政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/118752

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/118752

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题名:	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
作者:	林志勳 Lin, Chih-Hsun
贡献者:	林信助 Lin, Shinn-Juh 林志勳 Lin, Chih-Hsun
关键词:	菲利浦斯曲線分量迴歸通膨率失業率 Phillips curve Quantile regression Inflation rate Unemployment rate
日期:	2018
上传时间:	2018-07-19 17:24:14 (UTC+8)
摘要:	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.
參考文獻:	中文部分張怡文, 江穎慧, & 張金鶚（2009）。分量迴歸在大量估價模型之應用-非典型住宅估價之改進。都市與計劃, 36（3）, 281-304. 梁茹晴（2012）。臺灣菲利浦斯曲線的實證研究─以分量迴歸分析之。（碩士）, 國立臺北商業技術學院. 莊家彰, & 管中閔（2005）。台灣與美國股市價量關係的分量迴歸分析。經濟論文, 33（4）, 379-404. 陳建良, & 管中閔（2006）。台灣工資函數與工資性別歧視的分量迴歸分析。經濟論文, 34（4）, 435-468. 英文部分 Atkeson, A., & Ohanian, L. E. (2001). Are Phillips curves useful for forecasting inflation? Federal Reserve Bank of Minneapolis. Quarterly Review-Federal Reserve Bank of Minneapolis, 25(1), 2. Ball, L., & Mazumder, S. (2014). A phillips curve with anchored expectations and short-term unemployment. Retrieved from Coad, A., & Rao, R. (2008). Innovation and firm growth in high-tech sectors: A quantile regression approach. Research policy, 37(4), 633-648. Fischer, S. (1977). Long-term contracts, rational expectations, and the optimal money supply rule. journal of Political Economy, 85(1), 191-205. Fitzgerald, T., & Nicolini, J. P. (2014). Is there a stable relationship between unemployment and future inflation? evidence from us cities. Federal Reserve Bank of Minneapolis, Working Paper, 713. Friedman, M. (1968). Dollars and deficits: inflation, monetary policy and the balance of payments. Retrieved from Fuhrer, J., & Moore, G. (1995). Inflation persistence. The Quarterly Journal of Economics, 110(1), 127-159. Gordon, R. J. (1981). Inflation, flexible exchange rates, and the natural rate of unemployment: National Bureau of Economic Research Cambridge, Mass., USA. Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120. Koenker, R., & Bassett Jr, G. (1978). Regression quantiles. Econometrica: journal of the Econometric Society, 33-50. Koenker, R., & Hallock, K. F. (2001). Quantile regression. Journal of economic perspectives, 15(4), 143-156. Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. Review of economics and statistics, 85(4), 1082-1089. Lucas Jr, R. E. (1972). Expectations and the Neutrality of Money. Journal of economic theory, 4(2), 103-124. Lucas Jr, R. E. (1976). Econometric policy evaluation: A critique. Paper presented at the Carnegie-Rochester conference series on public policy. Machado, J. A., & Mata, J. (2005). Counterfactual decomposition of changes in wage distributions using quantile regression. Journal of applied Econometrics, 20(4), 445-465. Mankiw, N. G. (2018). Principles of macroeconomics, 8th editon, Cengage Learning. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162. Peach, R. W., Rich, R. W., & Cororaton, A. (2011). How does slack influence inflation? Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: journal of the Econometric Society, 1361-1401. Phelps, E. S. (1967). Phillips curves, expectations of inflation and optimal unemployment over time. economica, 254-281. Phillips, A. W. (1958). The relation between unemployment and the rate of change of money wage rates in the United Kingdom, 1861–1957. economica, 25(100), 283-299. Reichel, R. (2004). On the death of the Phillips curve: further evidence. Cato J., 24, 341. Samuelson, P. A., & Solow, R. M. (1960). Analytical aspects of anti-inflation policy. The American Economic Review, 50(2), 177-194. Staiger, D., Stock, J. H., & Watson, M. W. (1997). The NAIRU, unemployment and monetary policy. Journal of economic perspectives, 11(1), 33-49. Stock, J. H., & Watson, M. W. (2008). Phillips curve inflation forecasts. Retrieved from Taylor, J. B. (1980). Aggregate dynamics and staggered contracts. journal of Political Economy, 88(1), 1-23. Xu, Q., Niu, X., Jiang, C., & Huang, X. (2015). The Phillips curve in the US: A nonlinear quantile regression approach. Economic Modelling, 49, 186-197. Zivot, E., & Andrews, D. W. K. (2002). Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis. Journal of business & economic statistics, 20(1), 25-44.
描述:	碩士國立政治大學國際經營與貿易學系 105351026
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0105351026
数据类型:	thesis
DOI:	10.6814/THE.NCCU.IB.024.2018.F06
显示于类别:	[國際經營與貿易學系 ] 學位論文

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