Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/27425
標題: 亞洲地區實質利率的研究-多重結構性改變模型之應用
Multiple structural breaks in the real interest rate and inflation:Evidence from Asian countries
作者: 蕭人維
Hsiao, Jen-Wei
關鍵字: real interest rate;實質利率;inflation rate;structural change;通貨膨脹率;結構性改變
出版社: 應用經濟學系所
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摘要: 
本文研究目的包括,第一、檢測在亞洲地區國家,實質利率是否存在結構性改變?並推估各國邊際稅率。第二、檢測各國實質利率的結構性改變數目是否相同?第三、探討實質利率的結構性改變,是什麼因素所造成?第四、已知的重大事件,如1973年石油危機,是否能明顯在時間數列中被偵測出來?若沒有,是什麼因素所導致?第五、檢測亞洲地區開發中國家,貨幣政策是否造成實質利率的結構性改變?第六、比較各國實質利率的結構性改變,是否因相同重大事件,如1997年金融危機,有一致的現象?
本文以亞洲地區國家,包括中國、印尼、馬來西亞、菲律賓、新加坡、泰國、韓國及台灣等8個國家做為研究對象,分別以季資料的3個月期存款利率與年資料的長期利率(十年期以上的政府公債利率)及事後的通貨膨脹率作為變數,採用Bai and Perron (1998)多重結構性改變模型方法,探討實質利率與通貨膨脹率的結構性改變。實證結果發現:一、季資料方面,結構性改變的時間點個數:實質利率21個與通貨膨脹率13個;而年資料卻僅能得出7個實質利率及3個通貨膨脹率的結構改變點。二、導致結構性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衝擊所影響,如1980年第二次石油危機及1997年東南亞金融風暴。三、在已知重大事件,如1980年第二次石油危機,在亞洲地區八個國家中,實質利率皆被檢測出有結構性改變。四、泰國在1985年實行擴張性貨幣政策,使實質利率與通貨膨脹率呈現反向變動之結構性改變,此與Rapach and Wohar (2005) 結論相同,但反應之時點卻不一致,而其餘國家的結構性改變時間點與變動方向則完全不同。五、亞洲國家實質利率在1997~2000年間,均發生結構性改變的原因,可歸咎於1997年東南亞金融風暴。
URI: http://hdl.handle.net/11455/27425
其他識別: U0005-1008200600082400
Appears in Collections:應用經濟學系

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