通貨膨脹目標的貨幣政策對經濟活動影響之探討－以七個OECD組織會員國為例

The Influence of Inflation Targeting on Economic Activities: Evidence from seven member countries of the OECD

張勝昌(Sheng-Chang Chang)

指導教授 ： 陳禮潭 ； 陳忠榮

國立中央大學/管理學院/產業經濟研究所/碩士(2007年)

摘要

長期以來，發掘最理想的貨幣政策工具的使用架構一直是總體經濟學領域裡最具吸引人的題目之一。近年來，一項新的貨幣政策架構受到許多學者推崇，這項架構卽為本文主要探討的題目－通貨膨脹目標。
本文使用凱因斯模型建立一個長期的總體動態經濟體系，在央行採用通貨膨脹目標之後，透過虛擬變數以及預測誤差的使用，使用7個公開承認採用通貨膨脹目標的OECD組織之會員國的樣本為資料，判斷目標通貨膨脹的採用是否真正具備降低以及穩定通貨膨脹率，並且透過降低來自其他因素的衝擊來達到穩定產出的效果。
資料的來源主要來自國際貨幣基金建立的國家經濟數據資料庫IFS。本文主要的研究方法有二；第一種方法我們使用一加入虛擬變數的實證模型對7個國家的長期追蹤資料進行非平衡之長期追蹤資料迴歸，藉由虛擬變數的估計值判斷通貨膨脹目標是否能夠穩定經濟體系；第二種方法我們模擬凱因斯模型，一樣藉由虛擬變數的估計值來判斷通貨膨脹目標是否能降低通貨膨脹率，接著我們對模型建立一不對稱向量自我迴歸模型，分別比較採用通貨膨脹目標前後的變異分解，看各變數之間相互影響的過程。
針對測試通貨膨脹目標降低通貨膨脹率且對經濟體系產生影響的部份，本文的實證結果說明，該項政策的確為經濟體系中的重要變數帶來改變，也達到降低通膨的目的；而關於穩定經濟體系的部份，從非平衡的長期追蹤資料迴歸之實證模型與所得的結果顯示，通貨膨脹目標的貨幣政策確能使經濟體系中的重要變數之波動趨於穩定。

關鍵字

目標法則 ； 通貨膨脹目標 ； 凱因斯模型

並列摘要

Looking for the framework of the most ideal monetary policy instrument is one of the attractive topics in the field of macroeconomics for a long time. In recent years, a new monetary policy framework was highly praised by a lot of scholars, and this framework is the topic that our paper mainly proposed- Inflation Targeting.
This paper is used the Keynesian model to set up a long-term system of dynamic economy. Through the forecast error variance decomposition and the dummy variables, and using seven OECD countries which avow that they adopt the inflation targeting as our samples to judge whether the adoption of the inflation targeting reduces and stabilizes the inflation rate. Furthermore, the results of output stabilizing are reached through reducing the impacts from other factors when Central Bank adopts the inflation targeting.
The sources of data are mainly collected from the national economic database IFS which is set up by the International Monetary Fund. There are two main research approaches in this paper. Firstly, we employ an empirical model with dummy variable to carry on the unbalanced panel-data regressions by using the panel data of seven countries, and judge whether the inflation targeting can stabilize the economy by the coefficients of dummy variables. Secondly, we also simulate the Keynesian model in order to judge whether the inflation targeting can reduce the inflation rate by the coefficients of dummy variables. After that, we set an asymmetric vector autoregression model, and relatively comparion the variance decomposition before and after the inflation targeting to see the difference of influencing each other between every variable separately are the following works.
In order to test the reduction of the inflation rate and the influences on the economy from the policy of inflation targeting, our paper indicate that this policy really brings some changes for the important variables in the economy, and they achieve the objective of reducing inflation rate too. As for the part of stabilizing economy, our empirical model and results from the unbalanced panel-data regressions show that the monetary policy of the inflation targeting could really make the fluctuations of the important variables in the economy tend towards stability.

並列關鍵字

Inflation Targeting ； Keynesian Model ； Targeting Rule

參考文獻

陳禮潭、陳忠榮與呂仁廣 (2006)，「新凱因斯學派之菲力浦曲線及資本移動性— 理論與實證」，經濟論文叢刊,34:2, 173–208。

Ball, Laurence and Sheridan, Niamh (2003), “Does Inflation Targeting Matter?” NBER Working Paper No.9577.

Bernanke Ben S. and Frederic S. Mishkin (1997), “Inflation Targeting : A New Framework for Monetary Policy ?,”Journal of Economic Perspectives, 11 (2),97-116

Dueker, Michael and Andreas M. Fischer (1996), “Inflation Targeting in a Small Open Economy: Empirical Results for Switzerland,” Journal of Monetary Economics ,37 , 89-103.

Goodfriend, Marvin (2003), “Inflation Targeting in the United States?” NBER Working Paper No.9981.