臺灣博碩士論文加值系統

本文以17個國家在1971至2010年間通貨膨脹與經濟成長的年資料探討兩者關係，並利用Hansen(1999)提出的追蹤資料門檻模型進行實證分析，且認為金融發展變數是影響兩者關係關鍵的因素，因此以金融發展變數為門檻變數，檢測兩者關係在不同金融發展程度下是否有所不同。實證結果指出通貨膨脹與經濟成長之關係存在單一門檻效果，亦即可將國家區分為高金融發展國家以及低金融金融發家，在高金融發展國家，兩者關係具正向的關係且具統計顯著性；反之亦然。

We employ the panel threshold regression model provided by Hansen (1999) to examine the relationship between inflation and economic growth for seventeen countries from 1971 to 2010. The key innovation of the model is to emphasize the inference of financial development on the relationship between inflation and economic growth.
Empirical results indicate that the relationship between inflation and economic growth exist a single threshold effect. For high financial development countries, positive and significant relationship between inflation and economic growth are observed, but the positive relationship fails to be observed for low financial development countries.

1緒論 1
1.1研究動機與目的 1
1.2本文架構 3
2文獻回顧 4
3研究方法 9
3.1追蹤資料單根檢定 9
3.1.1 Levin, Lin, Chu(LLC)單根檢定 10
3.1.2 Im , Pesaran , Shin(IPS)單根檢定 11
3.2內生性檢定 12
3.3追蹤門檻回歸模型(PANEL THRESHOLD REGRESSION MODEL) 13
3.3.1單一門檻模型假設 13
3.3.2估計 14
3.3.3檢定門檻效果 17
3.3.4檢定門檻值的一致性 18
3.4拔靴法(BOOTSTRAP) 20
4實證結果分析 22
4.1實證模型設立 22
4.1.1估計縮減式 22
4.1.2估計門檻值 23
4.1.3估計模型參數: 23
4.2資料來源與處理 23
4.3資料結果分析 25
4.3.1追蹤資料單根檢定 25
4.3.2內生性檢定 26
4.3.3追蹤資料門檻迴歸模型估計結果 28
4.3.3.1一個控制變數 28
4.3.3.2一個控制變數 31
4.3.3.3三個控制變數 33
4.3.3.4小結 35
5結論 36
參考文獻 37

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