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博碩士論文 etd-0625108-160451 詳細資訊
Title page for etd-0625108-160451
論文名稱
Title
再探長期實質利率平價假說 -OECD國家之檢定力分析與門檻自我迴歸單根檢定
Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
81
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2008-06-16
繳交日期
Date of Submission
2008-06-25
關鍵字
Keywords
實質利率平價假說、單根檢定、門檻自我迴歸、非線性時間序列
Unit Root Test, Real Interest Rate Parity Hypothesis, Threshold Autoregression, Nonlinear Time-Series
統計
Statistics
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中文摘要
本文運用 Ng and Perron (2001) 提出具有型一誤差穩健與高檢定力特性之單根檢定,並藉由模擬技巧的應用,分別建立 Ng and Perron 檢定統計量在虛無假設與對立假設下的小樣本分配,重新探討 OECD 中12個國家之長期實質利率平價假說。利用單根統計量之小樣本分配,可使我們確信,當拒絕虛無假設為單根的結果並不是因為型一誤差扭曲所導致;當不拒絕對立假設的結果也並非是低檢定力所造成的推論是正確的。
若經由比較單根檢定值與小樣本分配間的相對位置,仍無法判斷出實質利差序列最有可能來自於哪個分配時,本文再以 Caner and Hansen(2001) 所提出之門檻自我迴歸模型來檢驗無法判斷其序列來自何種分配的國家,是否具有非對稱調整之特性。
實證結果發現:於線性模型架構下,澳洲、比利時、加拿大、芬蘭、法國、德國、日本與瑞典等8個國家,在季資料與月資料下皆支持長期實質利率平價假說。而季資料下義大利與英國、月資料下之丹麥,皆具有非線性模型之特性。其中,義大利無法得到支持長期實質利率平價假說之證據,英國與丹2個國家則是存在部分單根的現象。
Abstract
This paper reexamines the long-run real interest rate parity of the OECD countries by using the unit root test proposed by Ng and Perron (2001) and by the application of simulation to establish the small sample distribution under the null and the alternative hypothesis. By using the small sample distribution of the unit root statistics, we can make sure that first, size distortions are not the reasons contributing to the rejection of the fact that the alternative hypothesis is unit root. Second, the inference that the low power is not necessary causes the not rejecting the alternative hypothesis is correct.
If still can not decide which distributions might cause the real interest difference series by comparing the unit root statistics and the relative location of the small sample distribution, we test that whether the series are asymmetric in those countries which we can not decide what kind of distributions they are by the threshold autoregression model proposed by Caner and Hansen (2001).
Finally, the empirical results indicate that the RIPH holds in Australia、Belgium、Canada、Finland、France、Germany、Japan and Sweden whenever data frequency under linear time series model. Under quarterly data of Italy and United Kingdom and monthly data of Denmark, it turns out that the data have the traits of nonlinear time series model. Besides, the evidence of supporting the long-run real interest rate parity can not be reached and the phenomena that partial unit root exist in United Kingdom and Denmark.
目次 Table of Contents
1 緒論12
1.1 研究動機與目的...........................................12
1.2 研究架構.................................................14
2 理論模型與文獻回顧15
2.1 實質利率平價假說.........................................15
2.2 文獻回顧.................................................18
3 計量方法與模型介紹22
3.1 最適模型的認定...........................................22
3.2 單根檢定.................................................24
3.2.1 Modified Augmented Dickey-Fuller 檢定量的演變...........25
3.2.2 Modified Phillips-Perron 檢定量的演變..................27
3.2.3 Modified Feasible Point Optimal 檢定量的演變.............29
3.2.4 模型階次選擇...........................................31
3.3 門檻自我迴歸單根檢定.....................................33
4 實證結果與分析37
4.1 資料來源與說明...........................................37
4.2 實證步驟說明.............................................39
4.3 單根檢定之型一誤差與檢力................................41
4.3.1 季資料之實證結果說明...................................41
4.3.2 月資料之實證結果說明...................................41
4.4 單根檢定之恆定分配與差分恆定分配........................43
4.5 門檻自我迴歸單根檢定之實證結果..........................46
5 結論48
A 季資料下各國之實質利差圖形50
B 月資料下各國之實質利差圖形54
C 附表58
參考文獻75
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