美國總體經濟變數與通貨膨脹關聯性結構探討 : Copula模型之應用

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 學位論文 > Item 987654321/93771

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题名:	美國總體經濟變數與通貨膨脹關聯性結構探討 : Copula模型之應用
其它题名:	Dependence structure between macroeconomics variables and inflation of United States via Copula function approach
作者:	沈青孺;Shen, Ching-Ru
贡献者:	淡江大學財務金融學系碩士班李沃牆;吳典明
关键词:	美國;總體經濟變數;通貨膨脹;Copula;United States;macroeconomics variables;Inflation
日期:	2013
上传时间:	2014-01-23 13:30:40 (UTC+8)
摘要:	論文提要內容: 　　2009~2012年美國的預算赤字都逾1兆美元，當中聯準會(Fed)協助融資超過了1.2兆美元，大規模的量化寬鬆與購買公債，已使聯準會資產負債表規模從2008年3月的9200億美元，到2012年年底擴增到超過3兆美元，大量注入到市場的資金與嚴重的政府財政赤字，種種因素卻不見美國有遭遇通膨壓力的跡象。對此本文係利用過往12年的資金利率、貨幣流通速度、並根據開放型總體經濟理論將國家負債比納入考量，試圖解釋美國當前的通膨現象。　　探討總體變數的文獻大多使用時間序列中的因果關係檢定(Granger causality)、衝擊反應函數(Impulse response function)，而這些方法的前提假設都視報酬率或是誤差分配為常態分配，且其大多著重於探討總體經濟變數和股價變動的單一方向和程度大小及領先或落後關係，而無分析探討關聯性的結構問題，本研究應用Copula 函數找出通膨與總體經濟變數最適的相依關係並解釋其存在之經濟意涵，經實證結果發現：一、聯邦資金利率與國債比變動率的實證結果符合本文預期，前者與核心物價年增率的相關係數為正，後者則為負。二、貨幣流通速度變動率的實證結果則不符合本文預期，與核心物價年增率的相關係數為負，推測可能原因為央行貨幣政策的干預與金融海嘯後，美國民眾儲蓄率的上升與銀行信貸轉趨保守有關。 Abstract:　　　　Since2009, Federal Reserve System (Fed) had financed over $1.2 trillion for the U.S. government but the annual budget deficit of government was still over $1 trillion from 2009 to 2012. Massive quantitative easing (QE) and buying government bonds caused the balance sheet of Fed which had amplified from $920 billion in March 2008 to over $3 trillion in the end of 2012. Although the huge amount of money and the serious government budget deficit existed at the same time there was no inflationary pressure in the United States. We used the federal funds rate, velocity of money, and the public debt ratio of GDP over the past 12 years to try to explain the current phenomenon of inflation in the United States. 　　Most of previous studies used time series method, such like Granger Causality, impulse response functions. We applied Copula functions to find the best dependence of inflation and macroeconomic variables through the optimization of Copula functions and try to explain economic implications. The empirical results as following: 1.The empirical result of federal funds rate and public debt ratio of GDP consist with our expectation. The correlation coefficient between inflation and the former is positive and the latter is negative. 2.The correlation coefficient between inflation and velocity of money is negative which is different from our expectation. Our inferences are the intervention of monetary policy of central bank, the rise of saving rate, and the prudence of bank lending after the financial crisis in 2008.
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