物價膨脹不確定性對產出的影響--雙變量GARCH-M模型__臺灣人文及社會科學引文索引資料庫

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題名：	物價膨脹不確定性對產出的影響--雙變量GARCH-M模型
書刊名：	經濟論文叢刊
作者：	沈中華／魏文忠
作者(外文)：	Shen, Chung-hua／Wei, Wen-chung
出版日期：	1995
卷期：	23:1
頁次：	頁117-148
主題關鍵詞：	物價膨脹；不確定性；產出；影響；雙變量GARCH-M模型
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:0 點閱:11

本文以台灣的資料檢定物價不確定性是否對產出有負面的影響。由於傳
統二步驟估計法可能得到不具一致性的估計值，因此本文除了以雙變量自迴歸條
件異質變異數(GARCH-M)設定外，並利用充份訊息最大概似法及工具變數法，以
獲得具一致性的估計值。與二步驟法相比較，前二種估計法所得到的實證結果支
持Friedman的論點-物價不確定性有害於實質經濟活動。

以文找文

This paper examines the effect of inflation uncertainty on the realGNP in
Taiwan. Traditional two-step estimation method is extended to the bivariate
generalized autoregreesive conditional heteroskedasticity (GARCH-M) process so as
to avoid the possibleinconsistent estimator. Furthermore, the full information
maximum likelihood (FIML) and instrument variable (IV) approachesare both applied
to make a comparison with the two-step esmtimators. The empirical results of the first
two estimations supportthe argument that inflationary uncertainty is detrimental to
theeconomy, but no influence is found via two-step estimation.

以文找文

期刊論文
1.	Gardner, E. S.(1985)。Exponential smoothing: The state of the art。Journal of Forecasting，4(1)，1-28。
2.	Friedman, Milton(1977)。Nobel Lecture: Inflation and Unemployment。The Journal of Political Economy，85(3)，451-472。
3.	Watson, Mark W.、Stock, James H.、Sims, Christopher A.(1990)。Inference in Linear Time Series Models with Some Unit Roots。Econometrica，58(1)，113-144。
4.	Engle, R. F.(1983)。Estimates of the Variance of U. S. Inflation Based upon the ARCH Model。Journal of Money, Credit and Banking，15(3)，286-301。
5.	Coulson, N. E.、Robins, R. P.(1985)。Aggregate Economic Activity and the Variance of Inflation Another Look。Economic Letters，17，71-75。
6.	Hylleberg, S.、Jorgensen, C.、Sorensen, N. K.(1993)。Seasonality in Macroeconomic Time Series。Empirical Economics，18，321-335。
7.	Pagan, A.、Ullah, A.(1988)。The Econometric Analysis of Models with Risk Terms。Journal of Applied Econometrics，3(2)，87-105。
8.	Diebold, F.、Nerlove, M.(1989)。The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model。Journal of Applied Econometrics，4，1-21。
9.	Lee, Sang Bin、Ohk, Ki Yool(1992)。Stock Index Futures Listing and Structural Change in Time-Varying Volatility。Journal of Futures Markets，12(5)，493-509。
10.	Hylleberg, S.、Engle, R. F.、Granger, C. W. J.、Yoo, B. S.(1990)。Seasonal integration and cointegration。Journal of Econometrics，44，215-238。
11.	Nelson, C. R.、Plosser, C. I.(1982)。Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications。Journal of Monetary Economics，10(2)，139-162。
12.	Cecchetti, S. G.、Cumby, R. E.、Figlewski, S.(1988)。Estimation of the Optimal Future Hedge。The Review of Economics and Statistics，1988(Aug.)，623-630。
13.	Engle, R. F.、Granger, C. W. J.、Krafer, D. F.(1984)。Combining Competing Forecasts of Inflation Using a Bivariate ARCH Model。Journal of Economic Dynamics and Control，8，151-165。
14.	Evans, P.(1983)。Price-Level Instability and Output in the U. S.。Economic Inquiry，172-187。
15.	Froyen, R. T.、Waud, R. N.(1985)。Demand Variability, Supply Shocks and the Output-Inflation Tradeoff。The Review of Economics and Statistics，9-15。
16.	Froyen, R. T.、Waud, R. N.(1987)。An Examination of Aggregate Price Uncertainty in Four Countries and Some Implications for Real Output。Interantional Economic Review，1987(Jun.)，353-372。
17.	Hoffman, D. L.、Low, S. A.、Schlagenhauf, D. E.(1984)。Tests of Rationality, Neutrality and Market Efficiency: A Monte Carlo Analysis of Alternative Test Statistics。Journal of Money? Credit and Banking，17，328-346。
18.	Holland, A. S.(1984)。Does Higher Inlfation Lead to More Uncertainty Inflation。Review, Federal Reserve Bank of St. Louis，1984(Feb.)。
19.	Holt, M.、Aradhyula, S. V.(1990)。Price Risk in Supply Equation: An applicaiton of GARCH Time-Series Models to the U. S. Broil Market。Southern Economic Journal，59，230-242。
20.	Holt, M. T.、Moschini, G.(1992)。Alternative Measures of Risk in Commodity Supply Models: An Analysis of Sow Farrowing Decisions in the United States。Journal of Agricultural and Resource Economics，17，1-12。
21.	Jansen, D. W.(1989)。Does Inflation Uncertainty Affect Output Growth? Further Evidence。Review, Federal Reserve Bank of St. Louis，1989(Jul./Aug.)。
22.	Kantor, L. G.(1986)。Inflation Uncertainty and real economic activity: An Alternative Approach。The Review of Economics and Statistics，68，493-500。
23.	Levi, M. P.、Makin, J. M.(1980)。Inflation Uncertainty and the Phillips Curve: Some Empirical Evidence。American Economic Review，70(6)，1022-1027。
24.	Makin, J. H.(1982)。Anticipated Money, Inflation Uncertainty and Real Economic Activity。The Review of Economics and Statistics，126-134。
25.	Mullineaux, D. J.(1980)。Unemployment, Industrial Production and Inflation Uncertainty in the United Sates。The Review of Economics and Statistics，2，163-169。
26.	Okun, A. M.(1971)。The Mirage of Steady Inflation。Brookings Papers on Economic Activity，2，485-498。
27.	Pagan, A. R.(1984)。Econometric issues in the Analysis of Regressions with Generated Regression。International Economic Review，25，221-247。
28.	Ratti, R. A.(1985)。The Effects of Inflation Surprises and Uncertainty on real wages。The Review of Economics and Statistics，309-314。
29.	Smirlock, M.(1982)。Inflation Uncertainty and the Demand for Money。Economic Inquiry，355-364。
30.	Wallis, K.(1972)。Testing for Fourth Order Autocorrelation in Quarterly Regression Equations。Econometrica，40，617-636。
31.	Zarnowitz, V.、Lambros, L. A.(1987)。Consensus and Uncertainty in Economic Prediction。Journal of Political Economy，95，591-621。
32.	Lamoureux, C. G.、Lastrapes, W. D.(1990)。Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects。The Journal of Finance，45(1)，221-229。
33.	Chou, R. Y.(1988)。Volatility Persistence and Stock Valuation: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics，3，279-294。
34.	Lucas, Robert E. Jr.(1973)。Some International Evidence on Output-Inflation Trade-Offs。American Economic Review，63(3)，326-334。
35.	Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。
36.	Bollerslev, Tim(1987)。A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return。The Review of Economics and Statistics，69(3)，542-547。
37.	Bollerslev, Tim、Engle, Robert F.、Wooldridge, Jeffrey M.(1988)。A Capital Asset Pricing Model with Time-Varying Covariances。Journal of Political Economy，96(1)，116-131。
38.	Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。
39.	Bollerslev, Tim、Wooldridge, Jeffrey M.(1992)。Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances。Econometric Reviews，11(2)，143-172。
40.	Lamoureux, Christopher G.、Lastrapes, William D.(1990)。Persistence in Variance, Structural Change, and the GARCH Model。Journal of Business and Economic Statistics，8(2)，225-234。
41.	Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。

研究報告
1.	Hansen, B.(1991)。Inference When a Nuisance Parameter is Not Indentified Under the Null Hypothesis (計畫編號：296)。Department of Economics, University of Rochester。

圖書
1.	Diebold, F. X.(1988)。Empirical Modelling of Exchange Rate Dynamics。New York：Spring Verlag。
2.	Pesaran, M. H.(1987)。The Limiting of Rational Expectaion Unit Root Hypothesis。Oxford：Basil Blackwell。
3.	Harvey, Andrew C.(1989)。Forecasting, Structural Time Series Models and the Kalman Filter。Cambridge：Cambridge University Press。

單篇論文
1.	Baba, Y.，Engle, R. F.，Krafe, D. F.，Kroner, K. F.(1989)。Multivariate Simultaneous Generalized ARCH，University of California。

圖書論文
1.	沈中華(1991)。物價膨漲對產出的非對稱影響。中國經濟學會論文集。延伸查詢
2.	Johansen, S.(1993)。An I(2) Cointegration of the Purchasing Power Parity between Australia and the United States。The Exchange Rate。Palo Alto, Ontario。

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