名目利率與實質利率之因果關係檢定:臺灣實證研究

Causality Test of Nominal and Real Interest Rates : A Case of Taiwan

劉偉航(Wei-Hang Liu)

指導教授 ： 胡春田

國立臺北大學/社會科學學院/經濟學系/碩士(2009年)

摘要

Fisher方程式的研究在文獻上是很常出現的，大都探討名目利率與預期通貨膨脹率之間關係，以及費雪效果是否成立。而利率理論是影響政府貨幣政策重要指標，所以政府若是能利用政策，而影響到實質利率，使人們的選擇有所改變，就能促使總體經濟成長。
所以本文主要的目的在於探討名目利率與實質利率之間是否存在因果關係。由於實質利率為不可觀察到的，故首先實質利率將使用Kalman filter估計得到。因為Kalman filter可以對無法觀察到的變數，隨著時間變動而提供一種估計方式。如此不僅能夠知道實質利率的變動大小，還可以得到每個時間點的詳細數值。再對名目利率與實質利率做單根檢定，確認皆為非定態序列之後，找出是否有共整合向量，並做誤差修正，最後使用Granger 因果關係檢定，找出名目利率與實質利率之間的關係。
結果顯示，名目利率對實質利率有Granger因果關係，意即名目利率是領先於實質利率。相反的，實質利率卻對名目利率不具有Granger因果關係，意即實質利率不是領先於名目利率。

關鍵字

名目利率 ； 實質利率 ； Granger因果檢定

並列摘要

Fisher equation is often appearing in the literature on the study,and it is using to explore the relationship between the nominal interest rate and the expectation inflation rate. The theory of interest is very important, since it affects the monetary policy. If the Government can take advantage by the effect of the monetary policy to affect the real interest rate. That will change people's choice, and that will be able to promote the overall economic growth.
Therefore, the main purpose of this paper is to explore the causal relationship between nominal interest rates and real interest rates. Since, the real interest rate is the non-observed variables, so first of all, the real interest rate will be estimated using Kalman filter. Kalman filter can provide a way to estimate non-observed variables varied through time. Thus, not only will one be able to say whether or not the real interest rate varied, but also by how much it varied. And then test the unit test with nominal interest rates and real interest rate to confirm the non-stationary sequences. To find out whether there is co-integration vector and doing the error correction, using Granger causality test to find out the relationship between nominal interest rate and real interest rates.
The results showed that the real interest rate cause by the nominal interest rates, it is meaning that, nominal interest rates is leading the real interest rates. On the other hand, real interest rates does not caused by nominal interest rates, which means that real interest rates rather than nominal interest rates ahead.

並列關鍵字

nominal interest rate ； real interest rate ； Granger causality test

參考文獻

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