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| Title: | 以分量迴歸分析美國菲利浦斯曲線之實證研究
An empirical study of Phillips curve with expectation in the US: A quantile regression approach |
| Authors: | 林志勳
Lin, Chih-Hsun |
| Contributors: | 林信助
Lin, Shinn-Juh
林志勳
Lin, Chih-Hsun |
| Keywords: | 菲利浦斯曲線
分量迴歸
通膨率
失業率
Phillips curve
Quantile regression
Inflation rate
Unemployment rate |
| Date: | 2018 |
| Issue Date: | 2018-07-19 17:24:14 (UTC+8) |
| Abstract: | 自1970年代的兩次石油危機，推升價格的因素來自供給面而非需求面後，菲利浦斯曲線所代表的失業率與通膨的抵換關係不再穩定，且實證估計結果多呈現平坦化甚至正斜率的現象。多數研究用來估計菲利浦斯曲線的最小平方法，僅能描述失業率與通膨率的平均關係，無法探討在不同經濟環境下兩者的抵換關係。有鑑於此，本文以美國1978年至2017年6月的資料進行分析，利用分量迴歸 (quantile regression) 模型重新估計Friedman (1968) 提出的附加預期的菲利浦斯曲線 (expectations-augmented Phillips curve) 模型。我們的實證結果顯示：當通膨率處在相對低的水準下，失業率與通膨的確存在顯著的抵換關係，且經濟體系處在低通膨的蕭條時期，通膨率越低則兩者的抵換關係越明顯；但當通膨率處在極端高的水準下，失業率與通膨不僅不存在抵換關係，反而還呈現正向相關。意即失業率與通膨的關係會隨經濟環境變動而有所不同，此乃透過最小平方法所無法得到的實證結果。本結果亦隱含：對政府而言，在低通膨的經濟蕭條環境下，運用寬鬆的貨幣政策可以有效拉升通膨率，以達到降低失業率的政策目標。
Since the 1970s, the Phillips curve, an estimated relation between the unemployment rate and the inflation rate, has been unstable due to oil crises. Many empirical results show that the Philips curve has become flatter, and sometimes even positively-sloped. However, the least squares method employed in most exiting literature examining the Phillips curve can only describe average relation between the unemployment rate and the inflation rate. In particular, such a method fails to depict the unemployment-inflation relation under different economic regimes. Hence, with the U.S. data from January 1978 to June 2017, this paper applies the quantile regression to re-estimate the expectations-augmented Phillips curve proposed by Friedman (1968). The empirical results show that the trade-off between the unemployment rate and the inflation rate exists when inflation rate is at a relative low level. The lower inflation rate is, the trade-off is much more pronounced. Nevertheless, such negative trade-offs do not exist when the inflation rate is at an extremely high level. Accordingly, we find that the relation varies with the economic regimes. These results also imply that loose government policies during economic recessions can be effective and useful, i.e. increasing the inflation rate can reduce the unemployment rate. |
| Reference: | 中文部分
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
105351026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105351026 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.IB.024.2018.F06 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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