(3.232.129.123) 您好!臺灣時間:2021/03/06 01:39
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:趙億豐
研究生(外文):Yeh-Hong Chao
論文名稱:台灣的物價是否具有完全伸縮性?
論文名稱(外文):Is Taiwan''s general price level perfectly flexible?
指導教授:陳禮潭陳禮潭引用關係
指導教授(外文):Lii-Tarn Chen
學位類別:碩士
校院名稱:逢甲大學
系所名稱:經濟學所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:70
中文關鍵詞:菜單成本新凱因斯學派產出缺口AD-AS模型物價完全伸縮性物價黏稠性
外文關鍵詞:menu costprice perfectly flexibleoutput gapnew KeynesiansAD-AS modelsticky price
相關次數:
  • 被引用被引用:0
  • 點閱點閱:136
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:28
  • 收藏至我的研究室書目清單書目收藏:0
摘  要

近幾年來,物價黏稠性的議題在總體經濟的領域中不斷地受到討論。從事這方面研究的是凱因斯學派的另一支派,經濟學界稱之為新凱因斯學派。新凱因斯學派引進理性預期因素的影響,強調勞動契約的束縛,使工資無法立即調整至均衡工資,因而促使工資並延伸至物價均具有調整遲滯的現象。此外,新凱因斯學派所強調的物價黏稠性模型,亦逐漸地在貨幣政策分析上受到重視。
整體而言,從1980年代起之近二十年資料顯示,台灣貨幣供給成長率(M2)約15.62%,實質GNP成長率約6.9%,物價上漲率大約只有2%;若假設貨幣流通速度很穩定,依據古典的貨幣數量學說,我們發現貨幣供給成長率與物價上漲率及產出成長率之間存在約6.5%的巨大缺口,此遠已違反了古典的貨幣數量學說。過去學者,如Wu and Lin(1994),強調匯率因素對上述的巨大缺口可適度扮演填補的角色,他們認為在貨幣供給高度成長的1980年代,物價的平穩是因為匯率升值所導致。另外,從數據資料顯示貨幣供給的高度成長及低成長的物價,亦令人難以相信台灣的物價是具有完全伸縮性。因此,本文嘗試從總體經濟的角度,利用Dutkowsky(1996)所發展出來的方法,修正的AD-AS模型,推導出可測試一般物價是否具有完全伸縮的計量模型,並利用台總體資料驗證台灣物價的調整是否具有遲緩的特性。
一般而言,物價可能遵循三種調整路徑,包括了物價的調整具有完全伸縮性、調整遲滯(黏稠性)以及完全僵固,從實證的結果發現,台灣物價不具有完全伸縮性,從近二十年來總體的時間序列資料發現,一般物價會隨著時間的改變而改變,呈穩定成長的現象,並非呈完全僵固的現象,從實證結果並比對數據資料所顯示的現象,大致上可推論台灣的一般物價的調整符合新凱因斯的觀點,即物價具有黏稠性的特性。
Abstract

Recently, the issues of sticky price have been discussed in the foreign literature of the macroeconomics field. In order to illustrate sticky price, these authors, called New Keynesians, shown that, in a rational expectation model, an induction of constraint of labor contract has lead wages not to adjust to equilibrium level immediately, which in turn would lead prices to have stagnant adjustment. Besides, New Keynesian sticky-price model has received attention increasingly in monetary policy analysis in more recent year.
It could be shown using Taiwan''s annual data for 1982-2001 that the average annual growth rate of money supply (M2) was 15.62%, and the average annual growth rates of real GNP and price were 6.9% and 2%, respectively. In words, with stable money velocity, there existed a large gap around 6.5%, accordance with classical money quantity theory. Wu and Lin (1994) emphasized that exchange rate could reasonably play a key role to block up this big gap. They emphasized that the sharply appreciation in exchange rate was the reason why the high growth rates of money supply during the 1980s in Taiwan did not cause high inflation rates. From a different point of view, the fact that highly money supply growth rates and lowly inflation rates revealed by Taiwan''s data can also be illustrate by a postulate that price may never perfectly flexible in Taiwan. Therefore, from a viewpoint of macroeconomics, the method, a variation of AD-AS model, developed by Dutkowsky (1996), is employed in this thesis to derive a testable econometric model, which the hypothesis of perfectly flexible price can be examined. Using this empirical model, Taiwan''s macro data are, in turn, adopted to test the hypothesis of stick price.
Generally speaking, price level may follow three ways to adjust-perfect flexibility, stagnancy (stickiness) and perfect rigidity. The empirical results in this thesis show that price level may not be perfectly flexible in Taiwan. In addition, the general price level, shown from Taiwan''s macro time series data, appears stable growth over time. Combining empirical results and actuality phenomenon above can lead us to conclude that the adjustment of general price level in Taiwan may be approximately stagnant, which supports new Keynesians viewpoint of sticky price.
〔論文目次〕
目錄
第一章  緒論…………………………………………………………1
第一節 研究動機與目的……………………………………………1
第二節 研究方法及研究範圍………………………………………4
第三節 本文的架構…………………………………………………4
第二章  物價黏稠性之文獻回顧……………………………………6
第一節 文獻之分類…………………………………………………6
第二節 經濟問題方面………………………………………………9
第三節 計量上的問題………………………………………………15
第四節 資料衡量上的問題…………………………………………15
第五節 通膨衡量上的問題…………………………………………17
第三章  基本理論……………………………………………………18
第一節  物價黏稠性………………………………………………18
第二節  菲力普曲線………………………………………………19
第四章  理論模型及研究方法………………………………………21
第一節  AD-AS的計量模型之建構…………………………………21
第二節  定態與非定態……………………………………………30
第三節  單根檢定…………………………………………………31
第四節  一般化動差估計法(GMM)…………………………………34
第五章  AD-AS的實證分析………………………………………39
第一節  資料來源與資料處理……………………………………39
第二節  實證結果分析……………………………………………41
第六章  結論…………………………………………………………55
參考文獻………………………………………………………………57
附錄……………………………………………………………………65

表次
表一 歷年總體變數的資料-----------------------------------------------------------------------5
表二 各個變數單根檢定的結果------------------------------------------------------------------46
表三 模型估計結果-( 以產出缺口為衡量變數、 以勞動力為衡量變數)----------------47
表四 模型估計結果-( 以產出缺口為衡量變數、 以勞動參與率為衡量變數)---------48
表五 模型估計結果-( 以產出缺口為衡量變數、 以勞動力為衡量變數)-------------49
表六 模型估計結果-( 以產出缺口為衡量變數、 以勞動參與率為衡量變數)---------50
表七 估計結果-( 以存貨缺口為衡量變數、 以勞動力為衡量變數)-----------------51
表八 估計結果-( 以存貨缺口為衡量變數、 以勞動參與率為衡量變數)-------------52
表九 估計結果-( 以存貨缺口為衡量變數、 以勞動力為衡量變數)-----------------53
表十 估計結果-( 以存貨缺口為衡量變數、 以勞動參與率為衡量變數)-------------54
圖次
圖一 衝擊由需求面造成的-----------------------------------------------------19
圖二 衝擊由供給面造成的-----------------------------------------------------19
圖三 台灣菲力普曲線圖-------------------------------------------------------20
圖四 工資率對工資意願的影響-------------------------------------------------66
圖五 總合需求曲線與古典學派下的總合供給曲線---------------------------------68
圖六 總合需求曲線與凱因斯學派下的總合供給曲線-------------------------------69
[參考文獻](一)中文部份:李沃牆(1992),「一般化動差估計分析方法資產訂價模型之應用」,政治大學經濟研究所碩士論文。陳若綺(1997),「臺灣地區利率與產出缺口關連之實證研究」,淡江大學財務金融研究所碩士論文。陳泉穎(2001),「馬可夫轉換模型應用在菲力浦曲線的實證分析-以台灣、日本、美國為例」,中正大學國際經濟研究所碩士論文。 (二)英文部份:Ball, L. (1988), “Is Equilibrium Indexation Efficient?” Quarterly Journal of Economics, 103(2), pp. 299-311.Ball, L. (1991), “The Genesis of Inflation and the Costs of Disinflation,” Journal of Money, Credit and Banking, 23(3), pp. 439-452.Ball, L. (1994), “Credible Disinflation with Staggered Price Setting,” American Economic Review, 84, pp. 282-289.Ball, L. and D. Romer (1990), “Real Rigidities and the Nonneutrality of Money,” Review of Economic Studies, 57, pp. 183-203.Ben-Porath, Yoram (1973), “Labor-Force Participation Rate and The Supply of Labor,” Journal of Political Economy, 81(3), pp. 697-704.Blinder, A. S. (1991), “Why are Prices Sticky? Preliminary Results from an Interview Study,” American Economic Review, 81(2), pp. 89-100.Bordo, M. D. and E. V. Choudhri (1982), “The Link between Money and Prices in an Open Economy: The Canadian Evidence from 1971 to 1980',” Review (Federal Reserve Bank of St. Louis), 64(7), pp. 13-23.Buiter, Willem and Ian Jewitt (1981), “Staggered Wage Setting with Real Wage Relativities: Variations on a Theme of Taylor,” The Manchester School, 49, pp. 211-228.Burger, A. (1978), “Is Inflation All Due to Money?” Review (Federal Reserve Bank of St. Louis), 60(12), pp. 8-12.Calvo, Guillermo A. (1983), “Staggered Contracts in a Utility-Maximizing Framework,” Journal of Monetary Economics, 12, pp. 383-398.Campbell, J. and P. Perron (1991), “What Macroeconomists Should Know about Unit Roots,” in NBER macroeconomics annual(Eds) O. Blanchard and S. Fisher, MIT Press, Cambridge,MA.Caplin, A. S. and D. F. Spurber (1987), “Menu Costs and the Neutrality of Money,” Quarterly Journal of Economics, 102(4), pp. 703-725.Carlton, D. (1986), “The Rigidity of Prices,” American Economic Review, 76(4), pp. 637-658.Cecchetti, S. G. (1986), “The Frequency of Price Adjustment:A Study of the Newsstand Prices of Magazines,” Journal of Econometrics, 31(3), pp. 255-274.Chadha, Bankim、 P. R. Masson and G. Meredith (1992), “Models of Inflation and the Costs of Disinflation,” International Monetary Fund Staff Papers, 39(2), pp. 395-431.Clarida, Richard、Jordi Gali and Mark Gertler (1999), “The Science of Monetary Policy: A New Keynesian Perspective,” NBER Working Paper series, No. 7147.Dickey, D. A. and W. A. Fuller (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, pp. 427-431.Dutkowsky, Donald H. (1996), “Macroeconomic Price Stickiness: Evidence from the Postwar United States,” Journal of Economics and Business, 48, pp. 427-442.Fischer, S. (1977), “Long-Term Contracts, Rational Expectations, and the Optimal Money Supply Rule,” Journal of Political Economy, 85(1), pp. 191-205.Friedman, Milton (1968), “The Role of Monetary Policy,” American Economic Review, 58, pp. 1-17.Fuhrer, Jeffrey C. (1997a), “Inflation/Output Variance Trade-offs and Optimal Monetary Policy,” Journal of Money, Credit and Banking, 29, pp. 214-234.Fuhrer, Jeffrey C. (1997b), “The (Un)Importance of Forward-Looking Behavior in Price Specifications,” Journal of Money, Credit and Banking, 29, pp. 338-350.Fuhrer, Jeffrey C. and George R. Moore (1992), “Monetary Policy Rules and the Indicator Properties of Asset Prices, ”Journal of Monetary Economics, 29, pp. 303-336.Fuhrer, Jeffrey C. and George R. Moore (1995), “Inflation Persistence,” Quarterly Journal of Economics, 440, pp.127-159.Gali, Jordi and Mark Gertler (1999), “Inflation Dynamics: A Structural Econometric Analysis,” Journal of Monetary Economics, 44, pp. 195-222.Gordon, R. J. (1981), “Output Fluctuations and Gradual Price Adjustment,” Journal of Economic Literature, 19(2), pp. 493-530.Gordon, R. J. (1982), “Price Inertia and Policy Ineffectiveness in the United States,” Journal of Political Economy, 90, pp. 1087-1117.Gordon, R. J. (1990), “What is New-Keynesian Economics?” Journal of Economic Literature, 28(3), pp. 1115-1171.Gordon, R. J. (1996), “The Time-Varying NAIRU and Its Implications for Economic Policy,” National Bureau of Economic Research Working Paper series, No. 5735.Granger, C. W. J. and P. Newbold (1974), “Spurious Regressions in Econometrics,” Journal of Econometrics, 2, pp. 111-120.Gregory, Allan W. and Gregor W. Smith (1990), “Calibration as Estimation,” Econometric Reviews, 9(1), pp. 57-89.Hansen, L. P. (1982), “Large Sample Properties of Generalized Method of Moments Estimators,” Econometrica, 50, pp. 1029-1054.Hansen, L. P. and K. J. Singleton (1983), “Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models,” Econometrica, 50(5), pp. 1269-1286.Hodrick, Robert J. and Edward C. Prescott (1997), “Post War Business Cycles an Empirical Investigation,” Journal of Money, Credit and Banking, 29, pp. 1-16.Kandil, M. (1994), “Price Flexibility and Aggregate Stability:New Evidence and Implications,” Economic Inquiry, 32(2), pp. 272-289.Kashyap, A. K. (1995), “Sticky Prices:New Evidence from Retail Catalogs,” Quarterly Journal of Economics, 110(1), pp. 245-274.Kiley, Michael T. (1996), “Endogenous Price Stickiness and Business Cycle Persistence,” Federal Reserve Board, Finance and Economics Discussion Series, No. 1996-23. King, Robert G. and A. L. Wolman (1999), “What should the Monetary Authority Do When Prices Are Sticky?” NBER Conference Report Series, pp. 349-398.Levin, A., V. Wieland and J. Williams(1999), “Robustness of Simple Monetary Policy Rules under Model Uncertainty,” NBER Conference Report, pp. 263-299.Lipsey, Richard G. (1960), “The Relationship between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom,1862-1957: A Futher Analysis” Economica, pp. 1-14.Lucas, Robert E. (1967), “Adjustment Costs and the Theory of Supply,” Journal of Political Economy, 75(4), pp. 321-334.Lucas, Robert E. (1973), “Some International Evidence on Output-Inflation Tradeoffs,” American Economic Review, 63, pp. 326-334.Mankiw, N. G. (1985), “Small Menu Costs and Large Business Cycles: A Macro Economic Model of Monopoly,” Quarterly Journal of Economics, 100, pp. 529-539.Mankiw, N. G. (1990), “A Quick Refresher Course in Macroeconomics,” NBER Working Paper series, No. 3256.Mankiw, N. G. (2001), “The Inexorable and Mysterious Tradeoff Between Inflation and Unemployment,” Economic Journal, forthcoming.Mankiw, N. G. and Reis Ricardo (2001), “Sticky Information Versus Sticky Prices: A Proposal to Replace The New Keynesian Phillips Curve.” NBER Working Paper series, No. 8290.Mankiw, N. G. and D. Romer (1991a), “New Keynesian Economics - Imperfect Competition and Sticky Price,” MIT Press Readings in Economics, pp. 430. Mankiw, N. G. and D. Romer (1991b), “New Keynesian Economics - Coordination Failures and Real Rigidities,” MIT Press Readings in Economics, pp. 450.McCallum, Bennett. T. (1976), “Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates,” Econometrica, 44(1), pp. 43-52.McCallum, Bennett T. (1977), “Price-Level Stickiness and the Feasibility of Monetary Stabilization Policy with Rational Expectations,” Journal of Political Economy, 85, pp. 627-634.McCallum, Bennett T. (2001), “Should Monetary Policy Respond Strongly to Output Gaps?” NBER Working Paper series, No. 8226.McCallum, Bennett T. and Edward Nelson (1999), “Performance of Operational Policy Rules in an Estimated Semi-Classical Structural Model.” NBER Working Paper series, No. 6599. Mincer, Jacob (1962), “Labor Force Participation of Married Women:A Study of Labor Supply,” in Aspects of Labor Economics. Princeton:Princeton Univ. Press.Mincer, Jacob (1966), “Labor Force Participation and Unemployment,” in Prosperity and Unemployment, edited by A. Gordon and M. Gordon, New York:Wiley.Nelson, Charles. R. and Charles I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implcations,” Journal of Monetary Economics, pp. 139-162.Newey, W. K. and K. D. West, (1987) “A Simple, Positive Semidefinite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,” Econometrica, 3, pp. 703-708.Perry, G. (1980), “Inflation in Theory and Practice,” Brookings Papers on Economic Activity, 1, pp. 207-241.Phelps, Edmund (1978), “Inflation Planning Reconsidered,” Economica, 45(178), pp.109-123.Phelps, Edmund S. and John B. Taylor (1977), “Stabilizing Powers of Monetary Policy under Rational Expectations,” Journal of Political Economy, 85(1), pp.163-190. Phillip A. W. (1958), “The Relation between Unemployment and the Rate of Change of Money Wage Rates in United Kingdom,1861-1957,” Economica, 25(100), pp.283-299.Phillips, P. C. and P. Perron (1988) “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, pp. 335-346.Roberts, John M. (1992), “Limited-Information Estimates of New Keynesian Price- Adjustment Models,” Economic Activity Working Paper No. 127, Federal Reserve Board, Washington D.C.Roberts, John M., David J. Stockton and Charles S. Struckmeyer (1994), “Evidence on the Flexibility of Prices,” Review of Economics and Statistics, 76(1), pp. 142-150.Roberts, John M. (1995), “New Keynesian Economics and the Phillips Curve.” Journal of Money, Credit and Banking, 27, pp.975-984.Roberts, John M. (1997), “Is Inflation Sticky?” Journal of Monetary Economics, 39, pp.173-196.Roberts, John M. (1998), “Inflation Expectations and the Transmission of Monetary Policy,” Federal Reserve Board, FEDS Working Paper No. 1998-43.Roberts, John M. (2001), “How Well Does the New Keynesian Sticky-Price Model Fit the Data?” Federal Reserve Board, Finance and Economics Discussion Series, No. 2001-13.Romer, D. Winter (1993), “The New Keynesian Synthesis,” Journal of Economic Perspectives, 7(1), pp. 5-22.Rotemberg, Julio (1982), “Sticky Prices in the United States,” Journal of Political Economy, 90, pp. 1187-1211.Rotemberg, Julio J. (1987), “The New Keynesian Microfoundations,” In Stanley Fischer, ed., NBER Macroeconomics Annual, MIT Press, pp. 69-104.Rotemberg, Julio J. and Michael Woodford (1997), “An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy,” in Ben S. Bernanke and Julio J. Rotemberg, eds., NBER Macroeconomics Annual 1997, MIT Press.Rotemberg, Julio J. and Michael Woodford (1999), “The Cyclical Behavior of Prices and Costs,” NBER Working Paper series, No. 6909.Rudd, Jeremy and Karl Whelan (2001), “New Tests of the New-Keynesian Phillips Curve.” Federal Reserve Board, Finance and Economics Discussion Series, No. 2001-30.Said, S. and D. Dickey (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models with Unknown Order,” Biometrical ,71, pp.599-607.Saini, K. G. (1982), “The Monetarist Explanation of Inflation: The Experience of Six Asian Countries,” World Development, 10, pp. 881-894.Samuelson, Paul and Robert Solow (1959), “Problems of Achieving and Maintaining a Stable Price Level,” American Economic Review, pp.192.Sargent, Thomas J. and Neil Wallace (1975), “Rational Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule,” Journal of Political Economy, 83, pp. 241-254. Sbordone, Argia M. (1998), “Prices and Unit Labor Costs: A New Test of Price Stickiness,” Working Paper, Rutgers University(October).Sims, C. (1998), “Macroeconomics and Reality,” Economic Policy,(1), pp.435-482. Taylor, J. B. (1979), “Staggered contracts in a macro model.” American Economic Review, 69, pp.108-113.Taylor, J. B. (1980), “Aggregate Dynamics and Staggered Contracts.” Journal of Political Economy, 88, pp.1-24.Taylor, J. B. (1999), “Monetary Policy Rules.” University of Chicago Press.Tauchen, George (1985), “Statistical Properties of Generalized Method of Moments Estimates of Structural Parameters Using Financial Market Data,” Duke Working Papers in Economics, 85(8), pp.57.Tauchen, George (1986), “Statistical Properties of Generalized Method of Moments Estimators of Structural Parameters Obtained from Financial Market Data,” Journal of Business and Economic Statistics, 4(4), pp397-416.Wu, C-S and J-L Lin, (1994), “Money, Output, Exchange Rate and Price: The Case of Taiwan,” NBER East Asian Seminar on Economic, Volume 3, Macroeconomic Linkage: Saving, Exchange Rates and Capital Flows, edited by A. Krueger and T. Ito; 185-202.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔