通貨膨脹率和經濟成長之抵換關係

國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

總觀上述結論

_,

即便本文將資料期間縮小為

_1980-2010

年

_,

實證結果與基本結果相去不 遠。 維持通貨膨脹率在中高分量顯著

_,

經濟成長率在高分量顯著

_,

通貨膨脹率之波動與經 濟成長之波動在中高分量顯著的結論。 因此本文認為

_,

釘住通貨膨脹率政策的效果非常穩 定

_,

具有頑強性的性質。

4.8 通貨膨脹率和經濟成長之抵換關係

上述章節的實證結果將通貨膨脹率和經濟成長分開討論

_,

探討釘住通貨膨脹率政策對於 通貨膨脹率或經濟成長的個別影響。 得到的結論為

,

釘住通貨膨脹率政策能夠降低通貨膨 脹率而且只有高經濟成長的國家會損失經濟成長。 但如果同時考慮經濟成長和通貨膨脹率 之短期抵換關係

_,

釘住通貨膨脹率政策還是否具有優勢。 為了觀察這樣的現象

_,

因此

_Brito and Bystedt(2010)

將模型加入兩者的抵換關係

_,

將模型二改寫成

_:

g

_it

= α

_i

+ β

₁

g

_it−1

+ β

₂

IT

_it

+ β

₃

∆π

_it−1

+ ε

_it

, (11)

其中

_,∆π

_it−1

_{= π}

_it

_{− π}

_it−1。 此外

_,

模型背後隱藏的經濟意涵為

_,

通貨膨脹率和經濟成長在 短期的抵換關係。 我們可以將經濟成長的改變

_(g

_it

_{− g}

_it−1

₎

視為失業率的產生

_,

所以

_Brito and Bystedt(2010)

將此模型稱作

Lucas(1973)

的供給曲線。 當

_β

₂為正數時

_,

表示在考慮 降低通貨膨脹率的負向關係後

_,

釘住通貨膨脹率政策能夠增加經濟成長率。

表

₁₄

為考慮兩者抵換關係後

_,

釘住通貨膨脹率政策對經濟成長的影響。 可以發現

_,

經 濟成長在

_0.8

和

_0.9

分量的國家採取釘住通貨膨脹率政策後

_,

必須損失經濟成長做為代價。

另外

,

從表

14

中可以發現

,

在當經濟成長處在

0.1

分量的國家

,

兩者存在顯著的負向抵換關

係

_{, 0.2-0.9}

分量皆不存在顯著的抵換關係。 若國家想利用釘住通貨膨脹率政策降低通貨膨

脹率時

,

經濟成長水準位於

0.8

和

_0.9

分量的國家會損失

_1.09%

和

_2.36%

的經濟成長。

表示當考慮短期抵換關係時

,

高經濟成長的國家採取釘住通貨膨脹率政策依然會損失經 濟成長作為代價。 在短期抵換關係方面

_,0.1

到

_0.3

分量的估計值分別為

−0.01%, −0.01%

和

_−0.01%

。 表示在短期

_,

經濟成長在

_0.1

分量的國家

_,

通貨膨脹率增加

_1%

時

_,

平均而言經 濟成長會損失

_0.01%;

經濟成長在

_0.2

分量的國家

_,

當通貨膨脹率增加

_1%,

平均而言經濟 成長會損失

_{0.01%, 0.2}

分量之後此短期效果皆不顯著。 因此兩者的短期關係僅存在低經濟 成長的國家。

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根據

₁₁

式

_,

把

_g

_it與

_∆π

_it互換

_,

改寫成

_:

∆π

_it

= α

_i

+ β

₁

g

_it−1

+ β

₂

IT

_it

+ β

₃

g

_it

+ ε

_it

, (12)

此模型即為

_,

關於經濟成長的菲利浦曲線。 ⁸ 若當

_β

₂為負

_,

則表示考慮經濟成長的抵換關 係後

_,

釘住通貨膨脹率政策額外降低的通貨膨脹率。 因此

, Hutchison and Walsh’s(1998)

提到

_β

₂為負

_,

等同於菲利浦曲線向下移動

_,

表示採行此種政策能夠降低犧牲比率

_(Sacrifice ratio)

。 ⁹ 由於

₁₂

式已經不存在動態項

_,

因此不需考慮動態內生性的問題。 本文這邊利用追 蹤資料分量迴歸估計此模型。

表

15

為考慮經濟成長和通貨膨脹率之抵換關係後

,

釘住通貨膨脹率政策在各分量對通 貨膨脹率的影響。 可以發現

,

若同時考慮抵換關係之後

,

在

_0.1

分量

_,

採取釘住通貨膨脹 率政策反而會額外增加通貨膨脹率。 但是在通貨膨脹率比較高的國家

,

釘住通貨膨脹率能 夠降低通貨膨脹率。 表

₁₅

為詳細之估計值。 在

_99%

的信心水準下

_,

釘住通貨膨脹率政策 在

_{0.1, 0.8}

和

_0.9

分量會顯著對通貨膨脹率造成影響

_,

估計值分別為

3.08%, −1.40%

和

−4.12%

。 表示在考慮兩者抵換關係之後

_,

若國家存在低通貨膨脹率時

_,

並不建議採用釘住

通貨膨脹率政策來降低通貨膨脹率水準。 反之

_,

若國家處在高通貨膨脹率的情形時

_,

採用 釘住通貨膨脹率政策能夠降低通貨膨脹率

_,

分量愈高效果愈明顯。 此實證結果與過去文獻 不同

,Brito and Bystedt(2010)

發現

_,

在考慮兩者的抵換關係後

_,

釘住通貨膨脹率政策無 法顯著降低通貨膨脹率水準。 但是本論文利用動態追蹤資料分量迴歸發現在高分量時

_,

釘 住通貨膨脹率政策能夠有效的降低通貨膨脹率水準。 這也顯示釘住通貨膨脹率政策在不同 經濟情況有著不同的效果。

8雖然Lucas(1973) 的供給曲線和菲利浦曲線都是失業率和通貨膨脹率之間的關係。 但是 _{Brito and}

Bystedt(2010)提到可以將經濟成長的變化視為失業率的產生,因此將失業率換成經濟成長率。

9犧牲比率: 損失經濟成長率/降低通貨膨脹率。

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5 結論

本文以動態追蹤資料之分量迴歸探討釘住通貨膨脹率政策對於通貨膨脹率

_,

經濟成長

,

通 貨膨脹率之波動和經濟成長之波動的影響。 一般認為

_,

釘住通貨膨脹率政策能夠降低通貨 膨脹率

_,

穩定通貨膨脹率之波動以及經濟成長之波動。 然而

_,

為了降低通貨膨脹率水準必 然會採取緊縮性的貨幣政策

_,

進而導致經濟成長的衰退。 因此

_,

過去實證研究通常以這四個 經濟變數為討論的基礎。 傳統的平均計量方法無法區別不同國家族群的水準

_,

因此過去文 獻中通常將國家族群分成

_OECD

國家和新興市場

_,

但卻沒辦法得到一致的實證結果。 本文 利用動態追蹤資料之分量迴歸能透過不同的分量

_,

分析釘住通貨膨脹率政策應用在

1960-2010

年

_,103

個國家的效果以及影響

_,

試圖利用更廣泛的資料和不同的計量方法

_,

找出釘住 通貨膨脹率政策更精確的效果。

實證結果顯示

_,

釘住通貨膨脹率政策在通貨膨脹率處於中高分量的國家能夠有效的降 低通貨膨脹率

_,

這部分也應證了

Ball and Sheridan(2003)

提到

_,

若通貨膨脹率處在比 較高的階段

_,

釘住通貨膨脹率政策能夠降低比較多的通貨膨脹率。 經濟成長處於高分量的 國家必須損失經濟成長作為代價。 通貨膨脹率之波動或者經濟成長率波動處在中高分量的 國家能夠透過釘住通貨膨脹率政策穩定通貨膨脹率或經濟成長率。 本文也利用不同的工具 變數

,

不同的拔靴抽樣法驗證此模型具有頑強性的性質。 另外

_,

將國家分成

_OECD

國家 和新興市場

_,

結果顯示釘住通貨膨脹率政策在

_OECD

國家和新興市場都能達到不錯的效 果

_,

由於經濟成長和通貨膨脹率具有短期的抵換關係

_,

因此本文將兩者的抵換關係加入模 型中

_,

發現即使考慮兩者抵換關係

_,

釘住通貨膨脹率政策依然能夠維持顯著的效果。 總觀 上述結論

_,

若採取釘住通貨膨脹率政策

_,

能夠有效的降低通貨膨脹率

_,

以及穩定通貨膨脹 率和經濟成長

_,

即便在不同的模型下都得到類似的結論。

以目前的實證結果而言

_,

釘住通貨膨脹率政策能夠帶來不錯的效果。 此外

_,

釘住通貨膨 脹率政策必須具備良好的金融環境以及政府的執行力

_,

更能夠增加釘住通貨膨脹率政策的 效果。 因此

_,

未來可以從達成率方面著手

_,

以獲得更多的結論。

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立 政 治 大 學

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N a tio na

l C h engchi U ni ve rs it y

表

4:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽五年

)

分量 D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項4.49∗∗∗ 162.38165.63167.25167.96168.44168.97170.24172.87177.09 (0.31)(526.26)(526.30)(526.32)(526.34)(526.35)(526.36)(526.36)(526.36)(526.37) πit−10.70∗∗∗0.51∗∗∗0.47∗∗∗0.46∗∗∗0.49∗∗∗0.53∗∗∗0.56∗∗∗0.60∗∗∗0.61∗∗∗0.73∗∗∗ (0.01)(0.09)(0.07)(0.08)(0.09)(0.10)(0.12)(0.13)(0.14)(0.18) ITit-12.52∗∗∗-7.83-7.82∗∗-6.62∗∗-5.88∗∗∗-6.21∗∗∗-6.57∗∗∗-7.81∗∗∗-9.93∗∗∗-14.27∗∗∗ (2.03)(7.68)(3.72)(2.28)(1.34)(1.25)(1.36)(1.52)(1.62)(1.88) 模型二: 截距項4.18∗∗∗ 14.4316.4617.6718.5118.9019.4020.2021.2623.18 (0.19)(81.54)(81.52)(81.51)(81.51)(81.49)(81.48)(81.48)(81.48)(81.47) git−10.01∗∗0.010.040.040.030.040.030.030.010.02 (0.02)(0.06)(0.07)(0.06)(0.06)(0.06)(0.05)(0.05)(0.04)(0.03) ITit-1.49∗∗1.430.470.00-0.15-0.27-0.23-0.58-1.09∗∗-2.35∗∗∗ (0.71)(0.77)(0.54)(0.52)(0.50)(0.46)(0.43)(0.45)(0.47)(0.54) 模型三: 截距項1.37∗∗∗ 187.33188.40188.26188.53188.91189.13189.69190.68193.53 (0.23)(617.97)(618.00)(618.02)(618.03)(618.02)(618.02)(618.01)(617.97)(617.96) σπit−10.85∗∗∗0.63∗∗∗0.62∗∗∗0.70∗∗∗0.71∗∗∗0.71∗∗∗0.75∗∗∗0.78∗∗∗0.82∗∗0.96∗∗ (0.01)(0.19)(0.19)(0.22)(0.24)(0.27)(0.28)(0.30)(0.33)(0.42) ITit-2.93∗-1.56-1.75-1.12-1.10∗∗-1.36∗∗∗-1.61∗∗∗-2.08∗∗∗-3.13∗∗∗-6.31∗∗∗ (1.67)(2.84)(1.61)(0.86)(0.55)(0.48)(0.45)(0.50)(0.59)(0.87) 模型四: 截距項1.24∗∗∗ 41.2942.1042.5442.8442.8843.3343.9244.5346.69 (0.19)(1354.26)(1354.27)(1354.27)(1354.27)(1354.27)(1354.27)(1354.27)(1354.25)(1354.21) σgit−10.66∗∗∗ 0.77∗∗∗ 0.73∗∗ 0.73∗∗ 0.73∗∗∗ 0.83∗∗∗ 0.82∗∗∗ 0.82∗ 0.90∗∗∗ 0.82∗ (0.01)(0.27)(0.28)(0.30)(0.31)(0.34)(0.37)(0.43)(0.52)(0.63) ITit-0.960.28-0.08-0.29∗-0.50∗∗∗-0.64∗∗∗-0.88∗∗∗-1.11∗∗∗-1.63∗∗∗-2.52∗∗∗ (0.75)(0.37)(0.20)(0.17)(0.18)(0.19)(0.21)(0.24)(0.30)(0.49) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

5:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽國家

)

分量 D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項4.49∗∗∗ 162.38165.63167.25167.96168.44168.97170.24172.87177.09 (0.31)(682.11)(682.05)(682.05)(682.06)(682.09)(682.07)(682.04)(681.998)(681.95) πit−10.70∗∗∗0.51∗∗∗0.47∗∗∗0.46∗∗∗0.49∗∗∗0.53∗∗∗0.56∗∗∗0.60∗∗∗0.61∗∗∗0.73∗∗∗ (0.01)(0.10)(0.05)(0.03)(0.023)(0.03)(0.02)(0.03)(0.04)(0.04) ITit-12.52∗∗∗-7.83-7.82∗∗-6.62∗∗-5.88∗∗∗-6.21∗∗∗-6.57∗∗∗-7.81∗∗∗-9.93∗∗∗-14.27∗∗∗ (2.03)(50.50)(10.94)(4.99)(1.92)(1.40)(1.02)(0.87)(0.88)(1.43) 模型二: 截距項4.18∗∗∗ 14.4316.4617.6718.5118.9019.4020.2021.2623.18 (0.19)(98.43)(98.46)(98.45)(98.47)(98.47)(98.48)(98.48)(98.49)(98.51) git−10.01∗∗0.010.040.040.030.040.030.030.010.02 (0.02)(0.03)(0.023)(0.03)(0.02)(0.03)(0.03)(0.02)(0.02)(0.03) ITit-1.49∗∗1.430.470.00-0.15-0.27-0.23-0.58-1.09∗∗-2.35∗∗∗ (0.71)(0.40)(0.39)(0.42)(0.35)(0.31)(0.30)(0.32)(0.32)(0.39) 模型三: 截距項1.37∗∗∗ 187.33188.40188.26188.53188.91189.13189.69190.68193.53 (0.23)(1839.56)(1839.65)(1839.63)(1839.64)(1839.61)(1839.59)(1839.60)(1839.62)(1839.65) σpiit−10.66∗∗∗0.77∗∗∗0.73∗∗0.73∗∗0.73∗∗∗0.83∗∗∗0.82∗∗∗0.82∗0.90∗∗∗0.82∗ (0.008)(0.08)(0.08)(0.11)(0.10)(0.12)(0.14)(0.15)(0.16)(0.19) ITit-2.93∗-1.56-1.75-1.12-1.10∗∗-1.36∗∗∗-1.61∗∗∗-2.08∗∗∗-3.13∗∗∗-6.31∗∗∗ (1.67)(0.72)(0.83)(0.67)(0.41)(0.32)(0.31)(0.34)(0.45)(1.07) 模型四: 截距項1.24∗∗∗ 41.2942.1042.5442.8442.8843.3343.9244.5346.69 (0.19)(175.19)(175.19)(175.20)(175.20)(175.21)(175.20)(175.19)(175.18)(175.21) σgit−10.66∗∗∗ -1.01∗∗∗ -1.04∗∗∗ -0.996∗∗∗ -1.01∗∗∗ -1.05∗∗∗ -1.04∗∗ -1.03∗∗ -0.995∗ -0.94∗ (0.01)(0.05)(0.04)(0.03)(0.02)(0.03)(0.03)(0.02)(0.04)(0.04) ITit-0.960.28-0.08-0.29∗-0.50∗∗∗-0.64∗∗∗-0.88∗∗∗-1.11∗∗∗-1.63∗∗∗-2.52∗∗∗ (0.75)(0.20)(0.14)(0.11)(0.13)(0.15)(0.13)(0.16)(0.25)(0.42) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

6:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽兩年

)

分量 D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項4.49∗∗∗ 162.38165.63167.25167.96168.44168.97170.24172.87177.09 (0.31)(2546.42)(2546.40)(2546.39)(2546.39)(2546.38)(2546.38)(2546.37)(2546.38)(2546.36) πit−10.70∗∗∗0.51∗∗∗0.47∗∗∗0.46∗∗∗0.49∗∗∗0.53∗∗∗0.56∗∗∗0.60∗∗∗0.61∗∗∗0.73∗∗∗ (0.01)(0.14)(0.13)(0.15)(0.17)(0.19)(0.22)(0.25)(0.28)(0.35) ITit-12.52∗∗∗-7.83-7.82∗∗-6.62∗∗-5.88∗∗∗-6.21∗∗∗-6.57∗∗∗-7.81∗∗∗-9.93∗∗∗-14.27∗∗∗ (2.03)(3.28)(2.13)(1.80)(0.94)(0.89)(0.95)(1.06)(1.12)(1.21) 模型二: 截距項4.18∗∗∗ 14.4316.4617.6718.5118.9019.4020.2021.2623.18 (0.19)(93.00)(92.99)(93.00)(93.01)(93.01)(93.01)(93.01)(93.02)(93.03) git−10.01∗∗0.010.040.040.030.040.030.030.010.02 (0.02)(0.07)(0.06)(0.07)(0.08)(0.09)(0.10)(0.13)(0.16)(0.24) ITit-1.49∗∗1.430.470.00-0.15-0.27-0.23-0.58-1.09∗∗-2.35∗∗∗ (0.71)(0.62)(0.52)(0.44)(0.38)(0.34)(0.32)(0.32)(0.34)(0.40) 模型三: 截距項1.37∗∗∗ 187.33188.40188.26188.53188.91189.13189.69190.68193.53 (0.23)(1214.73)(1214.75)(1214.75)(1214.75)(1214.75)(1214.75)(1214.77)(1214.79)(1214.85) σπit−10.66∗∗∗0.77∗∗∗0.73∗∗0.73∗∗0.73∗∗∗0.83∗∗∗0.82∗∗∗0.82∗0.90∗∗∗0.82∗ (0.01)(0.35)(0.38)(0.42)(0.46(0.49)(0.52)(0.55)(0.60)(0.70) ITit-2.93∗-1.56-1.75-1.12-1.10∗∗-1.36∗∗∗-1.61∗∗∗-2.08∗∗∗-3.13∗∗∗-6.31∗∗∗ (1.67)(1.48)(0.83)(0.44)(0.31)(0.29)(0.30)(0.33)(0.40)(0.79) 模型四: 截距項1.24∗∗∗ 41.2942.1042.5442.8442.8843.3343.9244.5346.69 (0.19)(176.77)(176.76)(176.76)(176.77)(176.77)(176.77)(176.77)(176.76)(176.76) σgit−10.66∗∗∗ -1.01∗∗∗ -1.04∗∗∗ -0.996∗∗∗ -1.01∗∗∗ -1.05∗∗∗ -1.04∗∗ -1.03∗∗ -0.995∗ -0.94∗ (0.01)(0.36)(0.36)(0.36)(0.39)(0.42)(0.45)(0.51)(0.58)(0.69) ITit-0.960.28-0.08-0.29∗-0.50∗∗∗-0.64∗∗∗-0.88∗∗∗-1.11∗∗∗-1.63∗∗∗-2.52∗∗∗ (0.75)(0.20)(0.15)(0.13)(0.14)(0.15)(0.17)(0.20)(0.26)(0.42) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

7:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽一年

)

分量 D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項4.49∗∗∗ 162.38165.63167.25167.96168.44168.97170.24172.87177.09 (0.31)(607.33)(607.33)(607.33)(607.34)(607.35)(607.37)(607.35)(607.33)(607.31) πit−10.70∗∗∗0.51∗∗∗0.47∗∗∗0.46∗∗∗0.49∗∗∗0.53∗∗∗0.56∗∗∗0.60∗∗∗0.61∗∗∗0.73∗∗∗ (0.01)(0.15)(0.13)(0.15)(0.18)(0.20)(0.23)(0.26)(0.30)(0.37) ITit-12.52∗∗∗-7.83-7.82∗∗-6.62∗∗-5.88∗∗∗-6.21∗∗∗-6.57∗∗∗-7.81∗∗∗-9.93∗∗∗-14.27∗∗∗ (2.03)(2.20)(1.54)(1.48)(0.68)(0.65)(0.70)(0.80)(0.86)(0.98) 模型二: 截距項4.18∗∗∗ 14.4316.4617.6718.5118.9019.4020.2021.2623.18 (0.19)(125.66)(125.66)(125.66)(125.66)(125.66)(125.66)(125.67)(125.68)(125.68) git−10.01∗∗0.010.040.040.030.040.030.030.010.02 (0.02)(0.09)(0.08)(0.08)(0.09)(0.10)(0.11)(0.14)(0.19)(0.28) ITit-1.49∗∗1.430.470.00-0.15-0.27-0.23-0.58-1.09∗∗-2.35∗∗∗ (0.71)(0.60)(0.48)(0.40)(0.34)(0.27)(0.25)(0.26)(0.26)(0.30) 模型三: 截距項1.37∗∗∗ 187.33188.40188.26188.53188.91189.13189.69190.68193.53 (0.23)(883.74)(883.78)(883.77)(883.77)(883.77)(883.76)(883.77)(883.72)(883.72) σπit−10.66∗∗∗0.77∗∗∗0.73∗∗0.73∗∗0.73∗∗∗0.83∗∗∗0.82∗∗∗0.82∗0.90∗∗∗0.82∗ (0.01)(0.37)(0.40)(0.45)(0.48)(0.51)(0.55)(0.58)(0.63)(0.72) ITit-2.93∗-1.56-1.75-1.12-1.10∗∗-1.36∗∗∗-1.61∗∗∗-2.08∗∗∗-3.13∗∗∗-6.31∗∗∗ (1.67)(0.83)(0.59)(0.29)(0.22)(0.22)(0.23)(0.26)(0.30)(0.66) 模型四: 截距項1.24∗∗∗ 41.2942.1042.5442.8442.8843.3343.9244.5346.69 (0.19)(212.88)(212.88)(212.89)(212.88)(212.88)(212.88)(212.88)(212.88)(212.86) σgit−10.66∗∗∗ -1.01∗∗∗ -1.04∗∗∗ -0.996∗∗∗ -1.01∗∗∗ -1.05∗∗∗ -1.04∗∗ -1.03∗∗ -0.995∗ -0.94∗ (0.01)(0.39)(0.37)(0.37)(0.38)(0.42)(0.45)(0.50)(0.57)(0.69) ITit-0.960.28-0.08-0.29∗-0.50∗∗∗-0.64∗∗∗-0.88∗∗∗-1.11∗∗∗-1.63∗∗∗-2.52∗∗∗ (0.75)(0.16)(0.11)(0.10)(0.11)(0.12)(0.13)(0.16)(0.22)(0.40) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

8:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽五年

)

分量 D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項4.49∗∗∗176.26179.63180.85181.52182.61183.32184.88187.75192.52 (0.31)(494.87)(494.92)(494.94)(494.94)(494.94)(494.95)(494.94)(494.91)(494.90) πit−10.70∗∗∗0.49∗∗∗0.45∗∗∗0.47∗∗∗0.51∗∗∗0.50∗∗∗0.52∗∗∗0.53∗∗∗0.52∗∗∗0.60∗∗∗ (0.01)(0.10)(0.07)(0.07)(0.08)(0.09)(0.10)(0.11)(0.11)(0.13) ITit-12.52∗∗∗ -8.11-7.76∗∗ -6.19∗∗∗ -5.59∗∗∗ -6.08∗∗∗ -6.44∗∗∗ -7.68∗∗∗ -9.82∗∗∗ -13.82∗∗∗ (2.03)(7.72)(3.87)(2.30)(1.38)(1.28)(1.35)(1.51)(1.64)(1.80) 模型二: 截距項4.18∗∗∗36.6138.6239.8640.6841.0741.5642.3343.3945.39 (0.19)(51.55)(51.54)(51.54)(51.54)(51.53)(51.52)(51.52)(51.53)(51.53) git−10.01∗∗0.010.050.040.040.040.040.030.020.02 (0.02)(0.06)(0.07)(0.06)(0.06)(0.05)(0.05)(0.04)(0.04)(0.03) ITit-1.49∗∗ 1.440.470.02-0.14-0.25-0.25-0.57-1.09∗∗ -2.40∗∗∗ (0.71)(0.78)(0.53)(0.52)(0.49)(0.45)(0.42)(0.44)(0.47)(0.54) 模型三: 截距項1.37∗∗∗174.56175.46175.73175.74175.65175.74176.03176.95179.94 (0.23)(2236.32)(2236.33)(2236.32)(2236.33)(2236.32)(2236.31)(2236.31)(2236.30)(2236.28) σπit−10.85∗∗∗0.020.030.040.040.050.050.070.090.13 (0.01)(0.15)(0.15)(0.17)(0.19)(0.22)(0.24)(0.28)(0.32)(0.38) ITit-2.93∗ -1.55-1.61-1.16-1.13-1.31∗∗ -1.67∗∗∗ -2.18∗∗∗ -3.23∗∗∗ -6.49∗∗∗ (1.67)(3.37)(1.70)(0.84)(0.55)(0.50)(0.51)(0.55)(0.60)(0.91) 模型四: 截距項1.24∗∗∗39.5440.0540.2540.4740.6440.9741.3941.9743.85 (0.19)(163.20)(163.19)(163.18)(163.16)(163.16)(163.15)(163.14)(163.13)(163.11) σgit−10.66∗∗∗0.460.510.590.630.680.710.760.850.80 (0.01)(0.23)(0.27)(0.31)(0.34)(0.37)(0.41)(0.46)(0.53)(0.64) ITit-0.960.27-0.04-0.26-0.42∗∗ -0.60∗∗∗ -0.77∗∗∗ -1.04∗∗∗ -1.54∗∗∗ -2.40∗∗∗ (0.75)(0.35)(0.20)(0.17)(0.18)(0.20)(0.23)(0.27)(0.33)(0.54) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。 3.工具變數為差分一期和差分兩期。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

9:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽五年

)

分量 D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項4.49∗∗∗255.88259.12260.45261.69262.75263.28264.82267.28272.87 (0.31)(495.86)(495.90)(495.92)(495.92)(495.92)(495.93)(495.92)(495.93)(495.95) πit−10.70∗∗∗ 0.49∗∗∗ 0.47∗∗∗ 0.48∗∗∗ 0.47∗∗∗ 0.47∗∗∗ 0.49∗∗∗ 0.50∗∗∗ 0.53∗∗∗ 0.51∗∗∗ (0.01)(0.10)(0.07)(0.07)(0.07)(0.08)(0.09)(0.10)(0.11)(0.14) ITit-12.52∗∗∗-8.01-7.56∗∗-5.98∗∗∗-5.53∗∗∗-5.91∗∗∗-6.26∗∗∗-7.41∗∗∗-9.47∗∗∗-13.49∗∗∗ (2.03)(7.92)(3.85)(2.21)(1.36)(1.29)(1.38)(1.52)(1.58)(1.67) 模型二: 截距項4.18∗∗∗9.7311.7112.8513.6414.0414.5415.3216.4918.49 (0.19)(1599.69)(1599.69)(1599.69)(1599.69)(1599.69)(1599.70)(1599.70)1599.711599.71 git−10.01∗∗ 0.0050.060.070.070.080.070.060.030.02 (0.02)(0.08)(0.08)(0.07)(0.06)(0.06)(0.05)(0.05)(0.04)(0.04) ITit-1.49∗∗ 1.450.430.03-0.15-0.24-0.30-0.61-1.09∗∗ -2.49∗∗∗ (0.71)(0.80)(0.54)(0.54)(0.51)(0.45)(0.41)(0.40)(0.44)(0.52) 模型三: 截距項1.37∗∗∗110.84111.75112.11112.45112.78113.09113.60114.88118.96 (0.23)(450.05)450.07)(450.07)(450.07)(450.07)(450.06)(450.05)(450.03)(450.07) σpiit−10.85∗∗∗ 0.040.050.070.070.080.110.140.160.15 (0.01)(0.06)(0.06)(0.07)(0.07)(0.08)(0.08)(0.09)(0.11)(0.14) ITit-2.93∗ -1.58-1.49-0.98-1.10∗∗ -1.29∗∗∗ -1.60∗∗∗ -2.11∗∗∗ -3.18∗∗∗ -6.61∗∗∗ (1.67)(2.43)(1.23)(0.66)(0.46)(0.44)(0.47)(0.51)(0.58)(0.94) 模型四: 截距項1.24∗∗∗6.637.247.678.028.378.819.3810.3612.38 (0.19)(32.89)(33.44)(33.65)(33.77)(33.90)(34.14)(34.58)(35.47)(37.25) σgit−10.66∗∗∗ 0.000.020.10∗∗∗ 0.18∗∗∗ 0.25∗∗∗ 0.30∗∗∗ 0.35∗∗∗ 0.36∗∗∗ 0.37∗∗ (0.01)(0.02)(0.02)(0.02)(0.02)(0.03)(0.05)(0.07)(0.11)(0.17) ITit-0.960.350.07-0.24-0.45∗∗ -0.53∗∗∗ -0.73∗∗∗ -1.07∗∗∗ -1.47∗∗∗ -2.61∗∗∗ (0.75)(0.24)(0.18)(0.17)(0.19)(0.21)(0.22)(0.25)(0.31)(0.50) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。 3.工具變數為差分一期,差分兩期和差分三期。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

釘住通貨膨脹率政策對通貨膨脹率之影響

-20 -15 -10 -5 0 5

0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9

釘住通貨膨脹率政策對經濟成長之影響

-4 -3 -2 -1 0 1 2

0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9

圖

1: 1960-2010

年

,103

個國家

‧

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

10:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,27

個

OECD

國家

,

抽五年

)

分量 D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項3.22∗∗∗25.8727.7928.4729.0029.2628.0533.0729.5538.43 (0.55)(364.95)(364.90)(364.85)(364.84)(364.87)(364.84)(364.84)(364.79)(364.82) πit−10.75∗∗∗0.44∗0.42∗0.44∗0.47∗0.55∗∗0.82∗∗∗0.75∗∗∗0.85∗∗∗0.69∗∗ (0.04)(0.24)(0.23)(0.23)(0.25)(0.27)(0.29)(0.29)(0.29)0.32) ITit-4.84∗∗ -6.33-5.69∗∗ -4.63∗∗∗ -5.07∗∗∗ -5.73∗∗∗ -6.36∗∗∗ -10.00∗∗∗ -7.74∗∗∗ -14.10∗∗∗ (2.29)(4.85)(2.47)(1.28)(1.05)(1.22)(1.39)(1.57)(1.74)(2.04) 模型二: 截距項2.58∗∗∗2.544.065.115.626.096.837.698.629.88 (0.14)(18.32)(18.33)(18.32)(18.32)(18.32)(18.33)(18.33)(18.33)(18.33) git−10.22∗∗∗0.50∗∗∗0.46∗∗∗0.40∗∗∗0.38∗∗∗0.37∗∗∗0.31∗∗∗0.22∗∗0.16∗0.16 (0.03)(0.18)(0.13)(0.10)(0.10)(0.09)(0.09)(0.09)(0.09)(0.13) ITit-1.18∗∗∗ -0.86-0.45-0.79-0.64-0.49-0.54-0.67-0.86∗∗ -1.65∗∗∗ (0.31)(0.77)(0.52)(0.48)(0.47)(0.44)(0.43)(0.42)(0.42)(0.49) 模型三: 截距項1.11∗∗∗27.5228.0728.2628.3228.3828.4729.0229.6231.23 (0.19)(857.73)(857.76)(857.78)(857.79)(857.79)(857.79)(857.80)(857.79)(857.78) σπit−10.74∗∗∗0.67∗∗∗0.63∗∗0.64∗∗0.68∗∗0.75∗∗0.84∗∗0.81∗∗0.84∗∗0.98∗∗ (0.02)(0.23)(0.25)(0.28)(0.32)(0.34)(0.34)(0.35)(0.40)(0.44) ITit-1.72∗∗∗ -2.14-1.16-0.93∗ -0.94∗∗ -1.12∗∗∗ -1.26∗∗∗ -1.52∗∗∗ -2.01∗∗∗ -3.72∗∗∗ (0.59)(2.01)(1.12)(0.53)(0.44)(0.42)(0.44)(0.49)(0.61)(0.85) 模型四: 截距項0.55∗∗∗2.442.292.652.712.792.963.243.624.33 (0.07)(92.73)(92.73)(92.72)(92.73)(92.73)(92.72)(92.72)(92.72)(92.73) σgit−10.74∗∗∗0.39∗∗0.63∗∗∗0.59∗∗∗0.66∗∗∗0.75∗∗∗0.80∗∗∗0.83∗∗∗0.88∗∗∗0.92∗∗∗ (0.02)(0.16)(0.12)(0.10)(0.10)(0.10)(0.10)(0.12)(0.12)(0.16) ITit-0.09-0.29-0.28-0.44∗∗ -0.50∗∗∗ -0.54∗∗∗ -0.66∗∗∗ -0.67∗∗∗ -0.82∗∗∗ -0.81∗∗∗ (0.15)(0.64)(0.19)(0.18)(0.18)(0.20)(0.22)(0.23)(0.30)(0.38) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。 3.工具變數為差分一期。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

11:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,30

個新興市場

,

抽五年

)

分量 D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項5.79∗∗∗406.99∗∗∗410.47∗∗∗415.28∗∗∗418.46∗∗∗416.44∗∗∗417.89∗∗∗421.65∗∗∗425.10∗∗∗435.06 (0.66)(596.76)(596.87)(596.94)(596.91)(596.93)(596.94)(596.95)(596.99)(597.32) πit−10.75∗∗∗0.971.000.890.820.980.980.930.980.91 (0.02)(0.28)(0.28)(0.29)(0.30)(0.31)(0.33)(0.35)(0.42)(0.58) ITit-8.22∗∗∗ -9.87-9.75-10.99∗∗ -11.39∗∗ -10.15∗∗ -8.80∗∗ -10.13∗∗∗ -13.32∗∗∗ -19.54∗∗∗ (2.03)(56.10)(29.29)(6.31)(4.77)(4.13)(3.79)(3.67)(3.62)(6.14) 模型二: 截距項4.84∗∗∗38.9041.2342.6143.3443.8544.5345.3846.3948.12 (0.59)(112.81)(112.85)(112.87)(112.89)(112.90)(112.91)(112.92)(112.93)(112.94) git-0.0040.010.0020.0040.010.010.010.010.020.02 (0.03)(0.13)(0.13)(0.11)(0.10)(0.10)(0.10)(0.09)(0.07)(0.07) ITit-0.201.360.51-0.05-0.15-0.20-0.21-0.78-1.24∗∗ -2.25∗∗∗ (2.08)(1.39)(1.13)(0.97)(0.82)(0.72)(0.71)(0.65)(0.62)(0.81) 模型三: 截距項2.19∗∗∗1404.191404.061403.911403.421403.401404.191405.401407.691414.18 (0.49)(1609.68)(1609.76)(1609.72)(1609.72)(1609.72)(1609.70)(1609.67)(1609.70)(1609.80) σπit−10.82∗∗∗0.390.520.600.690.740.740.730.790.93 (0.01)(0.49)(0.51)(0.53)(0.56)(0.59)(0.62)(0.65)(0.69)(0.82) ITit-3.70∗∗ -1.47-2.23-2.30-1.92-2.08-2.46-3.15∗ -5.68∗∗∗ -12.88∗∗∗ (1.70)(19.16)(7.07)(2.53)(2.23)(1.95)(1.76)(1.71)(2.04)(4.04) 模型四: 截距項1.63∗∗∗3.533.593.804.064.064.515.125.536.79 (0.64)(162.44)(162.44)(162.46)(162.45)(162.44)(162.43)(162.41)(162.43)(162.45) σgit−10.64∗∗∗0.490.600.640.650.750.740.710.810.91 (0.02)(0.53)(0.56)(0.60)(0.63)(0.66)(0.71)(0.79)(0.79)(0.79) ITit-0.65-0.15-0.27-0.38-0.57-0.73-0.74-0.91-1.02-1.89 (2.29)(1.40)(1.15)(1.00)(0.82)(0.68)(0.68)(0.75)(0.94)(1.27) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。 3.工具變數為差分一期。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

12:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽五年

)

D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項-6.97∗∗∗ 171.25175.63176.99177.96178.59179.48179.26179.67179.52 (2.25)(1716.25)(1716.27)(1716.23)(1716.22)(1716.23)(1716.22)(1716.24)(1716.27)(1716.27) πit−10.70∗∗∗ 0.44∗∗∗ 0.37∗∗∗ 0.42∗∗∗ 0.42∗∗∗ 0.46∗∗∗ 0.47∗∗∗ 0.54∗∗∗ 0.57∗∗∗ 0.68∗∗∗ (0.01)(0.09)(0.08)(0.08)(0.09)(0.10)(0.11)(0.12)(0.13)(0.17) ITit-11.61∗∗∗-8.25-7.95∗∗-6.24∗∗∗-5.72∗∗∗-5.91∗∗∗-6.46∗∗∗-7.82∗∗∗-9.68∗∗∗-13.35∗∗∗ (2.02)(7.29)(3.74)(2.31)(1.37)(1.29)(1.38)(1.51)(1.50)(1.79) highit12.15∗∗∗ 8.43∗∗∗ 7.36∗∗∗ 6.62∗∗∗ 6.71∗∗∗ 6.41∗∗∗ 6.41∗∗∗ 7.71∗∗∗ 9.53∗∗∗ 14.12∗∗∗ (2.37)(1.29)(0.97)(1.00)(1.10)(1.13)(1.12)(1.10)(0.91)(0.92) 模型二: 截距項2.00∗∗ 9.9212.1313.6814.8515.6415.8716.5617.9320.03 (1.39)(180.35)(180.34)(180.37)(180.35)(180.36)(180.34)(180.35)(180.36)(180.34) git−10.010.010.040.040.030.040.030.030.020.02 (0.02)(0.06)(0.07)(0.06)(0.06)(0.06)(0.05)(0.05)(0.04)(0.03) ITit-1.50∗∗ 1.420.43-0.04-0.15-0.25-0.23-0.54-1.10∗∗ -2.33∗∗∗ (0.71)(0.80)(0.59)(0.58)(0.56)(0.51)(0.48)(0.48)(0.53)(0.63) highit1.261.47∗∗∗ 1.31∗∗ 0.93∗ 0.600.190.47∗∗ 0.56∗∗∗ 0.270.06 (1.47)(0.53)(0.58)(0.49)(0.38)(0.31)(0.24)(0.30)(0.36)(0.46) 模型三: 截距項-1.79847.70848.58848.93848.99849.17849.00848.85848.79848.05 (2.10)(1931.82)(1931.69)(1931.62)(1931.61)(1931.60)(1931.60)(1931.59)(1931.60)(1931.56) σπit−10.85∗∗∗0.56∗∗∗0.60∗∗∗0.64∗∗∗0.68∗∗∗0.68∗∗∗0.70∗∗∗0.74∗∗∗0.78∗∗0.93∗∗ (0.01)(0.18)(0.18)(0.21)(0.23)(0.25)(0.27)(0.29)(0.32)(0.41) ITit-2.49-1.67-1.54-0.99-1.11∗∗ -1.33∗∗∗ -1.54∗∗∗ -2.08∗∗∗ -3.09∗∗∗ -3.45∗∗ (1.69)(2.74)(1.40)(0.79)(0.52)(0.46)(0.43)(0.51)(0.64)(1.66) highit3.502.12∗∗∗1.71∗∗∗1.41∗∗∗1.41∗∗∗1.66∗∗∗2.21∗∗∗2.92∗∗∗4.19∗∗∗7.73∗∗∗ (2.31)(1.45)(0.50)(0.35)(0.35)(0.40)(0.46)(0.53)(0.60)(0.88) 模型四: 截距項0.469.8210.0410.3810.9411.0911.4811.8912.2814.26 (1.58)(266.68)(266.66)(266.63)(266.60)(266.61)(266.62)(266.61)(266.61)(266.60) σgit−10.66∗∗∗ 0.72∗∗∗ 0.72∗∗∗ 0.75∗∗∗ 0.77∗∗∗ 0.84∗∗∗ 0.81∗∗∗ 0.83∗ 0.89∗ 0.80 (0.01)(0.27)(0.29)(0.31)(0.32)(0.35)(0.38)(0.44)(0.52)(0.64) ITit-2.490.13-0.06-0.30∗∗-0.43∗∗-0.62∗∗∗-0.77∗∗∗-1.09∗∗∗-1.42∗∗∗-2.56∗∗∗ (1.81)(0.41)(0.20)(0.18)(0.18)(0.20)(0.21)(0.24)(0.28)(0.44) highit0.960.731.101.060.760.750.871.001.301.54 (1.75)(0.39)(0.39)(0.37)(0.34)(0.31)(0.26)(0.21)(0.22)(0.35) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。 3.highit為控制高通膨之控制變數。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

13:

動態追蹤資料之分量迴歸分析

(1980-2010

年

,137

個國家

,

抽五年

)

D-GMM0.10.20.30.40.50.60.70.80.9 模型一: 截距項4.65∗∗∗ 934.82938.79940.55941.59942.42943.25944.33946.65952.75 (0.45)(847.18)(847.26)(847.30)(847.31)(847.31)(847.29)(847.30)(847.28)(847.32) πit−10.71∗∗∗0.58∗∗∗0.54∗∗∗0.53∗∗∗0.52∗∗∗0.52∗∗∗0.52∗∗∗0.54∗∗∗0.56∗∗∗0.66∗∗∗ (0.01)(0.13)(0.13)(0.14)(0.14)(0.15)(0.16)(0.18)(0.19)(0.24) ITit-5.10∗∗∗-6.87∗∗∗-7.32∗∗∗-5.82∗∗∗-5.96∗∗∗-6.18∗∗∗-6.34∗∗∗-7.37∗∗∗-9.01∗∗∗-15.40∗∗∗ (1.43)(6.69)(2.65)(1.71)(1.16)(1.06)(1.08)(1.23)(1.49)(2.78) 模型二: 截距項4.22∗∗∗ 75.9278.1279.2579.8680.3980.9381.6382.5884.29 (0.47)(379.48)(379.48)(379.48)(379.47)(379.46)(379.47)(379.46)(379.46)(379.46) git−10.22∗∗∗0.0020.010.010.010.010.010.010.020.02 (0.02)(0.03)(0.03)(0.03)(0.03)(0.03)(0.03)(0.03)(0.03)(0.04) ITit-1.941.840.860.450.280.140.02-0.27-0.74-1.64∗∗ (1.70)(0.63)(0.55)(0.52)(0.57)(0.58)(0.57)(0.58)(0.62)(0.72) 模型三: 截距項-0.17165.94166.97167.51167.84168.10168.46169.04170.17177.03 (0.43)(4108.58)(4108.54)(4108.53)(4108.52)(4108.51)(4108.52)(4108.52)(4108.54)(4108.52) σπit−10.81∗∗∗0.010.010.010.010.010.010.020.040.16 (0.01)(0.37)(0.38)(0.38)(0.39)(0.40)(0.41)(0.42)(0.43)(0.43) ITit0.86-1.63-0.71-0.86∗∗-1.00∗∗∗-1.10∗∗∗-1.30∗∗∗-1.67∗∗∗-2.74∗∗∗-10.61∗∗∗ (1.41)(7.39)(0.59)(0.39)(0.33)(0.33)(0.34)(0.37)(0.48)(2.19) 模型四: 截距項2.38∗∗∗ 25.4526.4026.9427.3227.4027.6827.9428.8930.42 (0.46)(1398.84)(1398.85)(1398.86)(1398.86)(1398.87)(1398.87)(1398.86)(1398.84)1398.79 σgit−10.57∗∗∗0.820.770.730.710.750.770.820.790.86 (0.014)(0.26)(0.31)(0.36)(0.40)(0.44)(0.49)(0.54)(0.63)(0.72) ITit-1.950.27-0.16-0.32∗-0.43∗∗-0.52∗∗∗-0.72∗∗∗-0.99∗∗∗-1.37∗∗∗-2.22∗∗∗ (1.68)(0.24)(0.19)(0.18)(0.17)(0.17)(0.17)(0.22)(0.30)(0.47) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。 3.highit為控制高通膨之控制變數。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

14:

動態追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽五年

)

D-GMM0.10.20.30.40.50.60.70.80.9 模型五: 截距項4.18∗∗∗15.3817.4318.6419.4919.8820.3621.1922.2224.15 (0.19)(153.78)(153.78)(153.78)(153.78)(153.77)(153.77)(153.77)(153.77)(153.77) git−10.010.010.040.040.030.040.030.020.010.02 (0.02)(0.06)(0.07)(0.06)(0.06)(0.06)(0.05)(0.05)(0.04)(0.03) ITit-1.49∗∗ 1.46∗ 0.470.02-0.16-0.26-0.24-0.59-1.09∗∗ -2.36∗∗∗ (0.71)(0.78)(0.61)(0.58)(0.56)(0.49)(0.44)(0.45)(0.50)(0.57) Deltaπit−1-0.002-0.01∗-0.01∗-0.01∗-0.01-0.01∗-0.01∗∗-0.02∗∗-0.02-0.01 (0.017)(0.01)(0.01)(0.01)(0.01)(0.01)(0.01)(0.01)(0.01)(0.01) 註: 1.D-GMM:動態一般化動差法,ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。 3.˜πit為πit−πit−1。

‧ 國

立 政 治 大 學

‧

N a tio na

l C h engchi U ni ve rs it y

表

15:

追蹤資料之分量迴歸分析

(1960-2010

年

,103

個國家

,

抽五年

)

組間估計0.10.20.30.40.50.60.70.80.9 模型六: 截距項-0.0330.9034.3935.7436.7237.3537.7838.7140.2844.08 (0.32)(1028.79)(1028.79)(1028.79)(1028.80)(1028.79)(1028.80)(1028.80)(1028.80) git-0.040.010.0040.0010.000-0.0005-0.001-0.002-0.02-0.06∗∗ (0.02)(0.07)(0.05)(0.04)(0.03)(0.03)(0.03)(0.03)(0.04)(0.04) git−10.020.030.04∗∗0.07∗∗∗0.06∗∗∗0.03∗∗∗0.03∗∗∗0.030.0120.01 (0.0234)(0.03)(0.03)(0.01)(0.01)(0.01)(0.01)(0.02)(0.03)(0.06) ITit0.073.08∗∗∗1.130.300.04-0.13-0.23-0.65-1.40∗∗∗-4.12∗∗∗ (1.41)(0.70)(0.65)(0.59)(0.52)(0.46)(0.42)(0.43)(0.47)(0.55) 1.ITit:釘住通貨膨脹率政策。 2.*,**,***代表該系數在顯著水準為0.1,0.05,0.01下顯著異於零。 3.˜πit為πit−πit−1。

‧

Ball, L. and Sheridan, N. (2003). Does Inflation Targeting Matter? NBER working paper se-ries,No.9577.

Batini, N. and Laxton, D. (2007). Under what Conditions Can Inflation Targeting Be Adopted?

The Experence Of Emerging Markets. working paper series.

Bernanke, B. and Mihov, I. (1998). Measuring Monetary Policy. The Quarterly Journal of Eco-nomics,Vol. 113, No. 3., pp. 869-902.

Bernanke, B., Laubach, T., Mishkin, F., Posen, A. (1999). Inflation targeting: lessons from the international experience. Princeton University Press, Princeton.

Brito, R. and Bystedt, B. (2010). In fl ation targeting in emerging economies: Panel evidence.

Journal of Development Economics, 91, 198-210.

Carare, A. and Stone, M. (2006). Inflation targeting regimes European Economic Review, 50, 1297-1315.

Galvao, A. (2008). Quantile Regression for Dynamic Panel Data. woking papers.

Filho, I. (2010). Inflation Targeting and the Crisis: An Empirical Assessment. IMF working papers.

Goncalves, C. and Carvalho, A. (2009). Inflation Targeting Matters: Evidence from OECD Economies’ Sacrifice Ratios. Journal of Money, Credit and Banking, Vol. 41, No. 1.

Goncalves, C. and Salles, J. (2008). Inflation targeting in emerging economies:What do the data say?. Journal of Development Economics, 85, 312-318.

Im, K. S., Pesaran, M. H. and Shin, Y. (2003). Testing for unit roots in heterogeneous panels.

Journal of Econometrics, 115, 53-74.

International Monetary Fund (IMF), (2006). Inflation targeting and the IMF. IMF, Washington.

International Monetary Fund (IMF), (2006). Inflation targeting and the IMF. IMF, Washington.

在文檔中 釘住通貨膨脹政策之影響-動態分量迴歸之應用 - 政大學術集成 (頁 34-54)