- 學位論文
非線性平滑轉換模型之應用
Applications of nonlinear smooth regime-switching models
摘要
本論文以非線性模型為基礎探討三個不同的研究主題：首先，將線性自我迴歸模型(Autorgressive model; AR model) 延伸至非線性的平滑轉換自我迴歸模型 (Smooth Transition Autoegression model; STAR model)，以探討油價的持續性問題；其次，將縱橫平滑轉換模型 (Panel Smooth Transition Regression model; PSTR model) 應用至貿易引力模型上 (Gravity model of trade)，以分析中國大陸與G7雙邊貿易餘額的非線性門檻效果；最後，利用PSTR模型重新檢驗16個OECD會員國的健保醫療支出的動態行為與各種彈性效果。 第一篇文章－The impact of monetary policy on oil price persistence: an application of the smooth regime-switching model，旨在探討不同的貨幣政策下對油價持續性的影響，並證明油價呈現非線性的波動型態。本文採用Teräsvirta and Anderson (1992) 提出的平滑轉換自我迴歸 (STAR) 模型，並分別利用三種不同的貨幣政策變數 (消費者物價指數、短期利率-聯邦資金市場利率，以及長期利率-美國三十年期公債) 當作轉換變數，探討油價非線性的動態路徑及其持續性之特性。實證結果顯示：(1) 油價與貨幣政策存在非線性的關係，且在不同的轉換變數及轉換區間下，油價的持續性會呈現不同的狀態，此與文獻上以線性模型探討油價持續性之結果，存在顯著的差異。此外，傳統的自我迴歸模型所評估出來油價持續性會產生高估的現象；(2)當FED採行第三次貨幣寬鬆政策(QE3)時，將造成美國的短期利率下降，惟此短期利率(0.1%)遠低於門檻值(8.1%)，故在此低利率的情況下，QE3所產生的油價持續性將維持在0.2006；(3)若美國政府發行長期政府公債以籌措長期資金及促進經濟成長，此舉將使得債券價格下跌，長期利率上漲。然而，即便長期利率上漲至4.41%，仍低於門檻值8.58%，故油價持續性將維持在0.2006；(4)當美國政府採行相對低的物價膨脹目標區 (Inflation Targeting) 政策，使得短期利率上揚，油價持續性依舊處於低水準 (0.1703及0.2006)，對經濟成長及穩定物價不致於產生傷害。換言之，在現階段的美國貨幣市場採行物價膨脹目標區間或發行長期公債的時機點是恰當的，且其效果為正面影響，有助於美國本土的生產及消費活動。 第二篇文章－The threshold effects on the impacts of economic fundamentals on China’s bilateral trade balance with G7 countries，旨在建立縱橫平滑轉換 (Fok et al., 2004; Gonzáez et al., 2005) 的引力模型 (gravity model)，以檢視中國大陸與G7之間的雙邊貿易餘額的動態特性。該模型具有幾項優點：(1) 解決傳統利用線性模型分析貨幣貶值與經濟變數對貿易餘額產生的影響之不足，亦即能同時解決異質性與非線性的問題；(2) 更精確地衡量運輸成本，亦即將傳統以進口加權距離作為運輸成本的代理變數分解成實質油價及進口加權距離二項，並可探討近期油價大幅波動對大陸貿易餘額之影響；(3) 有別於以往文獻，本文所採用之轉換變數為具最適落後期之貨幣政策變數，而非當期的貨幣政策變數。實證結果顯示：(1) 雙邊貿易餘額與總體經濟因素存在顯著的非線性關係；(2) 以落後一期的兩國利差為轉換變數下，大陸的雙邊貿易餘額存在非線性平滑轉換的現象，亦即總體經濟變數對大陸的雙邊貿易餘額會產生不同的邊際效果；(3) 兩國的實質利差和貿易餘額變動存在非線性因果關係；(4) 若以González et al. (2005) 所提出的當期貨幣政策變數作為轉換變數進行估計，將造成高估實質匯率及進口的加權距離的效果，且低估實質油價及實質所得的效果，顯見貨幣政策具有落後的效果。 第三篇文章－A re-examination of the health-income nexus based on a panel smooth transition regression model，利用PSTR模型探討16個OECD會員國所得與健康照護支出的非線性關係。在評估此非線性關係時，本文將人口結構及醫療技術提升納入考量，以提升估計的健全性。其中以時間趨勢代表醫療技術的提升，以65歲以上及15歲以下的人口代表依賴人口。實證結果顯示，健保支出與相關的影響變數，例如：所得、醫療技術及人口結構，存在非線性的關係，且此關係隨國家與時間而變動。其次，醫療技術的進步會對健康照顧支出產生非線性的衝擊，一旦忽略醫療技術進步及人口年齡的結構，將使得醫療支出的所得彈性被高估。此外，醫療支出為一必需品，且當落後五期的政府負擔比例增加時，會使醫療的所得彈性提升。因此，政府在醫療保健支出所投入的比重，在醫療保健支出的所得彈性上扮演著舉足輕重的角色。
並列摘要
Abstract This Ph.D. dissertation entitled “Application of non-linear smooth regime-switching models” includes the following three essays: (1) The impact of monetary policy on oil price persistence－an application of smooth regime-switching model. (2) The threshold effects on the impacts of economic fundamentals on China’s bilateral trade balance with G7 countries. (3) A re-examination of the health-income nexus based on a panel smooth transition regression model. The first essay employs the STAR model to evaluate the persistence of oil price changes, and chooses monetary policy variables as transition variables of the model to assess their roles in the persistence effects. The empirical results show that oil price changes displayed asymmetric adjustments within different regimes and were more sensitive to the movement of interest rates than inflation rate. In addition, high inflation rate would give rise to low oil price persistence, and expansionary monetary policy would bring about higher oil price persistence. Moreover, when the short- and long-term interest rates were over their threshold values, the persistence effects of oil price changes were opposite. In the present relatively low US interest rates, either adopting inflation targeting policy or/and debt-financing policy to stimulate economic growth, the timing is appropriate and the effect will be positive and expected because of low persistence of oil price changes. In the second essay, we investigate the threshold effects on the impacts of fundamentals (i.e., incomes, exchange rates, oil prices, and import-weighted distances) on China’s trade balances with the G7 countries between 1975 and 2010 by using a panel smooth transition regression (PSTR) model with the transition variable of lagged real interest rate differential. The empirical results show that the relationship between the trade balance and the fundamentals is rather nonlinear, changes over time and across countries depending on the lagged real interest rate differential during the different regimes. Moreover, China’s bilateral trade balance responds significantly to the changes in relative real income differentials, real oil prices, and import-weighted distance. If the Federal Reserve adopts an expansionary monetary policy in the near future, China would still accumulate higher bilateral trade surpluses from most of the G7 countries, as long as the following situations exist: an increase in China’s relative real per capita income, a slow increase in real oil price, and a stable RMB exchange rate system. The third essay employs a panel of 16 OECD countries over the period 1975–2009 to re-examine the health care expenditure (HCE)-income relationship by considering a lagged ratio of public expenditures on health as the transition variable in panel smooth transition regression (PSTR) models. PSTR models can capture the heterogeneity of any individual country, provide more detailed information for policy makers of an individual government, and resolve the insufficient observations problem that frequently appears in annual country-level data. Our empirical results indicate that the relationship between HCE and its determinants, including income, time (trend), and age structure variables, is nonlinear and varies with time and across countries. The time (trend) variable－a proxy for technical progress in health care－has a non-linear impact on HCE. Ignoring the variables－technological change of health care and age structure of population－will result in over-estimates of the income elasticities of HCE. Moreover, HCE behaves as a necessity good, and the income elasticity increases when the five-period lagged ratio of public expenditures on health increases. Clearly, the ratio of government financing on health plays an important role in influencing HCE.