原油价格对通货膨胀利率与货币之影响.PDFVIP

管理科學研究 Vol.5 , No.2, 2009 ,第 67-79頁 原油價格對通貨膨脹、利率與貨幣之影響 The Effects of Oil Price on Inflation, Interest Rate and Money 吳曼華 1 (Received: Dec. 9 , 2008 ；First Revision: Mar. 3, 2009 ；Accepted:Mar. 4,2009) 摘要 近年來，多數的研究針對油價對經濟變數（如GDP 、利率、通貨膨脹、工業生產指 數）的衝擊，較少數的研究會與貨幣變數一起考量。然而，對政府而言，考量貨幣政策 對外生變數的衝擊是非常重要的，因此本文將以更多的一致性考量來檢視油價變動、通 貨膨脹、利率與貨幣之間的關係，之後我們將發現實證結果對不同落後期選取準則（如 AIC 、BIC 、PPE 、SBC 、S與HJC準則）是否表現很敏感，且以六種不同落後期準則來 考量非對稱落後期的實證結果是否與考量對稱落後期的實證結果不同。 進而，以六種不同落後期準則所針對的VAR與SUR實證結果皆顯示一致性的結論， 這是應用不同落後期準則所發現的結果，揭露出不同的落後期準則可能會產生相似的實 證結果，它也隱含以不同落後期選取準則所呈現的重要現象。 關鍵詞： 油價變動、貨幣、通貨膨脹、利率 Abstract Recently, the related studies mostly focus on oil price shock to economy variables, like GDP, interest rate, inflation, and industrial production. Little studies considering monetary variable together with macroeconomic variables. However, the reaction of monetary variables to external shock is very important for the government concerns. Therefore, the paper will examine the relationships among oil price changes, inflation, interest rate and money with more robustness concerns. Then, we would like to find if our empirical results are sensitive to different lag-length chosen criteria, such as AIC, BIC, FPE, SBC, S, and HJC criteria, and if the empirical results with concerning asymmetric lag length are different from those with concerning symmetric lag length by employing the above lag-length chosen criteria. The empirical results show robustness results by choosing six different lag-chosen criteria for all cases of empirical results by applying 2 by 2 VAR and SUR models. There is an essential finding for