通貨膨脹不確定性、產出不確定性和匯率不確定性的影響-多變量GARCH-M模型之應用

The effects of inflation uncertainty,output uncertainty and exchange uncertainty-the application of multivariate GARCH-M model

李芸芳(Yun-Fang Li)

指導教授 ： 陳忠榮 ； 陳禮潭

國立中央大學/管理學院/產業經濟研究所/碩士(2011年)

摘要

本研究將探討產出不確定性、通貨膨脹不確定性和匯率不確定性，分別對產出、通貨膨脹和匯率是否有影響，以及影響的方向。衡量不確定性的方法為GARCH，並估計多變量GARCH-M模型來將不確定性納入均數方程式中，以探討上述研究目的。樣本研究期間從民國51年到98年，總共190筆季資料。研究變數包括經濟成長率、躉售物價指數、匯率和貨幣成長率，資料來源為主計處的網站。

實證結果顯示：產出不確定性增加時會使產出上升，但產出不確定性對通貨膨脹和匯率沒有影響。通貨膨脹不確定性增加時會使產出和通貨膨脹上升，但其不確定性對匯率沒有影響。而匯率不確定性則是對產出、通貨膨脹和匯率都沒有影響。

關鍵字

多變量GARCH-M ； 不確定性

並列摘要

This study will explore the effects of output uncertainty,inflation uncertainty and exchange rate uncertainty on output,inflation and exchange rate.We use GARCH to measure uncertainty,and estimate multivariate GARCH in mean model to put the uncertainty into mean equations.There are 190 quarterly datas from 1962 to 2009.The source of the datas is Directorate-General of Budget, Accounting and Statics, Executive Yuan, R.O.C.,and variables are GDP growth rate,wholesale price index,exchange rate and monetary growth rate.

The result shows that high output growth uncertainty raises the output growth,but has no effect on neither inflation nor exchange rate.And high inflation uncertainty will raise output growth and inflation,but has no effect on exchange rate.Finally,exchange rate uncertainty has no influence on all of them.

並列關鍵字

uncertainty ； multivariate GARCH-M

參考文獻

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