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研究生:黎葉恆
研究生(外文):Le Huyen Trang
論文名稱:國內生產毛額、通貨膨脹、與政府債 務之因果關係探討-希臘與法國之實 證分析
論文名稱(外文):The Granger Causality Relationship between GDP Growth, Inflation Rate and Gross Government Debt - Evidence from Greece and France
指導教授:賴素鈴賴素鈴引用關係
指導教授(外文):Lai, Sue-Ling
口試委員:郭國誠陳美惠
口試委員(外文):Kuo, Kuo-ChengCHEN, MEI-HUI
口試日期:2013-06-28
學位類別:碩士
校院名稱:中國文化大學
系所名稱:國際貿易學系
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2013
畢業學年度:101
語文別:英文
論文頁數:50
外文關鍵詞:Gross domestic product (GDP)Inflation rateGross government debtVector Autoregression (VAR)Granger causality
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This paper attempts to explore some additional empirical evidences of the relevance of gross domestic product (GDP), inflation and government debt in Greece and France based on the 31-year period from 1980 to 2010. The stationarity of GDP, inflation and gross government debt were first checked by ADF and PP tests for unit root hypothesis. The casual relationship between GDP, inflation and government debt were inspected with Vector Autoregression (VAR) model and Granger causality test.
The Granger causality results indicated that there was a unidirectional causality running from government debt to GDP as well as inflation to GDP in France. At the same time, our finding also pointed out a bidirectional correlation between inflation and government debt. However, in Greece, the Granger causality results specified a unidirectional causality running from GDP and another one running from inflation to government debt. It disclosed a unidirectional relationship running from GDP to inflation in Greece.

ABSTRACT .iii
ACKNOWLEDGMENTS .iv
CONTENTS ….. .v
LIST OF TABLES . vii
LIST OF FIGURES . viii
CHAPTER ONE INTRODUCTION .1
1.1 Research background and motivation ..1
1.2 Greece’s economic context .. 2
1.3 France’s economic context .. 3
1.4 Research objectives and contributions .. 5
1.5 Scope of the study and research procedure .. 5
1.6 Structure of the study .. 6
CHAPTER TWO LITERATURE REVIEW .. 8
2.1 Causal relationship of GDP and inflation .. 8
2.2 Causal relationship of GDP and government debt . 10
2.3 Causal relationship of inflation and government debt . 13
CHAPTER THREE RESEARCH METHODOLOGY . 16
3.1 Unit root test . 18
3.2 Co-integration test . 20
3.3 Optimal lag length test . 20
3.4 Vector Autoregression . 21
3.5 Granger causality . 22
CHAPTER FOUR EMPIRICAL ANALYSIS . 23
4.1 Unit root test . 28
4.2 Co-integration test . 29
4.3 Optimal lag length test . 29
4.4 Vector Autoregression model . 30
4.5 Granger causality test . 39
CHAPTER FIVE CONCLUDING REMARKS AND SUGGESTION . 42
5.1 Causal relationship of GDP, inflation and government debt in Greece . 42
5.2 Causal relationship of GDP, inflation and government debt in France .43
5.3 Policy implications for Greece and France and suggestion . 44
REFERENCES . 46

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