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研究生:趙皎光
研究生(外文):Chaio-Kuang Chao
論文名稱:結構轉換模型下實質利率和通貨膨脹率的分析
論文名稱(外文):Analysis of Real Interest Rates and Inflation Rate Under Regime Switching Model
指導教授:鍾經樊鍾經樊引用關係
指導教授(外文):Ching-Fan Chung
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:經濟學研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:49
中文關鍵詞:實質利率結構轉換模型雙變量分析
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有關實質利率是否為穩定不變的研究一直受到學者的注目,
其中Garcia and Perron ( 1996 ) 首次應用馬可夫結構轉換模型於實質利率的分析。
相對於Garcia and Perron ( 1996 ) 的研究,本文則將樣本區間延長至2001年,並改採Chung and Hsieh ( 2001 ) 較具彈性、且估計上較為簡便的Autoregressive Logit Regime Switching model ( ALRS模型 ),重新檢視實質利率和通貨膨脹率的聯合動態行為。本文先進行單變量三種狀態的ALRS模型的分析,並和馬可夫模型比較,發現ALRS模型雖能夠分辨出各時期的狀態,能夠刻劃出各個狀態下不同的動態行為,然條件機率 ( 給定過去訊息下,當期狀態發生的機率 ) 的波動程度較馬可夫模型來得劇烈、狀態來回切換的頻率也較為頻繁。接著考慮實質利率和通貨膨脹率雙變量三種狀態的ALRS模型,本文發現雙變量模型較能捕捉兩者的動態行為,並且發現兩者的狀態變數存在一定程度的關連。而本文最主要的發現是:在狀態的轉換上,Garcia and Perron ( 1996 ) 狀態的持續性相當強,而我們實證結果顯示狀態有較多來回切換的現象。
1. 緒論
2. 文獻回顧
2.1 定態序列的分析
2.2 定態序列的質疑
2.3 非定態序列的解套
2.4 小結
3. 結構轉換模型
3.1 Hamilton 方法
3.2 Chung and Hsieh ( 2001 ) 方法
4. 實證分析
4.1 資料
4.2 模型設定
4.2.1 單變量模型設定
4.2.2 雙變量模型設定
4.3 估計方法
4.4 單變量估計結果與分析
4.4.1 實質利率估計結果與分析
4.4.2 通貨膨脹率估計結果與分析
4.5 雙變量估計結果與分析
5. 結論
附錄:馬可夫轉換模型估計結果
參考文獻
Bai, Justin, and Pierre Perron (1998a), “Estimation and Testing Linear Models with Multiple Structural Changes ,” Econometrica ,66, 47-78.
Bai, Justin, and Pierre Perron (1998b), “Computation and Analysis of Multiple Structural Change Models ,” Mannuscript, Boston University.
Ching-Fan Chung and Chun-Kuei Hsieh (2001), “The Autoregressive Logit Regime Switching Model and Its Application to the Analysis of Return Volatility and Trading Volume ,” working paper.
Diebold, F. X.,J.-H. Lee, and G. C. Weinbach (1994), “Regime Switching with Time-Varying Transition Probabilities, in C. Hargreaves, ed., ” Nonststionary Time Series Analysis and Cointegration, Oxford University Press,283-302.
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Garbade, Kenneth, and Paul Wachtel (1978), “Time Variation in the Relationship between Inflation and Interest Rates,” Journal of Monetary Economics, 4, 755-765.
Garcia, R. amd Perron, P. (1996), “An Analysis of the Real Interest Rate Under Regime Shifts,” The Review of Economics and Statistics, 78, 111-25.
Goldfeld, Stephen M. and Richard E. Quandt (1973), “A Markov Model for Switching Regressions,” Journal of Econometrics, 1, 3-16.
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Hansen, B. E., and R. Hodrick (1983), “Risk Averse Speculation in Forward Foreign Exchange Markets: An Econometric Analysis of Linear Models, in J. Frenkel, ed., ” Exchange Rates and International Macroeconomics, University of Chicago Press,113-152.
Huizinga J. and F. S. Mishkin (1986), “Monetary Policy Regime Shifts and the Unusual Behavior of the Real Interest Rates,”Carnegie-Rochester Conference Series on Public Policy, 24, 231-274.
LI-HSUEH CHEN (2001), “Inflation, real short-term interest rate, and the term structure of interest rates: a regime-switching approach,” Applied Economics, 33, 393-400.
Mishkin, F. S., (1981), “The Real Interest Rates: An Empirical Investigation,”Carnegie-Rochester Conference Series on Public Policy, 15, 151-200.
Nelson, Charles R. and G. Williiam Schwert (1977), “Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis that the Real Rate of Interest Is Constant,” American Economic Review, 67, 478-486.
Okun, A. M. (1971), “The Mirage of Steady Inflation,” Bookings Papers on Economic Activity, 2, 486-498.
Perron, P. (1990), “Testing for A Unit Root in A Time Series with a Changing Mean,” Journal of Business and Economic Statistics, 8, 153-162.
Ravn, O. M. and Sola, M. (1995), “Stylized facts and regime changes: are prices procyclical?” Journal of Monetary Economics, 36, 497-526.
Rose, A. K. (1988), “Is the Real Interest Rate Stable,” Journal of Finance, 43, 1095-1112.
Walsh, Carl E. (1987), “Three Questions Concerning Nominal and Real Interest Rates,” Economic Review Federal Reserve Bank of San Francisco, No.4, 5-20.
Walsh, Carl E. (1988), “Testing for Real Effects of Monetary Policy Regime Shifts,” Journal of Money, Credit and Banking, 393-401.
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