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| Title: | 利用時變係數的分量因子模型分析菲利浦曲線
An Empirical Analysis of the Phillips Curve via a Time-Varying Coefficient Quantile Factor Model |
| Authors: | 彭姿瑄
Peng, Tzu-Hsuan |
| Contributors: | 徐士勛
Hsu, Shih-Hsun
彭姿瑄
Peng, Tzu-Hsuan |
| Keywords: | 分量因子模型
時變係數
菲利浦曲線
Quantile factor model
Time-varying coefficients
Phillips curve |
| Date: | 2025 |
| Issue Date: | 2025-08-04 12:50:35 (UTC+8) |
| Abstract: | 本文使用 Atak et al. (2023) 提出隨時間變化的分量因子模型 (time-varying quantile factor models)，探討 40 個國家於 1995 年第一季至 2023 年第四季菲利浦曲線的變化態勢。該模型在分量迴歸模型的框架中加入具時變因子負載的因子模型，使母體參數能夠隨分量、個體、時間不同而變化。我們在第一階段估計中先建立均數因子模型，利用局部主成分分析估計不可觀察的共同因子。第二階段則建立分量因子模型，將第一階段估計出的共同因子代入，並利用分量非參數估計法估計母體參數。透過上面兩個階段，我們可以估計不同分量下隨個體、時間變化的母體參數。實證分析中，我們參考 Kabundi et al. (2023) 討論通貨膨脹缺口與產出成長缺口關係的菲利浦曲線，並加入油價缺口變數作為全球供給衝擊的替代變數。
大致而言，我們的實證結果發現各國在全球金融風暴後，菲利浦曲線斜率趨於平穩，直到新冠疫情時轉趨陡峭。我們也發現通貨膨脹缺口具有持續性，且不同分量下通貨膨脹缺口的持續性程度不同，通貨膨脹缺口越大持續性越高。此外，在控制石油價格缺口後，我們也發現通貨膨脹缺口的絕對值越大，持續性越高；相反，通貨膨脹缺口的絕對值越小，持續性越低。
This study applies the time-varying quantile factor model by Atak et al. (2023) to examine the evolution of the Phillips curve in 40 countries from 1995Q1 to 2023Q4. The model integrates time-varying factor loadings into a quantile regression framework, allowing parameters to vary across quantiles, individuals, and time. In the two-stage estimation, we first extract unobservable common factors via local principal component analysis. In the second stage, we construct a quantile factor model by incorporating these estimated common factors and then estimate quantile-specific parameters using nonparametric methods. Following Kabundi et al. (2023), we analyze the relationship between the inflation gap and output growth gap, incorporating the oil price gap as a proxy for global supply shocks.
Our empirical results show that the slope of the Phillips curve remained stable across countries after the Global Financial Crisis but steepened during the COVID-19 pandemic. The inflation gap exhibits varying degrees of persistence across quantiles, with greater persistence observed at larger gaps. After controlling for the oil price gap, we further find thatthe absolute value of the inflation gap is positively associated with its persistence. |
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| Description: | 碩士
國立政治大學
經濟學系
112258015 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112258015 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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