台灣通貨膨脹與匯率關係之研究：共整合與向量誤差修正之研究
摘要
本研究以台灣為例，主旨在探討匯率、國際供給價格、需求衝擊和選舉對台灣通貨膨脹的影響為何，其研究發現，貿易條件為影響匯率的長期關係，且為正向，這與以往學者的研究結果相同；長期穩定關係下，匯率對國內物價指數的影響是負向關係，國際供給衝擊對本國通貨膨漲的影響是雙向的。本研究採用數據從1981年至2014年的季資料。多變量共整合在進行單根檢定之後，使用向量誤差修正模型來估計台灣消費者物價指數在受到其它解釋變數之間的長期關係與短期動態調整，並選用虛擬變數作為VEC模型的外生變數。我們研究的政策含義，通貨膨脹在面對國際供給、價格衝擊、匯率及選舉期間，作為一種貨幣政策工具的靈活性調整，以及其關係的相互影響。
關鍵字：匯率、通貨膨脹、小型開放經濟、需求和供給衝擊、貨幣貶值、共整合檢定、向量誤差修正模型。
作者:
Paul, Muthucattu Thomas1 paul_t@usp.ac.fj
Yih Pin Tang1
Bhatt, Markand1
資料來源:
Journal of Developing Areas. Fall2014, Vol. 48 Issue 4, p1-20. 21p.
文件類型:
Article
主題術語:
*Foreign exchange rates
*Inflation (Finance)
*Supply & demand
*Vector error-correction models
*Monetary policy
Fiji -- Economic conditions
作者提供的關鍵字:
cointegration
demand and supply shocks
devaluation
Exchange rates flexibility
inflation
small open economy
VEC model
摘要:
The main purpose of this study is to examine the effects of the exchange rates, international prices, and the demand shocks on inflation in Fiji. How the domestic inflation in a pegged exchange rate system is aligned with international price shocks is an important monetarist idea, and this is tested in this study. This study employs annual data from 1975 to 2010. The multivariate cointegration tests are done after the unit root tests, and further, the Vector Error Correction (VEC) model shows that the changes in Fiji's CPI are Granger caused by the long-term trends in all other variables, and the CPI in Australia, and devaluation-year dummies are used as exogenous variables in the VEC model, and the changes in exchange rate and changes in demand shocks are the independent variables but made endogenous in the VEC model. The impulse response function also shows that due to the exchange rate depreciation, inflation has increased for many years in Fiji. The policy implication of our study is that as a monetary policy instrument, the flexibility of the exchange rate policy is indispensable for Fiji to appropriately absorb the international supply and price shocks. [ABSTRACT FROM AUTHOR]
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作者所屬機構:
1University of the South Pacific, Fiji
ISSN:
0022-037X
DOI:
10.1353/jda.2014.0061
入藏號碼:
97122685
資料庫:
Business Source Complete
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