臺灣的通貨膨脹與經濟成長—以門檻迴歸模型分析

Inflation and Economic Growth in Taiwan：A Threshold Approach

張映文(Chang Ying-Wen)

指導教授 ： 洪福聲

國立政治大學/社會科學學院/行政管理碩士學程/碩士(2018年)

https://doi.org/10.6814/THE.NCCU.MEPA.014.2018.F09

摘要

無論是理論或者實證研究，有關於通貨膨脹與經濟成長的關係，迄今已有非常眾多國內外文獻。然而關於臺灣總體經濟相關實證研究中，尚少出現運用門檻迴歸模型（threshold regression model）分析通貨膨脹與經濟成長兩者間是否存在結構性改變（structural change）的非線性關係（nonlinear）。本研究先行運用線性迴歸分析並以門檻效果檢定方法檢定該線性分析結果是否存在結構性改變，而門檻變數（即通貨膨脹率）分別以CPI估計之通貨膨脹率（INF_CPI）及GDP平減指數估計之通貨膨脹率（INF_GDP）作為代表。檢定結果若存在門檻效果，再以該通貨膨脹率作為門檻變數，並納入其他可能影響實質經濟成長率的變數，包含固定資本形成年增率、出口年增率、政府支出年增率及人口成長率的變動等變數後，運用門檻迴歸模型進行實證分析。

結果發現以GDP平減指數估計之通貨膨脹率作為門檻變數時存在顯著的結構性改變。因此，我們以GDP平減指數估計之通貨膨脹率作為門檻變數，經門檻迴歸分析實證結果得知，通貨膨脹門檻值為2.16%，支持臺灣通貨膨脹及經濟成長之間存在非線性關係。以經濟成長的角度來看，2.16%可能為臺灣的最適通貨膨脹水準。當通貨膨脹率為2.16%以上為高通貨膨脹水準，通貨膨脹的增加對經濟成長有不利影響，未達2.16%時則為低通貨膨脹水準，此時通貨膨脹上升對經濟成長的影響並不顯著，因此過去文獻討論中支持通貨膨脹上升對於經濟有負面影響之結論，於臺灣實證分析可知僅於高通貨膨脹水準時方成立，但如處於低通貨膨脹水準時，兩者間的影響關係會消失。

關鍵字

結構性改變 ； 門檻變數 ； 門檻迴歸模型

並列摘要

Numerous theoretical and empirical studies have reported a nonlinear relationship between inflation and economic growth, namely that this relationship is positive or negative for low levels of inflation, but is definitely and significantly negative for high levels of inflation. Nevertheless, there are very few empirical studies using a threshold regression model to test and verify this nonlinear relationship for Taiwan. To fill this gap, this thesis collects data of Taiwan and employs a threshold regression model to verify whether this nonlinear relationship exists in Taiwan. We find that there is no structure change if the inflation rate is measured by the growth rate of CPI. However, using the growth rate of GDP deflator as the inflation rate, we find that there is a structure break in the relationship between inflation and economic growth, verifying that the relationship between inflation and economic growth is nonlinear in Taiwan. The structure break occurs at 2.16% of the inflation rate. Below 2.16%, an increase in the inflation rate has no significant effect on economic growth; however, once the inflation rate is greater than 2.16%, a further increase in the inflation rate significantly decreases economic growth. Our conclusions accord well with recent internationally recognized inflation level at 2% and provide policy significance for Taiwan’s government.

並列關鍵字

Structural change ； Threshold variables ； Threshold autoregressive model

參考文獻

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