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研究生:陳佩伶
研究生(外文):Pei-Ling Chen
論文名稱:新興市場短期名目利率之均數復歸
論文名稱(外文):Mean Reversion of Short-run Nominal Interest Rates in Emerging Countries
指導教授:張淑華張淑華引用關係
指導教授(外文):Shu-Hwa Chang
學位類別:碩士
校院名稱:世新大學
系所名稱:財務金融學研究所(含碩專班)
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:2009
畢業學年度:97
語文別:中文
論文頁數:67
中文關鍵詞:新興市場均數復歸Panel單根檢定橫斷面相依
外文關鍵詞:Panel Unit Root TestsCross-Sectional DependenceMean ReversionEmerging Markets
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本文章主要使用多個單根檢定來探討新興市場國家短期名目利率的隨機性質。為此,本文利用傳統單根檢定、橫斷面獨立與相依之 Panel 單根檢定,使用 Panel 單根檢定可藉由橫斷面資料的變化來增加檢定力。由於標準 Panel 單根檢定不能控制殘差間橫斷面相依性,本文進而利用最近由 Chang (2002) and Pesaran (2007) 發展之Panel 單根檢定,其明確的允許橫斷面相依存在。為求穩健,也對已開發的OECD國家進行一系列的單根檢定。
實證結果指出,傳統單根檢定傾向於不拒絕單根虛無假設。獲致壓倒性的證據支持利率非恆定性之性質,可能是因為傳統單根檢定的低檢定力。然而,Panel 單根檢定多數顯示出名目利率具有均數復歸的特性。本研究進一步發現根據不同的計量方法、落後期數、非線性轉換參數大小以及利率是否取對數,都有可能會影響判斷利率的隨機趨勢。
In this paper we examine the stochastic properties of short-run nominal interest rate in several emerging countries using numerous unit root tests. For that purpose, this paper employs conventional unit root tests as well as panel unit root tests that explicitly allow for cross-sectional independence and dependence. We use panel unit root tests, which increase power by exploiting the cross-sectional variability of the data. Since standard panel unit tests failing to control for cross-sectional correlation, we employ the recently developed panel unit root tests developed by Chang (2002) and Pesaran (2007) which explicitly allow for cross-sectional dependence. For the sake of robustness, we also apply our battery of tests for OECD.
Empirical results indicate that we tend to fail to reject the unit root null at conventional levels. Nevertheless, the overwhelming evidence in favor of non-stationary may derive from the well-known low power of conventional unit root tests. However, the most panel unit root tests show the nominal interest rate mean reversion.
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 5
第三節 研究內容與架構 5
第二章 文獻回顧 7
第一節 傳統單根檢定法之問題 7
第二節 名目利率之恆定性相關實證研究 8
第三節 實質利率之恆定性相關實證研究 11
第三章 研究方法 13
第一節 單變量單根檢定 (UNIVARIATE UNIT ROOT TEST) 13
第二節 PANEL單根檢定 (PANEL UNIT ROOT TEST) 18
第四章 實證結果分析 26
第一節 資料來源及描述 26
第二節 利率趨勢概況 28
第三節 傳統單根檢定結果 31
第四節 PANEL 單根檢定結果 33
第五章 結論 37
參考文獻 39
附錄 43
【圖1-1】本研究架構圖 6
【圖4-1】新興市場國家名目利率時間序列趨勢圖 43
【圖4-2】已開發的OECD國家名目利率時間序列趨勢圖 45
【表2-1】國外文獻回顧表格 48
【表4-1】名目利率敘述統計量 50
【表4-2】傳統單根檢定表 51
【表4-3】追蹤資料單根檢定 53
【表4-4】橫斷面相依檢定 54
【表4-5】NONLINEAR IV (CHANG, 2002)單根檢定結果--無時間趨勢項模型 55
【表4-6】NONLINEAR IV (CHANG, 2002)單根檢定結果--時間趨勢項模型 57
【表4-7】SIMPLE FACTOR MODEL (PESARAN, 2007)單根檢定結果--無時間趨勢項模型 59
【表4-8】SIMPLE FACTOR MODEL (PESARAN, 2007)單根檢定結果--時間趨勢項模型 60
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陳旭昇著,2007,《時間序列分析 : 總體經濟與財務金融之應用》,東華書局。
黃仁德、林進煌,2007,《國際金融危機的經驗與啟示》,聯經出版。
何宗武,2008,《2008財經計量分析講習會》。

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