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國內及國外產出缺口隨著分量不同對通貨膨脹率影響效果的趨勢,與5.1 小節利 用Lin (2010)兩階段配適法所得到的結果相同,都支持Ihrig et al. (2010)的全球 化假說。 唯一不同在於利用控制函數法國外產出缺口的係數只有在低分量時才顯著, 而使用兩階段配適法則 0.1–0.8 分量皆為顯著, 因此國外產出缺口對通貨膨脹率的 影響隨著分量的上升會下降在不同的計量方法下是確立的, 而使用兩階段配適法又 更能捕捉到這個影響效果。
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表3:動態追蹤資料分量迴歸分析季資料(1980Q1–2013Q4) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.485***0.867***0.971***1.234***1.423***1.936***2.183***2.383***2.852***3.439*** (0.010)(0.203)(0.270)(0.291)(0.292)(0.205)(0.064)(0.147)(0.224)(1.068) 落後一期通貨膨脹率0.485***0.1790.269*-0.136-0.353-0.341-0.602*-0.632**-0.927***-1.165** (0.010)(0.131)(0.142)(0.211)(0.253)(0.291)(0.329)(0.278)(0.271)(0.565) 國內產出缺口-20.8755.725**4.123**3.339*2.009*0.4960.7770.573-0.947-8.643 (198.436)(2.304)(1.924)(1.800)(1.207)(0.781)(0.747)(0.902)(1.588)(8.148) 國外產出缺口14.63217.447***14.129***13.222***14.899***9.729**9.192***7.710***6.380**9.235 (504.077)(3.644)(3.468)(3.931)(4.505)(3.828)(2.793)(2.646)(2.818)(7.577) 實質匯率指數-6.54×10−53.64×10−67.15×10−7-2.44×10−6-3.85×10−6-2.62×10−6-4.11×10−7-4.13×10−6-3.46×10−6-9.95×10−6 (3.23×10−3)(1.84×10−4)(2.03×10−4)(2.00×10−4)(1.71×10−4)(1.09×10−4)(5.70×10−5)(6.46×10−5)(9.58×10−5)(2.70×10−4) 註1:樣本期間為1980–2013的季資料,國家數共有45個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表4:動態追蹤資料分量迴歸分析年資料(1970–2013) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 落後一期通貨膨脹率-0.189***0.0520.0520.0510.0510.0510.0510.0510.0500.048 (0.023)(0.088)(0.087)(0.088)(0.09)(0.091)(0.094)(0.108)(0.121)(0.126) 國內產出缺口-250.5733.2390.5470.091-0.127-0.315-0.446-2.004-3.338-8.513 (155.683)(4.934)(4.105)(5.122)(5.476)(5.328)(4.869)(5.314)(6.779)(13.089) 國外產出缺口10.19828.569***18.183***17.369***16.753***16.569***15.863***10.315**12.643*0.445 (328.344)(9.053)(5.376)(4.744)(4.704)(4.708)(4.584)(5.211)(7.647)(26.448) ∆實質匯率指數-1.50×10−41.11×10−5-1.48×10−5-2.01×10−5-2.43×10−5-2.78×10−5-3.32×10−5-4.77×10−5-6.79×10−5-1.27×10−4 (2.11×10−3)(1.02×10−3)(5.19×10−4)(3.75×10−4)(2.74×10−4)(3.52×10−4)(9.74×10−4)(1.87×10−3)(4.95×10−3)(1.55×10−2) 註1:樣本期間為1970–2013的年資料,國家數共有56個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表5:動態追蹤資料分量迴歸分析季資料-加入石油價格指數 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.486***0.867***0.971***1.233***1.400***1.935***2.176***2.383***2.851***3.443*** (0.01)(0.20)(0.26)(0.30)(0.29)(0.21)(0.07)(0.15)(0.22)(1.08) 落後一期通貨膨脹率0.480***0.1800.269**-0.136-0.353-0.340-0.601*-0.632**-0.927***-1.183** (0.01)(0.13)(0.13)(0.21)(0.26)(0.31)(0.35)(0.30)(0.28)(0.58) 國內產出缺口-42.6576.672***4.011*3.445*2.432**1.1180.9130.658-0.978-9.205 (208.06)(2.41)(2.08)(1.76)(1.18)(0.80)(0.78)(0.92)(1.57)(7.75) 國外產出缺口31.89918.045***16.108***17.721***18.711***12.183**11.038***7.858**4.0846.949 (618.96)(3.92)(4.21)(5.05)(5.94)(5.13)(3.57)(3.35)(3.15)(8.73) 實質匯率指數1.35×10−47.45×10−62.24×10−6-2.41×10−7-1.52×10−61.00×10−71.77×10−6-2.61×10−6-3.62×10−6-1.04×10−5 (3.54×10−3)(1.84×10−4)(2.03×10−4)(2.06×10−4)(1.81×10−4)(1.11×10−4)(5.96×10−5)(7.52×10−5)(1.26×10−4)(2.68×10−4) 石油價格指數5.59×10−2-4.37×10−3-5.45×10−3-5.78×10−3-6.29×10−3-3.62×10−3-1.65×10−33.92×10−42.46×10−33.86×10−3 (3.90×10−1)(2.01×10−3)(2.04×10−3)(2.28×10−3)(2.46×10−3)(2.01×10−3)(9.36×10−4)(1.12×10−3)(1.19×10−3)(3.94×10−3) 註1:樣本期間為1980–2013的季資料,國家數共有45個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表6:動態追蹤資料分量迴歸分析季資料-使用不同工具變數(落後一期及兩期差分) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.486***1.020***1.045***1.242***1.440***1.980***2.184***2.322***2.804***3.267*** (0.01)(0.23)(0.20)(0.26)(0.30)(0.21)(0.13)(0.18)(0.23)(1.16) 落後一期通貨膨脹率0.485***-0.064*-0.102***-0.138***-0.222***-0.258***-0.272***-0.290***-0.354***-0.558*** (0.01)(0.04)(0.03)(0.05)(0.07)(0.06)(0.05)(0.06)(0.07)(0.14) 國內產出缺口-20.8755.186**4.640**3.911**2.222*0.5730.7830.856-0.890-6.974 (198.44)(2.30)(1.85)(1.90)(1.19)(0.72)(0.78)(0.91)(1.56)(8.36) 國外產出缺口14.63319.801***16.090***13.567***14.801***10.473***8.590***7.871***5.792**10.126 (504.08)(4.01)(3.42)(3.49)(3.70)(2.83)(1.68)(2.12)(2.91)(9.78) 實質匯率指數-6.54×10−53.67×10−67.91×10−7-1.77×10−6-3.34×10−6-1.38×10−63.70×10−8-3.14×10−6-3.45×10−6-8.31×10−6 (3.23×10−3)(1.84×10−4)(1.98×10−4)(2.00×10−4)(1.73×10−4)(1.08×10−4)(7.47×10−5)(7.63×10−5)(9.92×10−5)(2.21×10−4) 註1:樣本期間為1980–2013的季資料,國家數共有45個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表7:動態追蹤資料分量迴歸分析季資料-使用不同工具變數(落後一期、兩期及三期差分) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.486***1.012***1.025***1.197***1.369***1.843***2.087***2.283***2.756***3.178*** (0.01)(0.24)(0.22)(0.28)(0.33)(0.24)(0.18)(0.20)(0.23)(1.00) 落後一期通貨膨脹率0.485***-0.037**-0.051***-0.057***-0.063**-0.079***-0.106***-0.129***-0.170***-0.242 (0.01)(0.02)(0.02)(0.02)(0.02)(0.03)(0.03)(0.03)(0.03)(0.24) 國內產出缺口-20.8754.123*4.557**3.690**1.6690.4750.3750.782-0.924-7.192 (198.44)(2.22)(1.88)(1.76)(1.24)(0.81)(0.76)(0.86)(1.29)(6.87) 國外產出缺口14.63319.410***15.050***13.640***13.133***9.861***8.174***6.775***4.731***9.556 (504.08)(3.75)(3.21)(2.97)(2.98)(2.31)(1.73)(1.94)(2.93)(7.27) 實質匯率指數-6.54×10−51.90×10−6-1.53×10−6-4.28×10−6-6.23×10−6-5.05×10−6-3.61×10−6-6.07×10−6-6.33×10−6-1.25×10−5 (3.23×10−3)(1.91×10−4)(2.09×10−4)(2.15×10−4)(1.86×10−4)(1.30×10−4)(1.03×10−4)(9.19×10−5)(1.03×10−4)(1.99×10−4) 註1:樣本期間為1980–2013的季資料,國家數共有45個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表8:動態追蹤資料分量迴歸分析季資料-使用不同工具變數(落後一期及兩期) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.486***0.897***1.009***1.146***1.331***1.842***2.073***2.223***2.685***3.143*** (0.01)(0.20)(0.26)(0.29)(0.29)(0.19)(0.12)(0.15)(0.21)(1.08) 落後一期通貨膨脹率0.485***0.1020.185-0.028-0.035-0.109-0.170-0.176-0.246-0.541** (0.01)(0.15)(0.11)(0.19)(0.27)(0.30)(0.28)(0.25)(0.24)(0.25) 國內產出缺口-20.8755.539**4.504**4.068**2.045*0.4770.4990.889-0.733-7.357 (198.44)(2.23)(1.95)(1.88)(1.17)(0.70)(0.75)(0.89)(1.39)(7.76) 國外產出缺口14.63319.105***13.903***13.615***13.410***11.034***9.281***7.728***5.985*10.550 (504.08)(3.99)(3.80)(3.98)(4.03)(3.79)(2.89)(2.78)(3.25)(9.10) 實質匯率指數-6.54×10−53.23×10−6-7.60×10−8-2.83×10−6-4.69×10−6-3.06×10−6-1.21×10−6-4.10×10−6-4.39×10−6-9.43×10−6 (3.23×10−3)(1.93×10−4)(2.12×10−4)(2.10×10−4)(1.79×10−4)(1.22×10−4)(7.72×10−5)(7.91×10−5)(1.06×10−4)(2.70×10−4) 註1:樣本期間為1980–2013的季資料,國家數共有45個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表9:動態追蹤資料分量迴歸分析年資料-使用不同權重公式(考量貿易進出口) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 落後一期通貨膨脹率0.042**0.0520.0520.0510.0510.0510.0510.0510.0500.048 (0.02)(0.08)(0.09)(0.09)(0.09)(0.09)(0.10)(0.11)(0.13)(0.15) 國內產出缺口-319.488**2.8180.370-0.112-0.376-0.477-0.696-2.182-3.817-9.594 (160.21)(5.80)(4.24)(4.94)(5.20)(5.15)(4.92)(5.16)(7.02)(12.59) 國外產出缺口-13.51325.370***17.497***17.232***17.241***16.699***15.267***12.098**7.645-4.176 (212.30)(9.46)(5.94)(5.31)(5.22)(5.22)(5.54)(6.10)(7.48)(22.06) ∆實質匯率指數-3.79×10−4-1.40×10−4-3.04×10−65.43×10−55.69×10−59.92×10−51.45×10−42.44×10−43.87×10−48.13×10−4 (2.78×10−3)(1.44×10−3)(1.30×10−3)(1.27×10−3)(1.58×10−3)(2.50×10−3)(3.70×10−3)(5.79×10−3)(1.11×10−2)(2.29×10−2) 註1:樣本期間為197–2013的年資料,國家數共有56個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表10:動態追蹤資料分量迴歸分析年資料-使用不同權重公式(僅考量貿易進口) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 落後一期通貨膨脹率-0.189***0.0520.0520.0510.0510.0510.0510.0510.0500.048 (0.02)(0.09)(0.09)(0.09)(0.09)(0.09)(0.09)(0.11)(0.12)(0.13) 國內產出缺口-262.199*3.1330.5600.077-0.296-0.347-0.627-2.228-3.845-9.815 (155.50)(5.62)(4.06)(4.75)(5.06)(5.46)(5.04)(5.20)(6.93)(12.94) 國外產出缺口92.48924.865***16.308***14.708***14.251***13.806***12.851***7.8783.335-11.424 (243.47)(7.10)(4.31)(4.12)(4.09)(4.14)(4.57)(5.15)(6.48)(18.46) ∆實質匯率指數-2.58×10−42.22×10−5-3.45×10−6-1.11×10−5-1.65×10−5-2.17×10−5-2.91×10−5-9.66×10−7-3.49×10−5-1.28×10−4 (2.09×10−3)(1.83×10−3)(1.38×10−3)(1.04×10−3)(1.37×10−3)(2.32×10−3)(3.42×10−3)(6.04×10−3)(1.14×10−2)(2.47×10−2) 註1:樣本期間為1970–2013的年資料,國家數共有56個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表11:動態追蹤資料分量迴歸分析年資料-使用不同權重公式(僅考量貿易出口) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 落後一期通貨膨脹率0.085***0.0520.0520.0510.0510.0510.0510.0510.0500.048 (0.02)(0.08)(0.08)(0.09)(0.09)(0.09)(0.09)(0.11)(0.12)(0.13) 國內產出缺口-338.067**2.8010.4880.086-0.130-0.102-0.222-1.541-3.212-8.421 (158.66)(5.28)(4.63)(5.22)(5.38)(4.97)(4.77)(5.11)(6.71)(11.73) 國外產出缺口16.47517.615**12.184*12.680*12.986*13.420*13.122*11.0308.6990.615 (206.69)(8.47)(6.74)(6.97)(6.83)(6.87)(7.21)(7.95)(9.13)(20.58) ∆實質匯率指數-2.40×10−3-4.27×10−53.85×10−56.15×10−57.64×10−59.13×10−51.12×10−41.62×10−42.37×10−44.42×10−4 (2.80×10−3)(1.08×10−3)(9.06×10−4)(8.48×10−4)(9.99×10−4)(1.09×10−3)(1.47×10−3)(2.15×10−3)(4.12×10−3)(9.07×10−3) 註1:樣本期間為1970–2013的年資料,國家數共有56個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表12:動態追蹤資料分量迴歸分析季資料-OECD國家 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.542***0.829***0.976***1.091***1.160***1.205***1.271***1.342***1.451***1.715*** (0.01)(0.07)(0.05)(0.05)(0.04)(0.03)(0.03)(0.03)(0.05)(0.10) 落後一期通貨膨脹率0.540***0.298-0.298-0.416-0.353-0.365-0.670-0.853-1.200*-1.344** (0.01)(0.42)(0.25)(0.27)(0.33)(0.41)(0.47)(0.59)(0.65)(0.55) 國內產出缺口-2.2215.239**4.480***1.5360.9940.0710.145-0.534-2.215-8.999*** (198.44)(2.25)(1.71)(1.60)(1.19)(1.15)(0.80)(1.25)(1.80)(3.17) 國外產出缺口-9.14310.703***9.454***11.092***10.609***10.477***10.214***12.225***14.218***16.404*** (504.08)(3.60)(2.49)(2.66)(2.67)(2.57)(2.48)(4.00)(5.17)(5.15) 實質匯率指數1.36×10−43.22×10−62.40×10−65.69×10−7-1.14×10−6-2.69×10−6-2.97×10−6-5.14×10−6-8.35×10−6-1.61×10−5 (3.23×10−3)(6.29×10−5)(5.55×10−5)(6.16×10−5)(5.30×10−5)(4.98×10−5)(4.11×10−5)(4.35×10−5)(4.72×10−5)(6.05×10−5) 註1:樣本期間為1980–2013的季資料,國家數共有31個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表13:動態追蹤資料分量迴歸分析季資料-非OECD國家 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.484***0.763***0.879***1.234***1.307***1.709***2.233***2.494***2.998***4.367*** (0.02)(0.16)(0.23)(0.27)(0.32)(0.31)(0.12)(0.19)(0.25)(1.32) 落後一期通貨膨脹率0.482***0.361*0.177-0.116-0.227-0.477-0.661*-0.762***-1.005***-1.820** (0.02)(0.15)(0.16)(0.17)(0.23)(0.31)(0.36)(0.29)(0.25)(0.75) 國內產出缺口-26.4387.3033.9423.2902.1870.4840.6620.765-0.178-15.982 (453.49)(5.05)(3.49)(2.56)(2.00)(1.73)(1.53)(2.13)(3.66)(11.32) 國外產出缺口-24.66517.121*15.191*17.966**18.042**15.9778.9283.0829.1681.095 (1533.71)(8.91)(8.05)(7.56)(8.16)(10.38)(7.11)(6.20)(6.64)(17.40) 實質匯率指數1.30×10−47.96×10−47.31×10−45.45×10−45.02×10−42.99×10−42.71×10−5-1.08×10−4-3.73×10−4-1.10×10−3 (8.90×10−3)(1.25×10−2)(1.20×10−2)(1.18×10−2)(1.20×10−2)(1.14×10−2)(8.18×10−3)(7.66×10−3)(8.59×10−3)(1.67×10−2) 註1:樣本期間為1980–2013的季資料,國家數共有14個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表14:動態追蹤資料分量迴歸分析季資料-已開發國家 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.602***0.2770.164-0.0300.0050.0370.0840.0630.0980.202 (0.01)(0.25)(0.12)(0.10)(0.08)(0.11)(0.16)(0.20)(0.25)(0.29) 落後一期通貨膨脹率0.495***1.045***1.099***1.246***1.304***1.346***1.382v1.392***1.448***1.532*** (0.01)(0.06)(0.07)(0.07)(0.05)(0.03)(0.03)(0.04)(0.06)(0.08) 國內產出缺口-12.8284.692**3.644***2.888**2.193**1.5961.6161.765*2.862**2.513* (9.74)(2.06)(1.29)(1.24)(1.10)(1.10)(1.10)(1.02)(1.31)(1.50) 國外產出缺口22.28515.257***10.388***12.023***11.399***10.522***10.124***8.974***7.677***6.431* (19.38)(4.09)(2.06)(1.87)(1.71)(1.46)(1.57)(2.39)(2.67)(3.29) 實質匯率指數1.94×10−62.28×10−62.66×10−61.57×10−6-5.10×10−7-9.29×10−7-9.60×10−7-2.48×10−6-5.18×10−6-9.39×10−6 (1.70×10−4)(4.46×10−5)(4.65×10−5)(4.53×10−5)(5.07×10−5)(5.19×10−5)(4.61×10−5)(4.73×10−5)(4.46×10−5)(5.46×10−5) 註1:樣本期間為1980–2013的季資料,國家數共有30個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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表15:動態追蹤資料分量迴歸分析年資料-不同時期(1980–2013) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 落後一期通貨膨脹率-0.191***0.0320.0240.0220.0210.0190.0180.0170.0240.042 (0.03)(0.09)(0.09)(0.08)(0.08)(0.07)(0.07)(0.07)(0.08)(0.08) 國內產出缺口-523.223**4.7802.5522.0001.8731.6381.4710.786-1.061-6.896 (246.65)(4.28)(3.81)(4.30)(4.59)(4.75)(5.10)(5.68)(9.97)(21.72) 國外產出缺口150.32030.663***22.071***20.656***20.402***20.436***19.892***18.360***14.611**3.900 (414.80)(6.74)(5.35)(4.72)(4.82)(5.04)(5.13)(6.12)(7.30)(22.63) ∆實質匯率指數-1.39×10−42.26×10−51.19×10−6-6.23×10−6-1.04×10−5-1.43×10−5-1.90×10−5-2.81×10−5-4.96×10−5-1.09×10−4 (2.26×10−3)(1.14×10−3)(1.70×10−3)(1.95×10−3)(2.35×10−3)(2.71×10−3)(3.35×10−3)(4.37×10−3)(5.69×10−3)(6.76×10−3) 註1:樣本期間為1980–2013的年資料。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴歸係數之變異數使 用拔靴抽樣法重複抽取1000次做估計。
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表16:動態追蹤資料分量迴歸分析年資料-不同時期(1990–2013) 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 落後一期通貨膨脹率0.185***0.0300.0260.0240.0230.0110.0110.0130.0150.006 (0.03)(0.14)(0.11)(0.08)(0.07)(0.06)(0.06)(0.06)(0.06)(0.08) 國內產出缺口4.4306.9115.7185.3665.0775.2095.1045.1144.4500.921 (246.65)(5.15)(3.79)(3.79)(4.09)(4.07)(4.71)(5.76)(9.86)(28.42) 國外產出缺口73.11922.380***17.484***17.519***17.380***18.098***18.185***18.736***18.854**15.197 (414.80)(4.34)(3.95)(3.81)(3.99)(4.21)(4.43)(4.99)(7.72)(15.38) ∆實質匯率指數-2.44×10−51.46×10−52.46×10−6-1.60×10−6-4.95×10−6-7.17×10−6-1.02×10−5-1.42×10−5-2.19×10−5-5.89×10−5 (2.36×10−3)(8.30×10−4)(9.22×10−4)(9.31×10−4)(1.04×10−3)(1.12×10−3)(1.17×10−3)(1.36×10−3)(2.13×10−3)(4.37×10−3) 註1:樣本期間為1990–2013的年資料。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴歸係數之變異數使 用拔靴抽樣法重複抽取1000次做估計。
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表17:動態追蹤資料分量迴歸分析季資料-使用控制函數法 被解釋變數:通貨膨脹率 分量 DGMM0.10.20.30.40.50.60.70.80.9 預期通貨膨脹率0.485***0.139-0.113-0.650-0.201-0.428-0.325-0.0480.1282.211* (0.010)(0.29)(0.39)(0.48)(0.42)(0.44)(0.45)(0.48)(0.67)(1.34) 落後一期通貨膨脹率0.485***0.737**0.928***1.422***1.231***1.384***1.323***1.116***1.126*-0.511 (0.010)(0.30)(0.32)(0.31)(0.30)(0.36)(0.39)(0.42)(0.57)(1.13) 國內產出缺口-20.8754.615**3.117*1.751-0.234-0.391-0.260-0.931*-1.531-5.711 (198.436)(2.08)(1.86)(1.23)(0.73)(0.43)(0.32)(0.48)(1.02)(4.23) 國外產出缺口14.63212.735***10.156***6.5462.1371.8330.7690.339-5.302-10.736 (504.077)(3.90)(3.78)(4.40)(2.98)(1.42)(0.79)(1.83)(3.32)(9.59) 實質匯率指數-6.54×10−53.32×10−62.01×10−7-2.04×10−6-1.44×10−6-1.55×10−6-2.40×10−6-2.57×10−6-3.87×10−6-6.79×10−6 (3.23×10−3)(1.18×10−4)(1.25×10−4)(1.15×10−4)(8.39×10−5)(4.58×10−5)(2.60×10−5)(4.32×10−5)(8.36×10−5)(1.60×10−4) 註1:樣本期間為1980–2013的季資料,國家數共有45個。括號內代表標準誤。註2:*,**,***之係數分別代表該係數在顯著水準0.1,0.05,0.01下顯著異於零。註3:追蹤資料分量迴 歸係數之變異數使用拔靴抽樣法重複抽取1000次做估計。
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OECD國家
澳大利亞 奧地利 比利時 加拿大 智利 捷克
丹麥 芬蘭 法國 德國 希臘 匈牙利
冰島 愛爾蘭 以色列 義大利 日本 韓國 墨西哥 荷蘭 紐西蘭 挪威 波蘭 葡萄牙 斯洛伐克 西班牙 瑞典 瑞士 土耳其 英國 美國
非 OECD國家
阿根廷 玻利維亞 巴西 保加利亞 香港 賽普勒斯 印度 印尼 牙買加 立陶宛 羅馬尼亞 新加坡
南非 泰國
已開發國家
澳大利亞 奧地利 比利時 加拿大 香港 賽普勒斯
捷克 丹麥 芬蘭 法國 德國 希臘
冰島 愛爾蘭 以色列 義大利 日本 韓國 立陶宛 荷蘭 紐西蘭 挪威 葡萄牙 新加坡 斯洛伐克 西班牙 瑞典 瑞士 英國 美國