結構改變,非線性,與費雪效果

Structural Change, Nonlinearity, and the Fisher Effect

馬逸辰(Yi-Chen Ma)

指導教授 ： 欉清全

國立暨南國際大學/管理學院/經濟學系/碩士(2016年)

摘要

本文將討論實質利率在長期是否會發生收斂，根據Rose (1988) 認為實質利率並非恆定而費雪(Fisher)假說並不會成立。但諸多學者指出在傳統單根檢定下低檢定力會導致檢測結果失真；稍後，Hansen (1995) 提出以增加迴歸共變量來提高檢定力的方式。而當經濟體承受不同的衝擊時可能會造成實質利率發生非線性調整與結構上的變動，傳統單根檢定如ADF檢定就無法獲得這方面的資訊。我們以Tsong et al (2013) 的CFF檢定為基礎，並選取7個開發中國家與19個已開發國家的實質利率資料來執行單根檢定。另一方面，本文選擇了5個總體經濟變數作為共變量，最終結果顯示除了德國以外，其餘25的國家轉為支持實質利率為恆定。

關鍵字

實質利率 ； 共變量單根檢定；結構改變 ； 非線性 ； 費雪效果

並列摘要

This study discusses whether real interest rate will converge in the long run. According to Rose (1988), the real interest rate was not stationary, therefore, Fisher’s hypothesis was unable to establish, however, many researchers had pointed out taht traditional unit root test with low power would lead to incorrect results. Hansen (1995) proposed CADF unit root test by regression covariates to increase the power of the test. As economy withstand shocks from different sources may cause non-linear adjustment and structure breaks in real interest rate, traditional unit root test such as ADF test can’t capture these information. This study is based on Tsong et al (2013) CFF test, alongside 7 developing and 19 developed countries’ real interest rate data which we selected to run unit root test. On the other hand, we‘ve chosen five macroeconomic variables as covariates. The final result shows that all the 26 countries support stationarity of real interest rate with the exception of Germany.

並列關鍵字

Real Interest Rate ； Covariates Unit Root Test；Structural Change ； Nonlinearity ； Fisher Effect

參考文獻

參考文獻

1. Bai, J. and Perron, P. (1998). “Estimating and Testing Linear Models with Multiple Structural Changes.” Econometrica, 66(1), pp. 47-78.

2. Breitung, J (2002). “Nonparametric Tests for Unit Roots and Cointegration.” Journal of Econometrics, 108(2), pp. 343-63.

3. Bec, F., Ben Salem, M. and Carassco, M. (2004) “Tests for Unit-Root versus Threshold Specification with an Application to the Purchasing Power Parity Relationship.” Journal of Business and Economic Statistics,, 22(4), pp. 382-95.

4. Caporale, T. and K.B. Grier. (2000). “Political Regime Change and the Real Interest Rate.” Journal of Money, Credit and Banking,