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    Title: 運用菲利浦曲線預測物價
    Forecasting Taiwan Inflation using Phillips Curve
    Authors: 王宣智
    Contributors: 饒秀華
    徐士勛

    王宣智
    Keywords: Phillips 曲線
    通貨膨脹率
    模擬樣本外預測
    Diebold-Mariano 檢定
    結構穩定性
    遞迴迴歸
    組合預測模型
    Date: 2016
    Issue Date: 2016-07-01 15:24:10 (UTC+8)
    Abstract: 大多數國家的中央銀行均以「穩定物價,控制通貨膨脹」視為貨幣政策的主要目標,因此本研究以 Stock and Watson (1999) 為基本架構,運用2000年1月至2015年12月台灣失業率與其他經濟指標之 Phillips 曲線模型,以遞迴迴歸 (recursive regression) 的方式進行模擬樣本外預測1個月與12個月核心消費者物價指數通貨膨脹率及消費者物價指數通貨膨脹率,及檢驗模型結構穩定性,並利用組合預測方式,進行模型預測績效比較。

    其實證結果顯示:核心消費者物價指數年增率模型的預測績效優於消費者物價指數模型的預測績效,而比較失業率及其他經濟指標之 Phillips 曲線各個單一模型,在模擬樣本外預測1個月核心消費者物價指數年增率之預測績效,為營造工程物價指數 (cci) 表現最好,再者發現預測12個月核心消費者物價指數之 Rel. RMSFE 比預測1個月核心消費者物價指數之 Rel. RMSFE 來的小,另外Diebold-Mariano 檢定對於核心消費者物價指數 (cpix) 和消費者物價指數 (cpix) 做為通貨膨脹率之組合預測模型樣本外預測1個月通貨膨脹率之預測績效皆沒有改善效果,反而是部分組合預測模型在樣本外預測12個月通貨膨脹率之預測績效具有改善效果,皆顯示長期預測12個月比短期預測1個月之各個經濟變數的組合預測模型預測績效有明顯的改善,可能係在檢定預測12個月核心消費者物價指數 (cpix) 之 Phillips 曲線模型具有結構性改變影響所致。
    Reference: 中華民國中央銀行全球資訊網,貨幣政策簡介

    侯德潛、徐千婷(2002),「我國通貨膨脹預測模型之建立」,中央銀行季刊,
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    陳柏琪(1997),「物價膨脹與失業率之抵換關係-菲力蒲曲線分析之檢討」,自由中國之工業,第87卷第7期,19-32。

    黃立佳(2001),「澳門的菲利浦士曲線和它對總體經濟政策的啟示」,澳門經濟:澳門經濟學會學報,第15期,第28-37頁。

    張慈恬(2011),「台灣消費者物價指數的預測評估與比較」,國立政治大學經濟學系碩士論文

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    Description: 碩士
    國立政治大學
    經濟學系
    103258024
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103258024
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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