貿易開放對通貨膨脹之影響：最適國家負債率之探討

Study on the Optimal Sovereign Debt Ratio: The Effect of Trade Openness on the Inflation

巫垂晃(Tsui-Huang Wu)

指導教授 ： 聶建中 ； 沈中華

淡江大學/商管學院/財務金融學系博士班/博士(2013年)

https://doi.org/10.6846/TKU.2013.00067

摘要

本論文以1996年至2010年間110個國家的樣本資料，透過Hansen(1999)的縱橫門檻模型(panel threshold model)與Li et al.(2002)的半參數平滑係數模型(semiparametric smooth-coefficient approach)，檢視貿易開放程度與通貨膨脹之關係，並進一步探討國家負債在此關係中所扮演之角色。在縱橫門檻模型的估計過程中，本論文採用國際負債比率作為門檻變數。此模型的估計結果顯示，貿易開放與通貨膨脹具有負向關係，且此負向關係在不同的負債比率區間有不同的顯著性。為了檢驗縱橫門檻模型的穩定度，本論文同時利用運用半參數平滑係數模型，探索貿易開放與通貨膨脹的關係如何隨著債務水準的變動而改變之動態過程。來自半參數平滑係數模型的估計結果顯示，貿易開放與通貨膨脹兩者之間總是呈現負向關係，而此負向關係的程度將隨國家負債程度的增加而變大。

關鍵字

貿易開放 ； 通貨膨脹 ； 縱橫門檻模型

並列摘要

This dissertation uses the panel data of 110 countries for the 1996-2010 periods to explore the relationship between trade openness and inflation through panel threshold model proposed by Hansen (1999) and semiparametric smooth-coefficient approach proposed by Li et al. (2002). The role of sovereign debt in this relationship is further examined. In the estimation of the panel threshold model, this disstertation uses sovereign debt ratio as the threshold variable. The estimated results show that relationship between trade openness and inflation is negative and this relationship varies under different indebtedness regimes. To check the stability of the panel threshold model further, this disstertation also applies semiparametric smooth-coefficient approach to explore how the relationship between trade openness and inflation varies along with change in indebtedness level. The results from the semiparametric smooth-coefficient model reveal the relationship between trade openness and inflation to be always negative and that negative value increases with the increase of the indebtedness level.

並列關鍵字

trade openness ； inflation ； panel threshold model

參考文獻

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