本文考慮通貨膨脹率可能存在結構改變及非線性的現象,重新檢視六個亞洲國家的通貨膨脹率的恆定性性質。本文的研究結果發現,線性的單根檢定結果無法得到一致性的結論,而結構改變的單根檢定結果顯示六個亞洲國家的通貨膨脹率皆得到拒絕單根假設。門檻迴歸非線性單根檢定及指數型平滑轉換的非線性單根檢定結果顯示,在考慮資料具有非線性的特性之後,六個亞洲國家的通貨膨脹率皆呈現的恆定過程。本文實證結果顯示探討六個亞洲國家的通貨膨脹率恆定性性質時,結構改變及非線性是不可忽略的重要性質。由於六個亞洲國家的通貨膨脹率皆為恆定的序列,隱含任何衝擊對於通貨膨脹的影響僅存在短暫的效果。
This paper tests for inflation stationarity of six Asian countries, that is, Indonesia, Malaysia, the Philippines, Thailand, Singapore and India by considering the possibility of structural break and nonlinearity in testing for a unit root. The results are mixed by using the conventional linear unit root tests. However, the inflation rate is shown to be a stationary process after considering the nonlinear properties of threshold, exponential smooth transition and structural break. The mean reversion in inflation is in favor of the hypothesis of, for example, the natural rate of inflation and the sticky-price model and implies that any shock has a transitory effect to inflation. The implication of stationary inflation is that any shock has a transitory effect to inflation.
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