小型開放經濟體系之成本管道-現值模型之分析

The Cost Channel in a Small Open Economy: The Analysis of the Present Value Model

許雅琳(Ya-Lin Hsu)

指導教授 ： 張瑞娟 ； 陳江明

國立暨南國際大學/管理學院/經濟學系/碩士(2011年)

https://doi.org/10.6837/NCNU.2011.00089

摘要

本文欲研究在加入金融市場的小型開放經濟體，以新凱因斯理論為基礎，架構前瞻性 (forward-looking) 菲利浦曲線，並檢定在貨幣傳遞機制中，利率如何經由成本管道影響通貨膨脹的動態行為。本文遵循Tillmann (2008) 的實證方法，先使用現值模型 (present value model) 求出未來所得之勞動份額與本國名目利率的折現值加總，用以配適一組與理論相符之通貨膨脹序列，再與實際通貨膨脹對照。以台灣、加拿大和澳洲的資料作為研究對象，前瞻性菲利浦曲線的估計結果顯示，當成本管道存在時，一旦利率上升，廠商會將提高的邊際成本轉嫁至產品定價，最終致使通貨膨脹上漲；此時，理論通貨膨脹與實際通貨膨脹的歷史軌跡，將能更為接近。此外，本研究的結果，也說明了小型開放經濟體系之成本管道強度大於封閉經濟體系之強度，進而使得在理論通貨膨脹的配適，能獲得更好的結果。

關鍵字

小型開放經濟體 ； 現值模型 ； 金融市場摩擦 ； 新凱因斯菲利浦曲線

並列摘要

Based on New Keynesian framework, the thesis attempts to incorporate financial market in a small open economy to derive the forward-looking Phillips curve, and examines the impacts of the interest rate on inflation dynamics through the cost channel of monetary transmission mechanism. Following Tillmann’s (2008) empirical approach, this paper uses present value model to derive the discounted sum of the future labor share of total income and domestic nominal interest rate, generating a fundamental inflation series, which compares to the actual inflation. Taking the data for Taiwan, Canada, and Australia data, the empirical evidence from estimated forward- looking Phillips curve shows that , the cost channel, firms pass through their increasing marginal cost of production into their goods price and eventually into increasing when interest rates raise; thereby the fundamental inflation can closely fit with the historic series of actual inflation. Besides, the results also verify that the strength of cost channel is more effective in a small open economy than that in closed, so that the fitness of the fundamental inflation is much better.

並列關鍵字

Small Open Economy ； Present value model ； Financial Market Frictions ； New Keynesian Phillips curve

參考文獻

陳旭昇(2009)，《時間序列分析：總體經濟與財務金融之應用》，台北市：東華書局。

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