輸入性通膨與匯率轉嫁之不對稱性研究

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胡靜芬(Ching-Fen Hu) 查詢紙本館藏

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論文名稱

輸入性通膨與匯率轉嫁之不對稱性研究

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★ 模型選擇與台灣股市轉折點即時判定

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至系統瀏覽論文 (2024-6-30以後開放)

摘要(中)

近年來物價上漲，再加上疫情升溫下，臺灣亦面臨輸入性通膨之壓力。因此，本研究加入整體CPI及其七大分類，並應用自我迴歸分配落階模型（Autoregressive Distributed Lag Model, ARDL）及門檻迴歸模型（Threshold Regression Model），探討進口物價年增率、新台幣兌美元即期匯率年增率及國際油價年增率對整體CPI年增率及其七大分類年增率所造成長短期之影響，以及檢驗進口物價年增率、新台幣兌美元即期匯率年增率及國際油價年增率變動時，對國內物價的轉嫁程度。ARDL模型結果顯示，長期而言，進口物價年增率對整體CPI年增率、CPI–居住類與雜項類年增率之關聯性較高，CPI–交通及通訊類年增率則受進口物價年增率及國際油價年增率為正向顯著關係；門檻迴歸模型結果顯示，整體CPI及其七大分類年增率與進口物價年增率、新台幣兌美元即期匯率年增率及國際油價年增率可區分為「高通膨高轉嫁」、「無門檻效果」及「低通膨高轉嫁」之現象。另外，整體CPI年增率於高通膨時期受進口物價、新台幣兌美元即期匯率及國際油價年增率較有影響，而三者解釋變數於低通膨時期，對CPI–交通及通訊類年增率有較高影響度。最後，高通膨時期CPI–食物類、教養娛樂類年增率受新台幣兌美元即期匯率年增率有顯著負影響。

摘要(英)

In recent years, with rising prices and epidemic, Taiwan is facing imported inflation pressure. This study applies the ARDL Model and Threshold Regression Model to integrate the CPI and its seven categories. This paper investigates the short and long-term effects of the annual change of import price indices, TWD/USD spot exchange rate, and international oil prices on the annual change of CPI and its seven categories, and analyzes the pass-through degree of domestic prices when the annual change of import price indices, TWD/USD spot exchange rate, and international oil prices. From the long-term empirical results of ARDL model, the annual change of import price indices has a high correlation with the annual change of CPI, residence and miscellaneous categories, and transportation and communication categories have a positive and significant relationship with the annual change of import price indices and international oil prices. The empirical results of the Threshold Regression Model show that the annual change of CPI and its seven categories, the annual change of import price indices, TWD/USD spot exchange rate, and international oil prices can be divided into “high inflation pass-through”, “no threshold effect” and “low inflation pass-through”. In addition, the annual change of CPI is more affected by the annual change of import price indices, TWD/USD spot exchange rate, and international oil prices during periods of high inflation. During the period of low inflation, the three explanatory variables have a higher impact on the annual change of the transportation and communication category. Finally, in a period of high inflation, the annual change of the food category, and education and entertainment category has a significant negative impact on the annual change of TWD/USD spot exchange rate.

關鍵字(中)

★ 匯率轉嫁
★ 自我迴歸分配落階模型
★ 門檻迴歸模型

關鍵字(英)

★ Exchange Rate Pass-Through
★ Autoregressive Distributed Lag Model
★ ARDL
★ Threshold Regression Model

論文目次

輸入性通膨與匯率轉嫁之不對稱性研究
摘要
Abstract
誌謝
目錄 i
圖目錄 iii
表目錄 iv
第一章緒論 1
1-1 研究動機 1
1-2 研究問題 2
1-3 研究架構 2
第二章臺灣CPI現況介紹 3
2-1 CPI七大類別之項目結構 3
2-2 CPI七大類對整體CPI指數之影響 4
第三章文獻回顧與探討 8
3-1 匯率轉嫁與物價波動關係之國外相關文獻 8
3-2 匯率轉嫁與物價波動關係之國內相關文獻 10
第四章研究方法與模型架構 13
4-1 資料來源與樣本選擇 13
4-2 模型架構 14
第五章資料與實證結果 19
5-1 全樣本敘述統計 19
5-2 ARDL模型實證結果 22
5-3 門檻迴歸模型實證結果 33
第六章結論與建議 57
6-1 結論 57
6-2 建議 59
參考文獻 61

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指導教授

徐之強王銘正(Chih-Chiang Hsu Ming-Cheng Wang)

審核日期

2022-6-29

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