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研究生: 張育菁
論文名稱: 通貨膨脹預測:以台灣為例
Inflation Forecasting In Taiwan
指導教授: 林靜儀
Lin, Ching-Yiu
口試委員: 陳俊志
冼芻蕘
學位類別: 碩士
Master
系所名稱: 科技管理學院 - 經濟學系
Department of Economics
論文出版年: 2012
畢業學年度: 100
語文別: 中文
論文頁數: 37
中文關鍵詞: 通貨膨脹通貨膨脹率CPI
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  • 摘要
      通貨膨脹率一直是總體經濟的重要指標,影響通貨膨脹率的因素很多,加入過多變數會造成自由度過低,因此本篇將影響通貨膨脹率的因素進行主成分分析(Principal component analysis),不僅可以涵蓋各個變數,並且能避免自由度過低的問題。
      本篇使用主成分分析(Principal component analysis)與傳統自我迴歸模型(Autoregressive, AR)、菲利浦曲線(Phillips curve)及以所有可獲得變數預測的最小平方法(ordinary least square, OLS)比較預測通貨膨脹準確性,結論是使用主成分分析(Principal component analysis)後通貨膨脹率預測能力明顯增加,菲利浦曲線(Phillips curve)對通貨膨脹率的預測能力較為不佳。


    Abstract
    Inflation forecasting is one of the most indexes in economic situation. There are a lot of factors that affect inflation, such as the interest rate, exchange rate and the oil price and etc. When adding all of the variables, that will make the degree of freedom problem and interaction problem between the variables.
    This paper uses the principle component analysis to overcome the problem. And this paper uses Autoregressive model, Phillips curve model, and ordinary least square to compare with principle component analysis.
    Most of the principle component analysis make more accurate to forecast in inflation.

    目錄 頁次 摘要……………………………………………………………………………1 第一章 緒論 第一節 研究動機…………………………………………………………5 第二節 研究目的與研究步驟……………………………………………6 第二章 文獻探討…………………………………………………………7 第三章 研究模型 第一節 建立模型……………………………………………………… 14 第四章 研究方法與變數 第一節 變數研究方法………………………………………………… 18 第二節 研究變數資料來源…………………………………………… 19 第五章 實證結果 第一節 樣本內預測…………………………………………………… 22 第二節 樣本外預測…………………………………………………… 23 第六章 結論…………………………………………………………… 30 參考文獻…………………………………………………………………… 36 表目錄 Table1 CPI樣本內預測結果…………………………………………… 25 Table2 core CPI 樣本內預測結果………………………………… 26 Table3 CPI樣本外預測結果(三個月) ……………………………… 27 Table4 CPI樣本外預測結果(六個月) ……………………………… 27 Table5 CPI樣本外預測結果(十二個月) …………………………… 28 Table6 core CPI 樣本外預測結果(三個月) …………………… 28 Table7 core CPI 樣本外預測結果(六個月) …………………… 29 Table8 core CPI 樣本外預測結果(十二個月) ………………… 29 表一 研究範圍比較……………………………………………………… 12 表二 解釋變數-物價類……………………………………………………32 表三 解釋變數-金融類……………………………………………………33 表四 解釋變數-貿易及失業率……………………………………………34 表五 被解釋變數-CPI及核心CPI……………………………………… 35

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