並列摘要
This research investigates the impact of inflation on relative price variability (RPV) around non-zero inflation rate. Employing the piecewise regression model of Choi and Kim (2010) and the consumer price index of Taiwan, the empirical results show the impact of inflation on RPV in inflation regime is smaller than that in deflation regime. And this conclusion can be further supported by the results of rolling regression.
參考文獻
Chang, E. C. and Cheng, J.W. (2002) Inflation and relative price variability: a revisit, Applied Economics Letters, 9, 325–30.
Choi, C. Y. and Kim, Y. S. (2010) Is there any asymmetry in the effect of inflation on relative price variability? Economics Letters, 108, 233–6.
Clements, K. W. and Nguyen, P. (1982) Inflation and relative prices – a decomposition analysis, Economics Letters, 9, 257–62.
Jaramillo, C. F. (1999) Inflation and relative price variability: reinstating Parks’ results, Journal of Money, Credit and Banking, 31, 375–85.
Parks, R. W. (1978) Inflation and relative price variability, Journal of Political Economy, 86, 79–95.
延伸閱讀
- 曹添旺、曹真睿（2013）。輸入性通貨膨脹與實質匯率動態。經濟論文叢刊，41(4)，403-441。https://doi.org/10.6277/TER.2013.414.3
- 李芸芳（2011）。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〔碩士論文，國立中央大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0031-1903201314410775
- 李映萱、江嘉萍（2014）。通貨膨脹、政府交易決策與國際通貨。經濟論文叢刊，42(4)，475-511。https://doi.org/10.6277/TER.2014.424.2
- 劉妤珊（2012）。通膨與股價之關聯分析〔碩士論文，國立中正大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0033-2110201613504713
- 嚴浩瑋（2023）。The Impact of Inflation on the Stock Market〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/tku202300016