本研究主要目的為驗證台灣地區通貨膨脹率及實質產出成長率之平均水準與其不確定性之五組對應變數的領先落後關係。實證分析採兩階段方法，先透過Bivariate-GARCH模型取得估計的條件變異數列，作為無法觀察的通貨膨脹不確定性與實質產出成長不確定性的代理變數，再利用Granger causality因果關係式，檢定其與平均水準間同期、遞延4期、8期與12期之影響及影響幅度。實證結果如下： 一、不論在同期、遞延4期、8期與12期之通貨膨脹率對當期之通貨膨脹不確定均呈現正向關係，且以遞延4至8期的影響幅度0.02為最大。二、通貨膨脹率的增加對產出成長率具有負面的影響，且影響幅度以遞延4期至8期間的漲幅-0.756最大。三、通貨膨脹率受到遞延12期通貨膨脹不確定之正向影響，當期的影響並不顯著，此隱含訊息反應效率延宕，造成影響實現的落後，也可能是資料本身存在循環因子。而遞延12期的通貨膨脹率不確定對實質產出成長率具有負向影響。四、產出成長不確定對通貨膨脹率與對實質產出成長率均為正向關係。其中，產出不確定對當期通貨膨脹率呈現正向顯著影響，且其間的訊息傳達以同期至遞延4期的影響幅度1.357為最大，顯然較具效率性。另外，同期之實質產出成長不確定對實質產出成長有正向影響。 The main purpose of this study is to investigate the interrelationships between inflation and output growth and their uncertainty in Taiwan. The empirical analysis follows a two-stage method. A bivariate-GARCH model is used to estimate the conditional variances as proxies for inflation and output growth uncertainty. Through Granger-causality test concludes the relationship between associated variables of interest. It is found that current and lags of inflation all have significantly positive influence on the inflation uncertainty. An increase in inflation causes a decrease in real output growth. 12-period-lagged inflation uncertainty is significantly and positively related to inflation, while negatively related to real output growth. An increase in real output growth uncertainty is evident to lead to an increase in both output growth and inflation.
