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題名：原油價格對通貨膨脹、利率與貨幣之影響
書刊名：管理科學研究
作者：吳曼華 引用關係
作者(外文)：Wu, Man-hwa
出版日期：2009
卷期：5:2
頁次：頁67-79
主題關鍵詞：油價變動；貨幣；通貨膨脹；利率；Oil price changes；Money；Inflation；Interest rate
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
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  • 點閱點閱:58
近年來，多數的研究針對油價對經濟變數（如GDP、利率、通貨膨脹、工業生產指數）的衝擊，較少數的研究會與貨幣變數一起考量。然而，對政府而言，考量貨幣政策對外生變數的衝擊是非常重要的，因此本文將以更多的一致性考量來檢視油價變動、通貨膨脹、利率與貨幣之間的關係，之後我們將發現實證結果對不同落後期選取準則（如AIC、BIC、PPE、SBC、S與HJC準則）是否表現很敏感，且以六種不同落後期準則來考量非對稱落後期的實證結果是否與考量對稱落後期的實證結果不同。
期刊論文
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6.Hoover, K. D.、Perez, S. J.(1994)。Post hoc ergo propter once more: an Evaluation of 'Does Monetary Policy Matter? in the spirit of James Tobin。Journal of Monetary Economics，34，47-73。  new window
7.Jones, Jonathan D.(1989)。A Comparison of Lag-Length Selection Techniques in tests of Granger Causality between Money Growth and Inflation. Evidence for the U.S., 1959-1986。Applied Economics，21，809-822。  new window
8.Lee, Byung R.、Lee, Kiseok、Ratti, Ronald A.(2001)。Monetary Policy, Oil Price Shocks, and the Japanese Economy。Japan and the World Economy，13，321-349。  new window
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18.Bemanke, Ben S.、Gertler, Mark、Watson, Mark、Sims, Christopher A.、Friedman, Benjamin M.(1997)。Systematic Monetary Policy and the Effects of Oil Price Shocks。Brookings Papers on Economic Activity，1997(1)，91-157。  new window
19.Burbidge, John、Harrison, Alan(1984)。Testing for the Effects of Oil-Price Rises Using Vector Autoregressions。International Economic Review，25(1)，459-484。  new window
20.Hamilton, James D.(1983)。Oil and the Macroeconomy since World War II。Journal of Political Economy，91(2)，228-248。  new window
21.Hsiao, Cheng(1981)。Autoregressive Modeling and Money-Income Causality Detection。Journal of Monetary Economics，7(1)，85-106。  new window
22.Hall, Alastair R.(1994)。Testing for a Unit Root in Time Series with Pretest Data-based Model Selection。Journal of Business and Economic Statistics，12(4)，461-470。  new window
23.Zellner, A.(1962)。An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias。Journal of the American Statistical Association，57(298)，348-368。  new window
24.Granger, Clive W. J.(1986)。Developments in the study of co-integrated Economic Variables。Oxford Bulletin of Economics and Statistics，48(3)，213-228。  new window
25.Sadorsky, Perry(1999)。Oil Price Shocks and Stock Market Activity。Energy Economics，21(5)。  new window
26.Schwarz, Gideon(1978)。Estimating the Dimension of a model。The Annals of Statistics，6(2)，461-464。  new window
27.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society，37(3)，424-438。  new window
28.Hamilton, James D.(1996)。This is what Happened to the oil price-macroeconomy relationship。Journal of Monetary Economics，38(2)，215-220。  new window
29.Cuñado, J.、De Gracia, F. Pérez(2005)。Oil Prices, Economic Activity and Inflation: Evidence for Some Asian Countries。The Quarterly Review of Economics and Finance，45(1)，65-83。  new window
30.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica，55(2)，251-276。  new window
31.Akaike, Hirotsugu(1974)。A new look at the statistical model identification。IEEE Transactions on Automatic Control，19(6)，716-723。  new window
32.Kang, Heejoon(1985)。The effects of detrending in Granger causality tests。Journal of Business and Economic Statistics，3，344-349。  new window
33.Shibata, R.(1980)。Asymptotically efficient selection of the order the model for estimating parameters of a linear process。Annals of Statistics，8，147-164。  new window
會議論文
1.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。The Second International Symposium on Information Theory。Budapest：Akademiai Kiado。267-281。  new window
研究報告
1.Keating, J. W.(1995)。Vector Autoregressive Models with Asymmetric Lag Structure。Washington University。  new window
2.Manera, Matteo、Cologni, Alessandro(2005)。Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries。Fondazione Eni Enrico Mattei。  new window
單篇論文
1.Hacker S.，Hatemi-J, A.(2001)。Optimal Lag Length Choice in the Stable and Unstable VAR Models under Situations of Homoscedasticity and Heterscedasticity。  new window
圖書論文
1.Carlstrom, Charles T.、Fuerst, Timothy S.(2005)。Oil Prices, Monetary Policy, and the Macroeconomy。Economic Commentary。  new window
2.Granger, C. W. J.、Weiss, A. A.(1983)。Time Series Analysis of Error Correcting Models。Studies in Econometric Time-Series and Multivariate Statistics。New York, NY：Academic Press。  new window
 
 
 
 
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