內容摘要

自從Fisher (1930)提出利率假說以來，古今中外對於費雪效果的研究不計其數。其爭論點在於：Fisher認為實質利率受實質因素，例如生產力與時間偏好，影響，與預期通貨膨脹率無關，可視為固定常數；名目利率的變動和預期通貨膨脹率的變動則會呈現一對一調整關係。換言之，預期實質利率與名目利率和預期通貨膨脹率的變動關係是相互獨立的。但此隱含政府無法透過貨幣政策工具干預經濟活動，這在現實經濟活動中是難以想像且被接受。
此議題廣受貨幣與總體經濟學家討論及研究，但由於學者利用不同研究方法對此假設進行驗證推論使得結果南轅北轍。就時間數列分析的領域而言，過去研究文獻往往忽略資料為非定態過程而造成費雪效果只在某些時段或在某些地區才存在。此引起Mishkin (1992)重新採用Engle and Granger (1987)提出的兩階段共整合檢定方法檢定美國費雪效果成立與否，而得到肯定美國存在費雪效果的結論。但隨著Ghazali (1999)考慮 Mishkin 當初忽略總體經濟變數整合的長期記憶特性後，其結論卻又傾向不支持費雪效果。
國內近十年來，有著為數不少關於費雪效果的研究，但與Mishkin 如出一撤皆忽略時間數列整合可能存在長期記憶特性的問題，其結果大多數傾向拒絕台灣存在費雪效果。有鑑於傳統整數共整合檢定(a)過於單純地將均衡誤差二分為I(1)或I(0)過程，無法適切地描述資料整合的長期記憶性，且(b)傳統單根檢定力過低可能造成結論的誤解，再加上(c)理論上並未限制差分參數一定為整數，故本文將引進分數共整合過程( fractional cointegration process )檢定台灣是否存在費雪效果，並利用Lee、Guo、Lee和Wu (2002)根據其推導估計式漸進分配所模擬出的標準臨界表檢定分數共整合係數，釐清整合關係式中變數間的調整規模，突破了過去以往無法對共整合係數作檢定的困境。本文主要的目的是嘗試納入更一般化的理論模型來分析名目利率和預期通貨膨脹率的調整關係，使得其結果的可信度能提高。其實證結果顯示台灣並不存在費雪效果，即有其他非實質因素，例如，政府干預，干擾名目利率和預期通貨膨脹率之間的調整關係。

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目 錄
目錄 ……………………………………………i
內容摘要 ………………………………………iii
第一章 緒論……………………………………1
第一節 簡介與研究動機………………………1
第二節 研究目的與研究架構…………………6
第二章 文獻回顧………………………………7
第一節 國外文獻回顧....………………………7
第二節 國內文獻回顧....………………………12
第三章 實證模型與理論分析…………………17
第一節 費雪方程式……………………………17
第二節 長期記憶過程與分數共整合…………20
第三節 CSS估計法 ……………………………24
第四節 分數積分檢定…………………………27
第五節 分數共整合係數檢定…………………30
第六節 資料來源與處理………………………34
第四章 實證結果與分析………………………35
第一節 分數共整合檢定結果…………………35
第二節 費雪效果檢定…………………………38
第五章 結論……………………………………40
參考文獻 ………………………………………42

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