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題名：台灣的貨幣不確定與通貨膨脹、產出之研究
作者：吳曼華
作者(外文)：MAN-HWA WU
校院名稱：淡江大學
系所名稱：管理科學學系
指導教授：歐陽良裕
倪衍森
學位類別：博士
出版日期：2002
主題關鍵詞：貨幣；通貨膨脹；產出；Money；Inflation；output
原始連結：連回原系統網址new window
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本文檢視台灣貨幣、通貨膨脹與產出間的關係，文中將探討貨幣對通貨膨脹與產出的相關課題，包含貨幣對通貨膨脹及產出的效果，以GARCH模型萃取之貨幣波動對通貨膨脹及產出的效果，及以Component GARCH模型萃取之貨幣波動對通貨膨脹及產出的效果。本文探討的有以下三點：其一為實證結果是否會受到不同落後期準則選取所影響；其二為以非對稱落後期所做的實證結果是否與對稱落後期的結果相一致；其三為在不同落後期的準則下，藉由真實資料與模擬的資料來比較系統落後期模型與非系統落後期模型的實證結果是否有所不同。因此，在本文中利用五種落後期準則及對稱與非對稱的模型來檢視這些課題，此五種落後期如：AIC、BIC、FPE、SBC與S準則。在上述相關課題中發現下列實證結果：
一、台灣貨幣與通貨膨脹間之關係
1. 台灣的貨幣數列具有明顯的GARCH效果，因此使用GARCH模型來萃取貨幣的波動性是合適的。
2. 實證結果發現使用不同落後期準則的結果有些許的差異，如FPE與S選取的落後期數較長，AIC選取的期數較短。
3. 即使不同變數挑選不同的落後期數，對稱模型與非對稱模型的實證結果相似，4. 以兩種方法萃取之貨幣波動對通貨膨脹具有顯著的影響，表示貨幣供給之不確定性，如不穩定的貨幣政策，將會容易引發通貨膨脹，即不穩定的貨幣政策可能會對經濟產生振盪的影響。
二、台灣貨幣與產出間之關係
以不同的落後期準則下，在真實資料萃取之波動性的結果顯示相似的Granger因果關係；而模擬的資料卻顯示不同的結果。不論應用上述兩種資料及應用對稱模型與非對稱模型來探討Granger因果關係的實證結果發現貨幣波動對產出成長有顯著的影響。其中在真實資料萃取波動性之Granger因果關係的檢定上，使用不同模型（落後期對稱模型與落後期非對稱模型）與不同落後期選取準則（AIC、BIC、FPE、SBC與S），皆顯示出一致性的實證結果。然而，以模擬資料萃取波動性之結果顯示，考慮不同落後期準則下，落後期模型間卻可能存在著矛盾性，此結果也與Thornton & Batten (1985)所得的結果相符合，亦為他們發現以不同的統計準則選取的模型會產生矛盾的結論。
三、G5國家貨幣與產出間之關係
從實證結果發現貨幣波動對產出成長沒有顯著的效果，然而，在日本資料中卻發現貨幣成長對產出成長則有顯著的正向效果，此現象應驗了貨幣與產出、通貨膨脹之關聯性圖中之所得交易方程式，貨幣供給的增加會使得產出隨之成長。為了驗證本實證結果的強化性，本文對消息（落後期期數）之萃取做更深入的探討，其中有選取相同落後期及選取不同落後期的方式，此外又運用五種不同的落後期選取準則，結果卻發現在不同落後期選取準則下卻顯示出相似的實證結果，應證樣本期間資料之實證結果的強化。
This paper will investigate the effect of money to inflation and output for Taiwan. In this paper, three cases related to money to inflation and output will be investigated. There cases include the effect of money to inflation and output, the effect of money volatility retrieved by GARCH models to inflation and output, and money volatility retrieved by component GARCH models to inflation and output. There are three concerns for doing the above cases. One is if our empirical results are sensitive to different lag-chosen criteria. Another is if the empirical results with concerning asymmetric lag length are different from those with concerning symmetric lag length. The other is to employ both actual data and simulated data, and make comparisons to the results of symmetric lag models and those of asymmetric lag models with concerning different lag length criteria. Therefore, these issues are tested with concerning symmetric and asymmetric lag length, and these issues are also tested with concerning five different lag-chosen criteria, such as AIC, BIC, FPE, SBC, and S criteria. The relative empirical results are shown as follows:
I. The relationship between money and inflation for Taiwan
1. We find that the money series in Taiwan have significant GARCH effects by employing both GARCH models and Component GARCH models. Thus, it will be appropriate to use GARCH models to retrieve money volatilities.
2. The empirical results show somewhat different results by choosing five different lag-chosen criteria. For instance, FPE and S criteria take longer lag structure, but the AIC criterion seems to take shorter lag length than other criteria.
3. In this paper, the empirical results are similar by choosing symmetric models and asymmetric models, even though one chooses the same lag length for different variables, and the other chooses the different lag length for different variables. These phenomena make the empirical results robust.
4. There exist positively significant effects from money volatilities generated by either GARCH (1,1) models or component GARCH models to inflation. These empirical results reveal that the money volatilities will cause the inflation in Taiwan.
II. The relationship between money and output for Taiwan
As for the results of volatilities retrieved by the real data for Granger causality tests, the empirical results are shown the money volatility will cause the output for Taiwan, even though different models (symmetric models and asymmetric models) and different lag-chosen criteria (AIC, BIC, FPE, SBC, and S criteria) are chosen for this empirical study. Under this circumstance, it means that the results for Granger causality tests are robust. However, as for the results of volatilities retrieved by the simulated data, it might imply some contradictions among models with concerning different lag length criteria, and that is coincident with the results of Thornton and Batten’s (1985), who find models selected by different statistical criteria will yield contradictory conclusions.
III. The relationship between money and output for G5 countries
As found in our empirical results, we may conclude that there exist no significant effects of money volatility on output in U.S., U.K., France, and Germany. However, Japan has significant positive effects from money growth to output. In order to make our results robust, this paper select different models (symmetric models and asymmetric models) and different lag-chosen criteria to investigate the effect of money uncertainty to output. The empirical results show similar results by the above concerns.
一、中文部分
1. 花佳正，「通貨膨脹與通膨不確定及利率的因果關係∼亞太地區各國實證研究」，中正大學國際經濟研究所碩士論文，民國八十九年六月。new window
2. 侯德潛、徐千婷，「我國通貨膨脹預測模型之建立」，中央銀行季刊，第二十四卷第三期，民國九十一年九月，頁九~四十。new window
3. 郭保良，「臺灣物價膨脹率的長短期分析與貨幣市場結構」，臺灣大學經濟學研究所碩士論文，民國八十八年六月。
4. 陳文郎，「貨幣與物價--台灣的總體面與個體面之實證研究」，台灣大學經濟學研究所博士論文，民國七十五年六月。new window
5. 陳佳宏，「貨幣政策的不對稱性~亞太地區國家之實證研究」，中正大學國際經濟研究所碩士論文，民國九十年六月。
6. 張靜芳，「台灣貨幣與物價長期關係的研究」，銘傳大學經濟學研究所碩士論文，民國九十年六月。
7. 萬哲鈺，「內生化貨幣供給法則與自我引發性惡性通貨膨脹」，台灣大學經濟學研究所博士論文，民國八十年六月。new window
8. 趙志偉，「貨幣政策對產出物價的非對稱性效果」，國立政治大學銀行學系碩士論文，民國八十五年六月。
9. 藍景恬，「消費者物價與貨幣政策之關聯」，淡江大學財務金融學系碩士論文，民國八十五年六月。
10. 中央銀行秘書處，中央銀行在我國經濟發展中的貢獻，民國八十年十二月。
11. 中央銀行經濟研究處，中華民國中央銀行之制度與功能，民國八十年十二月。
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