本文選取香港、阿根廷、德國、日本、墨西哥及菲律賓六個國家，以Kourtellos et al. (2007) 提出的門檻變數與解釋變數皆為內生之門檻模型做實證研究，檢測各國的通貨膨脹率與相對物價波動是否具有非線性關係。實證結果顯示通貨膨脹率在香港、日本及墨西哥為內生變數，用內生門檻模型檢測出此兩變數在香港及日本呈V 字型關係，墨西哥則呈正的線性關係；阿根廷、德國及菲律賓則用外生門檻模型得出此兩變數在菲律賓與阿根廷呈V 字型關係，但是德國之實證結果則無法支持此二變數具顯著關係。

In this paper, we have employed the Kourtellos et al. (2007) threshold model to examine the relationship between inflation and relative price variability in Hong Kong, Argentina, Germany, Japan, Mexico and Philippines. Empirical results from Hong Kong, Japan and Mexico show that inflation are endogenous variables, and the relationship between these two variables appears to be a V shape for Hong Kong and
Japan. However, the relationship appears to be positive for Mexico. Empirical results fail to reject the hypothesis of exogenous inflation for Argentina, Germany and Philippines, and the relationship between these two variables appears to be a V shape
for Philippines and Argentina. There is no significant relationship between these two variables for Germany.

第一章 緒論.....................................................................1
第一節 研究動機與目的.................................................1
第二節 本文架構.............................................................3
第二章 文獻回顧.............................................................4
第一節 通貨膨脹率與通貨膨脹不確定性之關係.........4
第二節 通貨膨脹率與相對物價波動之關係.................8
第三章 研究方法............................................................11
第一節 單根檢定............................................................11
第二節 內生性檢定........................................................14
第三節 門檻模型............................................................15
第四節 門檻效果檢定....................................................21
第四章 實證結果分析....................................................22
第一節 實證模型............................................................22
第二節 資料來源與處理................................................24
第三節 實證結果分析....................................................25
第五章 結論....................................................................33
參考文獻.........................................................................34
附錄...............................................................39

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