通貨膨脹率是否為平均數回歸過程?亞洲國家的實證研究

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。

關鍵字

結構改變；非線性；恆定性；通貨膨脹

並列摘要

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.

並列關鍵字

stationarity ； Inflation ； nonlinearity ； structural break

參考文獻

Arize, A. C., Malindretos, J. and Nam, K. (2005), Inflation and structural change in 50 developing countries, Atlantic Economic Journal, 33, 461–471.

Arize, A. C. and Malindretos, J. (2012), Nonstationarity and nonlinearity in inflation rate: Some further evidence, International Review of Economics and Finance, 24,224–234.

Artis, M. J. and Nachane, D. (1990), Wage and prices in Europe: A test of the German leadership thesis, Weltwirtschaftliches Archiv, 126(1), 59–77.

Baillie, R. T., Chung, C.-F. and Tieslau, M. A. (1996), Analyzing inflation by the fractionally integrated ARFIMA-GARCH model, Journal of Applied Econometrics, 11, 23–40.

Baillie, R. T. and Morana, C. (2012), Adaptive ARFIMA models with applications to inflation, Economic Modelling, 29, 2451–2459.

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通貨膨脹率是否為平均數回歸過程?亞洲國家的實證研究

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