台灣貨幣供給與物價因果關係之探討

The Causality between Money Supply and Price of Taiwan

柯勝揮(Sheng-Huei Ko) ； 孫佩君(Pei-Chun Sun)

《全球管理與經濟》 9卷2期 (2013/12) Pp. 79-82+84-92

https://doi.org/10.6565/JGME.2013.9(2).5

摘要

由於快速的經濟成長與穩定的物價一直是經濟政策的主要目標，而適當的貨幣政策能給社會一個穩定的經濟環境。過去許多文獻曾探討貨幣供給與物價之間的關係，根據M. Friedman的現代貨幣數量學說或Keynes的貨幣理論，在在顯示貨幣供給與物價間相互關係密切。因此，本研究擬應用向量自我迴歸模型與Granger因果關係來討論台灣貨幣供給與物價之因果關係。樣本期間為1981年1月至2012年12月之月資料。綜合實證結果顯示，貨幣供給指標（包括：M1A及M1B）與主要物價指標（包括：WPI及CPI），相互間皆具顯著性之雙向因果關係。換言之，貨幣供給變動將導致物價水準變動，而物價水準變動亦將促使貨幣供給變動。本研究實證結果與貨幣數量理論相互肳合。Ashra，Chattopadhyay，and Chaudhuri（2004）針對印度所作之研究亦有相同之發現。

關鍵字

向量自我迴歸模型 ； 貨幣供給 ； 物價 ； 因果關係

並列摘要

Due to rapid economic growth and stable price has been the main goal of economic policy, and appropriate monetary policy can give a stable economic environment to the community. Many papers focus to explore the relationship between money supply and price, and according to M. Friedman's modern quantity theory of money or Keynesian theory of money, between money supply and price have a high correlation. Therefore, this study is using Vector Autoregression model and Granger causality test to analysis the causality of money supply and price of Taiwan. The beginning of this research period is from January 1981 to December 2012.The results of this study found the presence of bi-directionality causality between money supply (Including: M1A and M1B) and price (Including: WPI and CPI) of Taiwan. In other words, variations in money supply will lead to variations in the price level, and variations in the price level will induce variations in money supply. The empirical result is consistent with the quantity theory of money. Ashra, Chattopadhyay, and Chaudhuri (2004) analysis the study of India also made the same discovery.

並列關鍵字

Vector Autoregression model ； Money Supply ； Price ； Granger causality test