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    题名: 實質利率與通貨膨脹率的結構改變研究－亞洲國家的實證
    其它题名: Structural Breaks in the Real Interest Rate and Inflation: Evidence from Asian Countries
    作者: 李建強;李起銓;蕭人維
    Lee, Chien-Chiang;Lee, Chi-Chuan;Hsiao, Jen-Wei
    贡献者: 金融系
    关键词: 實質利率;通貨膨脹率;結構改變;亞洲國家
    Real interest rate;Inflation rate;Structure breaks;Asian countries
    日期: 2008.09
    上传时间: 2009-01-13 15:33:09 (UTC+8)
    摘要: 本文採用Bai and Perron (1998)多重結構改變模型探討亞洲8個國家的實質利率與通貨膨脹率結構改變現象。實證結果發現：首先，導致實質利率與通貨膨賬率發生結構改變的因素包括各國財政政策、貨幣政策及金融制度的改變和外在事件的衝擊。其次，在已知重大事件，如1980年第二次石油危機，在亞洲8個國家中，實質利率皆被檢測出有結構改變。另外，秦國在1985年實行擴張性貨幣政策，使實質利率與通貨膨賬率呈現反向變動之結構改變，此與Rapach and Wohar (2005)結論相同，但反應之時點卻不一致，而其他國家的結構改變時間點與變動方向則完全不同。最後，亞洲國家的實質利率在1997-2000年間均發生結構改變，可歸因於1997年東南亞金融風暴。
    This paper examines the structural breaks in the real interest rate and inflation rate for the Asian countries with multiple structural breaks model provided by Bai and Perron (1998). From the empirical results, first, the regime changes in the interest rate and inflation rate are primarily due to the change in fiscal policy, monetary policy, financial mechanism and exogenous shocks. Second, some important events which are known, the Bai and Perron (1998) methodology identified breaks for the real interest rate in eight Asian countries. In addition, the regime shifts that increase (decrease) the inflation rate always correspond to regime shifts that decrease (increase) the real interest rate. This was caused by Thailand which has instituted relaxation of monetary policy in 1985. This result is the same as Rapach and Wohar (2005), but the timing of the breaks is not consistent. In contrasts to Thailand, other countries have the different break points and the directions of changes. Finally, the real interest rate of Asian countries in 1997-2000 which had structure breaks was caused by the Asian Financial Crisis in 1997.
    關聯: 中國統計學報, 46(3), 213-243
    数据类型: article
    显示于类别:[會計學系] 期刊論文

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