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題名 | 農產品躉售物價、消費者食品物價及貨幣供給量因果關係之研究=On the Granger's Causality among Agricultural Product Wholesales Price, Consumer's Food Price and Money Supply Quantity |
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作者 | 謝志忠; Hsieh, Chieh-chung; |
期刊 | 嘉義技術學院學報 |
出版日期 | 19990400 |
卷期 | 63 1999.04[民88.04] |
頁次 | 頁33-51 |
分類號 | 431.26 |
語文 | chi |
關鍵詞 | 因果關係; 貨幣供給量; 躉售物價指數; 零售物價; Granger's causality; Money supply; Wholesales price; Retail price; |
中文摘要 | 在一個經濟體系下,總體經濟變數,諸如:貨幣供給量、匯率乃至利率到底對農 業部門之變數,諸如: 價格、產量及所得等有何影響? 及如何影響? 此類問題自 1980 年代 起乃相繼引起經濟學者及農經學者之注意與研究興趣。本文為探討此類問題,採取貨幣供給 量、農產品躉售物價指數及都市消費者食品類零售物價指數之時間數列資料,經對數轉換後 ,進行 Granger 因果關係檢定, 以釐清三個變數的關係方向,及是否彼此影響呢? 經過單 根檢定確認對數轉換並經一階差分後所得三個數列均其有穩定性, 再以 AIC 準則選擇不具 有序列相關的適當落後期數迴歸式進行因果關係檢定。得到的分析結果為: 三個數列中貨幣 供給量和都市消費者食品類零售物價指數互有單向因果關係; 農產品躉售物價指數對都市消 費者食品類零售物價指數具有單向因果關係; 都市消費者食品類零售物價指數對農產品躉售 物價指數不具有單向因果關係。而貨幣供給量對農產品躉售物價指數具有單向因果關係,農 產品躉售物價指數對貨幣供給量不具有單向因果關係。 |
英文摘要 | What were the agricultural sector variables affected by the macro- economical variables in an economic system? How were the agricultural sector variables affected by the macro-economical variables in an economic system? Agricultural sector variables are agricultural product price, agricultural product quantity and agricultural income...etc.. Macro-economical variables are money supply quantity, foreign exchange rate and interest rate...etc.. These two problems has been interesting to the economists and agricultural scholars since 1980. Scholars also have paid much attention to these problems. This paper adopts three time serieses of money supply, agricultural product wholesales price index and urban consumer's food retail price index to investigate Granger's causality among these three variables. We want to know whether these three variables have any Granger's causality between each other. First, we got three stationary time serieses after first order ordinary differencing these three logarithmic time series. Second, we chose regression equations without serial correlation with suitable time lag by AIC criterion. Third, we preceded Granger's causality test with these regression equations. Finally, we got the following results: 1.There is a mutual Granger's causality between money supply quantity and urban consumer's food retail price index. 2.Agricultural product wholesales price index has Granger's causality to urban consumer's food retail price index, but the reverse is not true. 3.Money supply quantity has Granger's causality to Agricultural product wholesales price index, but the reverse is not true. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。