通貨膨脹、就業及貨幣政策與景氣循環之關聯性

Inflation, Employment, Monetary Policy and Business Cycle

彭惠琴(Huei-Chin Peng)

指導教授 ： 林師模

中原大學/商學院/國際貿易研究所/碩士(2003年)

https://doi.org/10.6840/cycu200300572

摘要

在經濟的分析中，景氣循環常被用來反映整體經濟在發展過程中短、中期的榮枯演化狀況。一般而言，總體經濟變數在順應景氣變化的過程中，部分變數會有順景氣循環（pro-cyclical）的反應，而部分變數則有逆景氣循環（counter-cyclical）反應；而對同是順景氣循環或是同是逆景氣循環反應的變數間，或是順景氣循環與逆景氣循環變數間而言，其間則可能存在共同移動（co-movement）的現象。本研究以實證的角度，利用臺灣地區1961至2002年間的年資料，探討產出、通貨膨脹、就業及貨幣在景氣循環變遷過程中的互動關係。在整個實證分析的過程，本研究首先由景氣循環的角度，參考奧肯法則和菲利蒲曲線相關的理論，利用不同濾波方式 (如Hodrick-Prescott濾波、Beveridge-Nelson濾波及Kalman濾波) 分解出變數循環變動的成份後，檢定產出與失業間，以及通貨膨脹和失業間的關聯性。接著，在考量不對稱性的情況下，再以門檻迴歸（threshold regression）重複上述的估計與檢定，以檢定變數間的關係是否存在不對稱性。
除了上述的分析以外，針對變數可能存在的結構性變動問題，本研究利用Bai & Perron (1997)所提的多重結構性轉變檢定方法，對國內生產毛額、就業和物價及貨幣供給等變數檢定其可能存在結構性變化的時點；另外，為探討變數間的長短期關係，本研究利用向量自我迴歸（vector autoregression）的衝擊反應函數和誤差變異數分解，以及共整合與共特徵（co-integration and co-feature）搭配趨勢與循環成份分解的分析，分別將上述變數以系統的方式，以探討變數間長期的均衡關係及跨景氣循環的短中期共同移動現象。
本研究實證結果發現，產出及通貨膨脹的循環波動與失業循環波動間都具有顯著但不對稱的關係。也就是說，失業情況的好壞在短中期對產出及通貨膨脹有顯著的影響，惟產出及通貨膨脹所受到影響幅度的大小會隨失業情況是好或是壞而有所不同。至於變數之間的互動關係不只反映在長期趨勢，在短期的循環波動過程中，亦可發現其間有顯著的共同移動現象存在。因此，一般來說，當失業率低於自然失業率時，產出水準將高於潛在的產出水準。基於此，若能有效提振國內經濟，應能隨之改善國內失業情況。另外，由於通貨膨脹和失業的循環變動間具有反向變動關係，因此降低失業率的同時，通貨膨脹也可能會跟著上升。由於貨幣供給對產出、物價水準和就業的實證結果指出貨幣政策短期確有抑制經濟過熱或刺激經濟復甦的效果，因此，在短期若欲刺激景氣、降低失業，則似可藉由貨幣政策的施行達到某種程度的效果。

關鍵字

濾波分解 ； 結構性轉變 ； 景氣循環 ； 共同趨勢和循環

並列摘要

This thesis examines empirically the relationships among several macro- economic variables of Taiwan across business cycles and the secular trend. The variables examined are output, inflation rate, employment and money supply, and the period of study is from 1961 to 2002. We first applies Hodrick-Prescott filter, Beveridge-Nelson filter, and Kalman filter to extract the cyclical components of variable series, and then estimate econometrically the relationship between output and unemployment, and between inflation and unemployment. Asymmetric effect is then taken into account by including a threshold variable in the estimation equations. In addition to the above, we also applies the technique of detecting multiple structural break points proposed by Bai and Perron (1997) to figure out the points of structural change for variable series. In terms of examining the interacting relationships among the above-mentioned variables in both the short and long run, we use vector autoregression as well as common trend and common cycle methods, together with a method for decomposing trend and cyclical components to meet our objectives.

The results of this study indicate that across the business cycles, inflation and unemployment as well as output and unemployment exhibit significant but asymmetric relationships. That is, changes in the rate of unemployment will normally accompany changes in the rates of output and inflation. However, a decrease and an increase in the rate of unemployment may have different effect on the magnitude of change in the rates of output and inflation. Our vector autoregression and common trend and common cycle estimation results also show that, output, employment, inflation and money supply have linkage relationships not only in the long run, but also in the shorter run. Specifically, changes in money supply have a more significant effect on output and employment in the short run than that in the long run, which implies that monetary policy might be able to serve as a short-term policy measure for boosting the economy.

並列關鍵字

structural change ； common trend and common cycle ； filter decomposition ； business cycle

參考文獻

Okun, Arthur M. (1962), “Potential GNP: Its Measurement and Significance.” Proceedings, Business and Economic Statistics Section of the American Statistical Association, pp. 89-104.

Journal of American Statistical Association, Vol. 83, No. 404

Attfield, Clifford L.F. and Silverstone, Brian(1998), “ Okun’s Law, Cointegration and Gap Variables. ” Journal of Macroeconomics, Vol. 20, No.3, pp. 625-637.

Bai, Jushan and Perron, Pierre (1998)“Estimating and Testing Linear Models with Multiple Structural Changes.”Econometrica, Vol. 66, No.1, pp. 47-78.

Bai, Jushan and Perron, Pierre (2002)“Computation and Analysis of Multiple Structural Change Models.”http://econ.bu.edu/perron.