通膨恆定性再檢測—以亞洲國家為例

本研究利用自體抽樣共變量點最適檢定量，重新檢測亞洲國家的通貨膨脹率，該檢定方法由Elliott and Jansson (2003) 提出，型一誤差和檢力的表現不錯。當通貨膨脹率的移動平均負根很大時，利用自體抽樣法處理可能產生過度拒絕現象。實證結果指出通貨膨脹率具有均值復歸現象，大部分對通貨膨脹率的衝擊所產生效果都是短暫的。此外，透過該檢定方法發現，藉由線性模型能夠模擬資料的實際產生過程，無須使用結構生變動和非線性等模型。

關鍵字

通貨膨脹率；共變量單根檢定；自體抽樣檢定

並列摘要

In this paper, we re-examined the stationarity of inflation rates in Asian countries, using the bootstrap covariate feasible point optimal test developed by Elliott and Jansson (2003) with good size and power. The bootstrap test aims to deal with the possible oversizes when inflation rates contain a large negative moving average root. Our empirical findings are favorable to the stationarity of the inflation rates and the results indicate that most shocks to inflation rates are temporary and soon converge with the inflation rates showing mean reversion. Moreover, after applying this test, we find that a linear process could approximate well the true data generating process of inflation rates without taking structural breaks or non-linearties into consideration.

並列關鍵字

Inflation rate ； Covariate unit root test ； Bootstrap test

參考文獻

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