本文建立「通貨膨脹–通貨膨脹不確定性–經濟成長」的中介效應模型,以 1974 年第 1 季~2019 年第 4 季 11 個已開發國家的追蹤資料為樣本,探討通貨膨脹不確定性對經濟成長的影響。另外,本文使用追蹤門檻迴歸模型分析通貨膨脹與經濟成長的非線性關係,並探討在不同通貨膨脹狀態下,通貨膨脹不確定性的中介效應有何不同。研究結果顯示,相較於低通膨,高通膨會通過通貨膨脹不確定性對經濟產生更大的不利影響。最後,本文檢驗通貨膨脹目標機制的影響,並發現通膨目標機制雖有助抑制通貨膨脹不確定性的影響,但可能會使通貨膨脹的不利影響加劇。
This paper constructs a mediation model of “Inflation–inflation uncertainty–economic growth” to investigate the impact of inflation uncertainty on economic growth using a panel data of 11 OECD countries between 1974 Q1 to 2019 Q4. Besides, this paper applies a panel threshold regression model of Hansen (1999) to investigate the nonlinear relationship between inflation and economic growth, and analyzes the difference in the mediation effect of inflation uncertainty under different inflation level. Results show that high inflation will cause more adverse effects on the economy via inflation uncertainty than low inflation. At last, this paper investigates the effect of inflation targeting and finds that although inflation targeting can suppress the negative effect from inflation uncertainty, it may aggravate the adverse impact of inflation.