 商品為例.' 績效與策略研究 13(1): 1-19. 孫而音、劉淑琴與陸盈君 (2013). '實質原物料價格及實質匯率對經濟成長影響之探討.' 商管科技季刊 14(3): 333-356. Ashley, R. and R. J. Verbrugge (2008). 'Frequency dependence in regression model coefficients: an alternative approach for modeling nonlinear dynamic relationships in time series.' Econometric Reviews 28(1-3): 4-20. Breusch, T. S. and A. R. Pagan (1980). 'The Lagrange multiplier test and its applications to model specification in econometrics.' The Review of Economic Studies 47(1): 239-253. Blomberg, S. B. and E. S. Harris (1995). 'The commodity-consumer price connection:fact or fable?' Economic Policy Review 1(3). Borio, C. E. and A. J. Filardo (2007). 'Globalisation and inflation: new cross-country evidence on the global determinants of domestic inflation.' BIS Working Paper No.277 Browne, F. and D. Cronin (2010). 'Commodity prices, money and inflation.' Journal of Economics and Business 62(4): 331-345. Cecchetti, S. G. and R. Moessner (2008). 'Commodity prices and inflation dynamics.' BIS Quarterly Review: 55-66. Ciner, C. (2011). 'Commodity prices and inflation: testing in the frequency domain.' Research in International Business and Finance 25(3): 229-237. Deaton, A. (1977). 'Involuntary saving through unanticipated inflation.' The American Economic Review 67(5): 899-910. Gordon et al. (1977). 'Can the inflation of the 1970s be explained?' Brookings Papers on Economic Activity 1977(1): 253-279. Gujarati, D. N. and Porter, D. C. (2009) Basic Econometrics. 5th Edition, McGraw Hill lnc., New York. Huda, F. A. (2022). 'The use of simultaneous equation model (SEM) in understanding the dynamic relationships between economic openness and real disposable personal income on inflation: the Indonesian experience.' Muslim Business and Economic Review 1(1): 87-108. Juster, F. T., Wachtel, P., Hymans, S., Duesenberry, J (1972). 'Inflation and the Consumer.' Brookings Papers on Economic Activity 1972(1): 71-121. Ko, S.-H. and H.-L. Wu (2011). 'A study on the dynamic relationships between macroeconomic variables and stock market in Taiwan-an application of a vector error correction model.' 文大商管學報 16(2): 21-40. Kyrtsou, C. and W. C. Labys (2006). 'Evidence for chaotic dependence between US inflation and commodity prices.' Journal of Macroeconomics 28(1): 256-266. Lee, B. S. (2010). 'Stock returns and inflation revisited: an evaluation of the inflation illusion hypothesis.' Journal of Banking & Finance 34(6): 1257-1273.7 Nkoro, E. and A. K. Uko (2016). 'Autoregressive distributed lag (ARDL) cointegration technique: application and interpretation.' Journal of Statistical and Econometric methods 5(4): 63-91. Pesaran, M. H. and Y. Shin (1998). 'An autoregressive distributed lag modelling approach to cointegration analysis.' In Econometrics and Economic Theory in the 20th Century. The Ragnar Frisch Centennial Symposium (S. Strom, ed.), 371-413.Cambridge University Press, Cambridge. Pesaran, M. H.,Y. Shin and Smith R. J. (2001). 'Bounds testing approaches to the analysis of level relationships.' Journal of applied econometrics 16(3): 289-326. Samuelson, P. A. and R. M. Solow (1960). 'Analytical aspects of anti-inflation policy.' The American Economic Review 50(2): 177-194. Siegel, J. J. (1979). 'Inflation-induced distortions in government and private saving statistics.' The Review of Economics and Statistics: 83-90. Smith, J. K. (2004). 'Weighted median inflation: is this core inflation?' Journal of Money, Credit and Banking: 253-263. Smith, J. K. (2006). 'PCE inflation and core inflation.' Manuscript, Department of Economics & Business, Lafayette College. von Ungern-Sternberg, T. (1981). 'Inflation and savings: international evidence on inflation-induced income losses.' The Economic Journal 91(364): 961-976. Verheyen, F. (2010). 'Monetary policy, commodity prices and inflation-empirical evidence from the US.' Commodity Prices and Inflation-Empirical Evidence from the US (November, 19 2010). Wooldridge, J. M. (2015). Introductory econometrics: A modern approach, Cengage learning. Wald, A. (1943). 'Tests of statistical hypotheses concerning several parameters when the number of observations is large.' Transactions of the American Mathematical society 54(3): 426-482. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/85862 | - |
dc.description.abstract | 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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2023-03-19T23:26:49Z (GMT). No. of bitstreams: 1 U0001-2309202211373100.pdf: 16015796 bytes, checksum: 9695a5f8f9588639bcb52e0db563aa6c (MD5) Previous issue date: 2022 | en |
dc.description.tableofcontents | 目錄 口試委員會審定書 ……………………………………………………… i 誌謝 ……………………………………………………………………… ii 中文摘要 …………………………………………………………………iii 英文摘要 …………………………………………………………………iv 目錄 ………………………………………………………………………vi 表目錄 …………………………………………………………………ix 圖目錄 …………………………………………………………………xi 第一章 緒論 ……………………………………………………………1 1-1研究背景 …………………………………………………………5 1-2研究動機和目的 …………………………………………………8 1-3本文架構 …………………………………………………………9 第二章 文獻回顧與探討 ……………………………………………11 2-1通膨與消費所得 ……………………………………………11 2-2通膨與薪資儲蓄 ……………………………………………12 2-3通膨與原物料價格 ……………………………………………13 2-4通膨與股市 ………………………………………………….…15 第三章 實證研究理論與方法 ……………………………………… 16 3-1 ADF檢定 ………………………………………………………18 3-2 PP檢定 …………………………………………………………21 3-3 BIC資訊準則 …………………………………………………23 3-4 ARDL模型 ……………………………………………………24 3-5 Cusum Test ………………………………………………………28 3-6 Causality Test……………………………………………………29 第四章 實證結果與分析 ……………………………………………30 4-1 資料來源與各變數說明 ………………………………………30 4-2 資料分析流程 …………………………………………………36 4-3 變數之單根檢定 ………………………………………………38 4-4 實證模型分析結果:ARDL模型之長期均衡關係 …………43 4-5 LM-Test和Bound Test ………………………………………45 4-6 實證模型分析結果:ECM誤差修正模型 …………………47 4-7 穩健性分析結果 ………………………………………………50 4-8 Causality Test分析結果 ……………………………………56 4-9核心通膨與通膨分析結果比較……………………..…………63 第五章 結論與建議 ...…………………………………………………66 參考文獻 ………………………………………………………………70 附錄 ……………………………………………………………………73 | |
dc.language.iso | zh-TW | |
dc.title | 總體經濟變數對核心通膨的影響:ARDL模型分析 | zh_TW |
dc.title | The Impact of Several Macroeconomics Variables on Core Inflation Analysis by An ARDL Model | en |
dc.type | Thesis | |
dc.date.schoolyear | 110-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 吳中書(CHUNG-SHU WU),許振明(CHEN-MIN HSU),廖仁哲(JEN-CHE LIAO) | |
dc.subject.keyword | 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, | zh_TW |
dc.subject.keyword | 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, | en |
dc.relation.page | 78 | |
dc.identifier.doi | 10.6342/NTU202203884 | |
dc.rights.note | 同意授權(全球公開) | |
dc.date.accepted | 2022-09-26 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
dc.date.embargo-lift | 2022-09-26 | - |
顯示於系所單位: | 經濟學系 |
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