(3.236.214.19) 您好!臺灣時間:2021/05/06 21:13
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

: 
twitterline
研究生:吳幸芳
研究生(外文):Shing-Fang Wu
論文名稱:考慮結構性轉變之費雪效果再檢視
論文名稱(外文):A Reexamination for Fisher Effect under Structural Breaks
指導教授:王信文王信文引用關係
指導教授(外文):Hsing-Wen Wang
學位類別:碩士
校院名稱:國立彰化師範大學
系所名稱:商業教育學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:中文
論文頁數:67
中文關鍵詞:費雪效果結構性轉變單根檢定
外文關鍵詞:Fisher EffectStructural BreaksUnit-Root Test
相關次數:
  • 被引用被引用:8
  • 點閱點閱:202
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:40
  • 收藏至我的研究室書目清單書目收藏:0
本研究重新檢測費雪效果於台灣是否存在。在考慮結構性轉變下,應用Zivot and Andrews(1992)之修正單根檢定模型檢測資料定態特性,並與傳統ADF檢定之結果進行比較。研究中選擇金融業隔夜拆款加權平均利率、CPI年增率為名目利率與通貨膨脹率之替代變數,研究期間自1982年1月至2004年2月。

實證結果發現,傳統檢驗與修正檢驗之結果並不一致,進一步以修正單根檢定模型決定之結構斷裂點劃分子期間進行分析後,修正檢驗拒絕費雪果成立之結果得到支持。

The study reexamines the Fisher Effect for Taiwan. Considering the impact of structural breaks, we adopt the Unit-Root test modified by Zivot & Andrews (1992) to test stationarity of the series. Traditional ADF test are conducted as well. The overnight interest rate and Consumer Price Index (CPI) increasing rate from January 1982 to February 2004 are selected as proxies for nominal interest and inflation rates.

Our empirical results from traditional and modified test are much different. In order to check the robustness of empirical results, we again test for Fisher Effect in two sub-periods pre- and post break timing. The modified results that reject the Fisher hypothesis are supported by checking evidences overall.

第一章 緒論
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 論文架構 6
第二章 文獻探討
第一節 費雪效果 7
第二節 相關文獻回顧 9
第三章 實證模型與研究設計
第一節 費雪方程式 26
第二節 單根檢定 28
第三節 共整合檢定 33
第四節 Granger因果關係檢定 37
第五節 向量自我迴歸模型 39
第六節 研究設計 42
第四章 實證結果與分析
第一節 敘述統計 43
第二節 資料檢定 46
第三節 費雪效果檢驗 47
第四節 研究結果驗證 56
第五章 結論與建議 60
參考文獻 63

賴景昌(2002),總體經濟學,雙葉出版。

李榮謙(2000),貨幣銀行學,智勝出版。

徐志宏(2002),『長期利率含通貨膨脹的指標性嗎?--台灣案例之研究』,國立清華大學經濟學研究所未出版碩士論文。

林坤慶(2002),『費雪效果再檢定』,國立中山大學經濟學研究所未出版碩士論文。

蔡良偵(2000),『利率自由化暨票券金融公司開放新設台灣貨幣市場的效率性分析』,私立朝揚大學企業管理研究所未出版碩士論文。

楊尚萍(1998),『利率自由化前後台灣貨幣市場弱式效率之實證研究』,私立朝揚大學企業管理研究所未出版碩士論文。

蘇靜芬(1997),『費雪效果再檢定—部分差分時間數列模型之應用』,國立暨南國際大學經濟學研究所未出版碩士論文。

林師勇(1997),『台灣封閉開放模型下費雪效果之實證研究』,私立東吳大學經濟學研究所未出版碩士論文。

鄭君茜(1995),『台灣地區貨幣市場費雪效果與利率期限結構之實證研究』,私立淡江大學金融研究所未出版碩士論文。

渠慎蔚(1994),『台灣地區利率與通貨膨脹之關係探討—共積方法的應用與分析』,國立中正大學國際經濟研究所未出版碩士論文。

張福興(1993),『台灣地區貨幣市場利率期限結構與物價上漲率關係之實證研究』,私立淡江大學金融研究所未出版碩士論文。

蔡逸炫(1992),『名目利率、實質利率與通貨膨脹率變動關係之探討—台灣地區費雪效果之實證研究』,私立淡江大學金融研究所未出版碩士論文。

林麗嬌(1990),『台灣地區短期利率費雪效果與對抗物價上漲效果之實證研究』,國立台灣科技大學工程技術研究所未出版碩士論文。

Akaike, H. (1973), “Information Theory and Extension of the Maximum Likelihood Principle.” In B.N. Petrov and F. Csaki, ed. 2nd International Symposium on Information Theory, 267-281. Akademia Kiado: Budapest.

Atkins, F. J. (1989), “Co-integration, Error Correction and the Fisher Effect.” Applied Economics, vol.21, 1611-1620.

Atkins, F. J. & Coe, P. J. (2002), “ A ARDL Bounds Test of the Long-Run Fisher Effect in the United States and Canada.” Journal of Macroeconomics, vol.24, 255-266.

Bajo-Rubio, O., Díaz-Roldán, C. & Esteve, V. (2003), “Testing the Fisher Effect in the Presence of Structural Change: 1961-2001.” Working paper.

Boham, C. S. (1991), “Correct Cointegration Testof the Long Run Relationship Between Nominal Interest and Inflation.’ Applied Economics, vol.91, 856-867.

Campell, J. Y. & Mankiw, N. G. (1987), “Permanent and Transitory Components in Macroeconomic Fluctuations.” American Economic Review: Papers and Proceedings, vol.77, 111-117.

Cooray, A. (2003), “The Fisher Effect: A Survey.” The Singapore Economic Review, vol.48 (2), 135-150.

Cooray, A. (2002), “Interest Rates and Inflationary Expectations: Evidence on the Fisher Effect in Sri Lanka.” South Asia Economic Journal, vol.3, 201-216.

Crowder, W. J. (1997), “The Long-run Fisher Relation in Canada.” Canadian Journal of Economics, vol.30, 1124-1142.

Crowder, W. J. (2003), “ Panel Estimates of the Fisher Effect.” Working Paper.

Crowder, W. J. & Hoffman, D. L. (1996), “The Long-run Relationship between Nominal Interest Rates and Inflation Rate: the Fisher Equation Revisited.” Journal of Money Credit and Banking, vol.28, 102-118.

Crowder, W. J. & Sonora, R. J. (2002), “Intra-National Evidence of the Fisher Effect.” Working Paper.

Crowder, W. J. & Wohar, M. E. (2003), ”A Cointegraion Structural VAR Model of the Canadian Economy.” Working Paper.

Dicky, D. A. & Fuller, W. A. (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root.” Econometrica, vol.49, 1057-72.

Dutt, S. D. & Ghosh, D. (1995), “The Fisher Hypothesis: Examining the Canadian Experience.” Applied Economics, vol.27, 1025-1030.

Engle, R. & Granger, C. (1987), “Co-integration & Error Correction Representation, Estimation and Testing.” Econometrica, vol.55, 251-276.

Fahmy, Y. A. F. & Kandil, M. (2003), “The Fisher effect: new evidence and implications.” International Review of Economics & Finance, vol.12, 451-465.

Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance, vol.25, 383-417.

Fama, E. F. (1975), “Short Term Interest Rates as Predictors of Inflation.” American Economic Review, vol.65, 269-282.

Fama, E. F. & Gibbons, M. R. (1984), “A comparison of Inflation Forecasts.” Journal of Monetary Economics, vol.13, 327-348.

Fisher, I. (1930), The Theory of Interest, New York, Macmillan.

Gibson, W. E. (1970), “Price-Expectations Effects on Interest Rates.” Journal of Finance, vol.25, 19-34.

Gibson, W. E. (1972), “Interest Rates and Inflationary Expectations: New Evidence.” American Economic Review, vol.62, 854-865.

Granger, C. & Newbold, P. (1974), “Spurious Regressions in Econometrics.” Journal of Econometrics, vol.2, 111-120.

Hamori, S. (1997), “A Simple Method to Test the Fisher Effect.” Applied Economics Letters, vol.4, 477-479.

Hess, P. J. & Bicksler, J. L. (1975), “Capital Asset Prices Versus Time Series Models as Predictors of Inflation: The Expected Real Rate of Interest and Market Efficiency.” Journal of Financial Economics, vol.2, 341-360.

Inder, B. & Silvapulle, P. (1993), “Does the Fisher Effect Apply in Australia?” Applied Economics, vol.25, 839-843.

Jacques, K. (1995), “Unit Roots, Interest Rate Spreads and Inflation Forecasts.” Applied Economices, vol.27, 605-608.

Johansen, S. (1988), “Statistical Analysis of Co-Integration Vectors.” Journal of Economic Dynamics and Control, vol.12 (2-3), 231-254.

Johansen, S. (1994), “The Role of the Constant and Linear Terms in Co-Integration Analysis of Nonstationary Variables.” Econometric Reviews, vol.13 (2), 205-229.

Johansen, S. (1995), “Likelihood-based Inference in Cointegration Vector Autogressive Model.” Oxford University Press.

Johansen, S. & Juselius, K. (1990), “Maximum Likelihood Estimation and Inference on Co-Integration with Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics, vol.52 (2), 169-210.

Lungu, L. (1998), “Is There Evidence of the Fisher Effect? “Working pqper.

MacDonald, R. & Murphy, P. D. (1989), “Testing the Long-run Relationship between Nominal Interest Rates and Inflation Using Co-integration Techniques.” Applied Economics, vol.21, 439-447.

Maddala, G. S. (2001), Introduction to Econometrics, 3rd edition, John Wiley.

Mallliaropulos, D. (2000), “A Note on Nonstationarity, Structural Breaks, And the Fisher Effect.” Journal of Banking & Finance, vol.24(5), 695-707.

Mishkin, F. S. (1992), “Is the Fisher Effect for Real: A Reexamination of the Relationship Between Inflation and Interest Rates.” Journal of Monetary Economics, vol.30, 195-215.

Mishkin F. S. & Simon, J. (1995), “An Empirical Examination of the Fisher Effect in Australia.” The Economic Record, vol.71 (214), 217-229.

Miyagawa, S., & Morita, Y. (2003), “The Fisher Effect and the Long Run Phillips Curve –in the case of Japan, Sweden and Italy.” Working paper.

Muth, J. F. (1961), “Rational Expectations and the Theory of Price Movements.” Econometrica, vol.29, 315-335.

Nelson, C. R. & Plosser, C. I. (1982), “Trends and Random Walks in Macroeconomic Time Series.” Journal of Monetary
Economics, vol.10, 139-162.

Peláez, R. F. (1995), “The Fisher Dffect: Reprise.” Journal of Macroeconomics, vol.17 (2), 333-346.

Perron, P. (1989), “The Great Crash, the Oil Price Shock and the Unit Root Hypothesis.” Econometrica, vol.57, 1361-1401.

Phillips, P. C. B. & Perron, P. (1988), "Testing for a Unit Root in Time Series Regression." Biometrika, vol.75, 335-346.

Rapach, D. E. (2003), “International Evidence on the Long-Run Impact of Inflation.” Journal of Money, Credit, & Banking, vol.35 (1), 23-49.

Sargent, T. J. (1969), “Commodity Price Expectations and the Interest Rate.” In W. E. Gibson, & Kaufman, G. G. (eds.), Monetary Economics: Readings on Current Issues, McGrawHill, NY.

Sims, C. A. (1980), “Macroeconomics and Reality.” Econometrica, vol.48, 1-48.

Ghazali, N. A. (1999), “Is the Fisher Effect for Real? Testing the Robustness of the Long Run Fisher Effect in the G7 Countries.” The 12th Annual Australian Finance and Banking Conference.

Tsay, R. S. (2002), Analysis of Financial Time Series, John Wiley.

Wallace, M. S. & Warner, J. T. (1993), “The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegration.” Review of Economics and Statistics, vol.75, 320-324.

Weidmann, J. (1997), “New Hope for the Fisher Effect? A Reexamination Using Threshold Cointegraion.” University of
Bonn, Discussion Paper B-385.

Zivot, E. & Andrews, D. W. K. (1992), “Further Evidence on the Great Crash, the Oil-Price Shock, And the Unit-Root Hypothesis.” Journal of Business & Economics, vol.10 (3), 251-270.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
1. 向惠芳(1993)。寫出圖來--談看圖作文。國教月刊,39卷,5.6期,頁40-49。
2. 向惠芳(1993)。寫出圖來--談看圖作文。國教月刊,39卷,5.6期,頁40-49。
3. 向惠芳(1993)。寫出圖來--談看圖作文。國教月刊,39卷,5.6期,頁40-49。
4. 陸又新(1995)怎樣指導兒童看圖說話。中國語文通訊,頁22-32。
5. 吳百薰(1998)。學習風格理論探究。國教輔導。第37卷,第五期,頁47-53。
6. 吳百薰(1998)。學習風格理論探究。國教輔導。第37卷,第五期,頁47-53。
7. 吳百薰(1998)。學習風格理論探究。國教輔導。第37卷,第五期,頁47-53。
8. 陸又新(1995)怎樣指導兒童看圖說話。中國語文通訊,頁22-32。
9. 陸又新(1995)怎樣指導兒童看圖說話。中國語文通訊,頁22-32。
10. 高翠霞、蔡崇建(1999)。學習風格與教學設計。教育資料與研究。29期,頁46-48。
11. 高翠霞、蔡崇建(1999)。學習風格與教學設計。教育資料與研究。29期,頁46-48。
12. 高翠霞、蔡崇建(1999)。學習風格與教學設計。教育資料與研究。29期,頁46-48。
13. 黃玉枝(1991)。學習風格與資優教育。資優教育季刊,40期,頁13-18。
14. 黃玉枝(1991)。學習風格與資優教育。資優教育季刊,40期,頁13-18。
15. 黃玉枝(1991)。學習風格與資優教育。資優教育季刊,40期,頁13-18。
 
系統版面圖檔 系統版面圖檔