臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：通貨膨脹率之預測
書刊名：經濟論文
作者：吳若瑋
作者(外文)：Wu, Jo-wei
出版日期：2015
卷期：43:2
頁次：頁253-285
主題關鍵詞：通貨膨脹預測；費雪假說；要素分析；長期利率；誤差修正模型；Inflation forecast；Fisher hypothesis；Factor analysis；Long-term interest rate；Error-correction model
原始連結：連回原系統網址new window
相關次數：
  • 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)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:12
本文強調於通貨膨脹預測時應同時考慮其他國際間有用的訊息，因此透過長期利率中隱含有關未來通貨膨脹重要訊息之特徵，以要素分析法，結合21個OECD國家之長期利率中有關未來長期國際通膨之重要訊息，並以誤差修正要素預測模型來探討其是否有助於改善通貨膨脹之預測。在1985年第一季至2013第四季之研究期間，實證結果顯示透過要素分析法，自跨國利率中萃取之共同成分，有助於改善大部分國家未來中短期通貨膨脹之預測。另外，本文亦以領導國之利率作為反映國際訊息之重要變數，在誤差修正預測模型的架構下，預測結果同樣顯示有助於敐善多數國家通貨膨脹之預測。
This paper points out that inflation forecasts should also take into account global factors. The Fisher hypothesis indicates that long-term interest rates contain information on future inflation information. We extract global factors and common components from long-term interest rates in 21 OECD countries and then apply an error-correction model to predict inflation rates. Our empirical results reveal that (1) the common component is helpful to improve the predictability on inflation rates, (2) the interest rates of leading country reflects the information of global inflation and hence are helpful to enhance the accuracy of inflation rate forecasts.
期刊論文
1.D'Agostino, Antonello、Surico, Paolo(200903)。Does Global Liquidity Help to Forecast U.S. Inflation。Journal of Money, Credit and Banking，41(2/3)，479-489。  new window
2.Fama, Eugene F.(1975)。Short Term Interest Rates as Predictors of Inflation。American Economic Review，65(3)，269-282。  new window
3.Andrews, D. W. K.(1991)。Heteroskedaticity and Autocorrelation Consistent Covariance Matrix Estimation。Econometrica，59，817-858。  new window
4.Atkeson, A.、Ohanian, L. E.(2001)。Are Phillips Curve Useful for Forecasting Inflation?。Federal Reserve Bank of Minneapolis Quarterly Review，25(1)，2-11。  new window
5.Tanaka, S.、Kurozumi, E.(2012)。Investigating Finite Sample Properties of Estimators for Approximate Factor Models When N Is Small。Economics Letters，116，465-468。  new window
6.Wallace, M. S.、Warner, J. T.(1993)。The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegration。The Review of Economics and Statistics，75(2)，320-324。  new window
7.Ang, Andrew、Bekaert, Geert、Wei, Min(2007)。Do Macro Variables, Asset Markets, or Surveys Forecast Inflation Better?。Journal of Monetary Economics，54(4)，1163-1212。  new window
8.Banerjee, A.、Marcellino, M.(2006)。Are There Any Reliable Leading Indicators for US Inflation and GDP Growth?。International Journal of Forecasting，22(1)，137-151。  new window
9.Byrne, J. P.、Fazio, G.、Fiess, N.(2012)。Interest Rate Co-Movements, Global Factors and the Long End of the Term Spread。Journal of Banking and Finance，36(1)，183-192。  new window
10.Canova, F.(2005)。The Transmission of US Shocks to Latin America。Journal of Applied Econometrics，20，229-251。  new window
11.Ciccarelli, M.、Mojon, B.(2010)。Global Inflation。The Review of Economics and Statistics，92(3)，524-535。  new window
12.Clark, T. E.、West, K. D.(2007)。Approximately Normal Tests for Qual Predictive Accuracy in Nested Models。Journal of Econometrics，138(1)，291-311。  new window
13.Shiller, R. J.、Siegel, J.(1977)。The Gibson Paradox and Historical Movement in Real Interest Rates。Journal of Political Economy，85，891-907。  new window
14.Mishkin, F. S.(1991)。A Multi-Country Study of the Information in the Term Structure about Future Inflation。Journal of International Money and Finance，10，2-22。  new window
15.Inklaar, R.、Jacobs, J.、Romp, W.(2004)。Business Cycle Indexes: Does a Heap of Data Help?。Journal of Business Cycle Measurement and Analysis，3，309-336。  new window
16.Jorion, P.、Mishkin, F. S.(1991)。A Multicounty Comparison of Term-Structure Forecasts at Long Horizons。Journal of Financial Economics，29(1)，59-80。  new window
17.Mackowiak, B.(2007)。External Shocks, U.S. Monetary Policy and Macroeconomic Fluctuations in Emerging Markets。Journal of Monetary Economics，54，2512-2520。  new window
18.Gosselin, M. A.、Tkacz, G.(2010)。Using Dynamic Factor Models to Forecast Canadian Inflation: The Role of US Variables。Applied Economics Letters，17，13-18。  new window
19.Hofmann, B.(2009)。Do Monetary Indicators Lead Euro Area Inflation?。Journal of International Money and Finance，28，1165-1181。  new window
20.Demirel, U. D.(2009)。The Transmission of Foreign Interest Rate Shocks to a Small-Open Economy: The Role of External Debt and Financial Integration。The B.E. Journal of Macroeconomics，9(1)，1-37。  new window
21.Engsted, T.(1995)。Does the Long-Term Interest Rate Predict Future Inflation? A Multi-Country Analysis。The Review of Economics and Statistics，77(1)，42-54。  new window
22.Chamberlain, G.、Rothschild, M.(1983)。Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets。Econometrica，51(5)，1281-1304。  new window
23.Stock, James H.、Watson, Mark W.(2003)。Forecasting Output and Inflation: The Role of Asset Prices。Journal of Economic Literature，41(3)，788-829。  new window
24.Moon, H. R.、Perron, B.(2007)。An Empirical Analysis of Nonstationarity in a Panel of Interest Rates with Factors。Journal of Applied Economics，22，383-400。  new window
25.Mark, Nelson C.、Sul, Donggyu(2001)。Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel。Journal of International Economics，53(1)，29-52。  new window
26.Mishkin, F. S.(1990)。The Information in the Longer-Maturity Term Structure about Future Inflation。Quarterly Journal of Economics，55，815-828。  new window
27.Kose, M.、Otrok, C.、Whiteman, C.(2003)。International business cycles: world, region and country-specific factors。American Economic Review，93(4)，1216-1239。  new window
28.Forni, M.、Hallin, M.、Lippi, M.、Reichlin, L.(2003)。Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?。Journal of Monetary Economics，50(6)，1243-1255。  new window
29.Frankel, J.、Schmukler, S. L.、Serven, L.(2004)。Global Transmission of Interest Rates: Monetary Independence and Currency Regime。Journal of International Money and Finance，23，701-733。  new window
30.Bai, Jushan、Ng, Serena(2002)。Determining the Number of Factors in Approximate Factor Models。Journal of the Econometric Society，70(1)，191-221。  new window
31.Mishkin, Frederic S.(1990)。What Does the Term Structure Tell Us about Future Inflation?。Journal of Monetary Economics，25(1)，77-95。  new window
32.Stock, J. H.、Watson, M. W.(2002)。Macroeconomic Forecasting Using Diffusion Indexes。Journal of Business & Economic Statistics，20(2)，147-162。  new window
33.Bai, J.(2003)。Inferential Theory for Factor Models of Large Dimensions。Econometrica，71(1)，135-171。  new window
34.Boivin, J.、Ng, S.(2006)。Are More Data Always Better for Factor Analysis?。Journal of Econometrics，132(1)，169-194。  new window
35.Crowder, W. J.、Hoffman, D. L.(1996)。The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited。Journal of Money, Credit, and Banking，28(1)，102-118。  new window
36.Mishkin, F. S.(1992)。Is the Fisher effect for real?: A reexamination of the relationship between inflation and interest rates。Journal of Monetary Economics，30(2)，195-215。  new window
37.Stock, J. H.、Watson, M. W.(2002)。Forecasting Using Principal Components from a Large Number of Predictors。Journal of American Statistic Association，97，1167-1179。  new window
38.Stock, J. H.、Watson, M. W.(1999)。Forecasting inflation。Journal of Monetary Economics，44(2)，293-335。  new window
39.Mark, Nelson C.(1995)。Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability。American Economic Review，85(1)，201-218。  new window
40.Bai, Jushan、Ng, Serena(2004)。A Panic Attack on Unit Roots and Cointegration。Econometrica，72(4)，1127-1177。  new window
41.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。  new window
研究報告
1.Stock, J. H.、Watson, M. W.(2008)。Phillips Curve Inflation Forecasts。  new window
2.Ciccarelli, M.、Mojon, B.(2005)。Global Inflation。  new window
圖書
1.Fisher, I.(1930)。The Theory of Interest Rate。New York：Macmillan。  new window
2.Mark, Nelson C.(2001)。International Macroeconomics and Finance: Theory and Econometric Methods。Blackwell Publishers, Ltd.。  new window
3.Jolliffe, Ian T.(2002)。Principal Component Analysis。Springer。  new window
圖書論文
1.Clark, T. E.、McCracken, M. W.(2013)。Advances in Forecast Evaluation。Handbook of Economic Forecasting。Amsterdam：North-Holland。  new window
2.Rogoff, K. S.(2007)。Impact of Globalization on Monetary Policy。The New Economic Geography: Effects and Policy Implications。Kansas City, MO：Federal Reserve Bank of Kansas City。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：1161（臺灣：1132，外國：29） ／ 本年度總使用人次：2625314 ／ 訪客人次（自102年09月）：68427696
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上