利率期間結構與未來通貨膨脹之關係--縱橫門檻效果檢定_

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題名：	利率期間結構與未來通貨膨脹之關係--縱橫門檻效果檢定
書刊名：	會計與財金研究
作者：	聶建中／黃昱程
作者(外文)：	Nieh, Chien-chung／Huang, Yu-cheng
出版日期：	2010
卷期：	3:2
頁次：	頁1-15
主題關鍵詞：	利率期間結構；通貨膨脹；門檻效應；Term structure of interest rates；Inflation；Threshold effect
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(1) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:0 點閱:68

本研究旨在探討利率期間結構與未來通貨膨脹的關係，並檢測二者間是否存在非線性的不對稱關係。本研究以G7為研究對象，採用Hansen(1999)縱橫資料的門檻模型。樣本係由季資料組成，從1970年第1季到2006年第1季，總共141組觀察值。實證結果顯示，長短期利差與未來通貨膨脹變動率間存在不對稱的非線性關係，單一門檻效果為顯著，即當長短期利差低於門檻值1.38%時，利差與未來通貨膨脹變動率呈顯著正相關。這意味著，此種情況下利差的擴大將伴隨著未來通貨膨脹率的提高，央行可將此種關係納入貨幣政策考量；惟當長短期利差高於該門檻值時，利差與未來通貨膨脹變動率間的關係變得不顯著。

以文找文

This research adopts Hansen's threshold model (1999) to discuss on the relationship between term structure of interest rates and inflation and to examine whether there is a non-linear and asymmetry relationship on both variables. The objects of study are G7. Samples are composed by quarterly data, beginning from the first quarter of 1970 to the first quarter of 2006, with 141 numerical sets for observation purposes. The result shows a non-linear and asymmetry relationship between term structure of interest rates and inflation rate for the next one year. The single-threshold effect reachs significance level, i.e. When the spread between long-term and short-term interest rates is lower than the threshold value (1.38%), the spread and future inflation rate demonstrates significantly positive correlation. This means the expanding of the spread will accompany the raising of future inflation rate. Central Banks should consider this correlation on their monetary policy. However, when the spread is higher than this threshold value, the correlation between the spread and future inflation rate isn't significant.

以文找文

期刊論文
1.	Estrella, Arturo、Mishkin, F. S.(1997)。The Predictive Power of the Term Structure of Interest Rates in Europe and the United States: Implications for the European Central Bank。European Economic Review，41(7)，1375-1401。
2.	Stock, James H.、Watson, Mark W.(2003)。Forecasting Output and Inflation: The Role of Asset Prices。Journal of Economic Literature，41(3)，788-829。
3.	Mishkin, F. S.(1990)。The Information in the Longer-Maturity Term Structure about Future Inflation。Quarterly Journal of Economics，55，815-828。
4.	Mishkin, Frederic S.(1990)。What Does the Term Structure Tell Us about Future Inflation?。Journal of Monetary Economics，25(1)，77-95。
5.	Harvey, C. R.(1988)。The real term structure and consumption growth。Journal of Financial Economics，22(2)，305-333。
6.	Davies, R. B.(1987)。Hypothesis Testing When a Nuisance Parameter is Present Only under the Alternatives。Biometrika，74(1)，33-43。
7.	Hansen, Bruce E.(1999)。Threshold effects in non-dynamic panels: Estimation, testing, and inference。Journal of Econometrics，93(2)，345-368。
8.	Haubrich, Joseph G.、Dombrosky, Ann M.(1996)。Predicting Real Growth Using the Yield Curve。Economic Review: Federal Reserve Bank of Cleveland，32(1)，26-35。
9.	Estrella, Arturo、Hardouvelis, Gikas A.(1991)。The Term Structure as a Predictor of Real Economic Activity。The Journal of Finance，46(2)，555-576。
10.	Estrella, Arturo、Mishkin, Frederic S.(1998)。Predicting U.S. Recessions: Financial Variables as Leading Indicators。Review of Economics and Statistics，80(1)，45-61。
11.	Hamilton, J. D.、Kim, D. H.(2002)。A reexamination of the predictability of economic activity using the yield spread。Journal of Money, Credit, and Banking，34(2)，340-360。
12.	Davies, Robert B.(1977)。Hypothesis Testing When a Nuisance Parameter Is Present Only Under the Alternative。Biometrika，64(2)，247-254。
13.	Hansen, B. E.(1996)。Inference when a nuisance parameter is not identified under the null hypothesis。Econometrica: Journal of the econometric society，64(2)，413-430。
14.	Ang, Andrew、Piazzesi, Monika、Wei, Min(2006)。What Does the Yield Curve Tell Us about GDP Growth。Journal of Econometrics，131(1/2)，359-403。
15.	Harvey, C. R.(1989)。Forecasts of economic growth from the bond and stock markets。Financial Analysts Journal，45(5)，38-45。
16.	Boulier, B. L.、Stekler, H. O.(2001)。The Term Spread as a Cyclical Indicator: A Forecasting Evaluation。Applied Financial Economics，11(4)，403-409。
17.	Davis, E. P.、Henry, S. G. B.(1994)。The Use of Financial Spreads as Indicator Variables: Evidence for the United Kingdom and Germany。International Monetary Fund Staff Papers，41(3)，517-525。
18.	Estrella, A.(2005)。Why Does the Yield Curve Predict Output and Inflation?。The Economic Journal，115(505)，722-744。
19.	Hans, D.、Lyrio, M.(2006)。Macro Factors and Term Structure of Interest Rates。Journal of Money, Credit and Banking，38(1)，119-140。
20.	Huizinga, J.、Mishkin, F. S.(1986)。Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rate。Carnegie: Rochester Series on Public Policy，24(1)，231-274。
21.	Estrella, A.(2005)。The Yield Curve and Recessions。The International Economy，19(3)，8-38。
22.	Fama, Eugene F.(1975)。Short Term Interest Rates as Predictors of Future Inflation。American Economic Review，65(3)，269-282。
23.	Fama, Eugene F.(1990)。Term Structure Forecasts of Interest Rates, Inflation, and Real Returns。Journal of Monetary Economics，25(1)，59-76。
24.	Fama, E.F.、Gibbons, M. R.(1982)。Real Returns and Capital Investment。Journal of Monetary Economics，9(3)，297-323。
25.	Harvey, Campbell R.(1997)。The Relation between the Term Structure of Interest Rates and Canadian Economic Growth。Canadian Journal of Economics，30(1)，169-193。
26.	Plosser, C. I.、Rouwenhorst, K. G.(1994)。International Term Structures and Real Economic Growth。Journal of Monetary Economics，33(1)，133-155。
27.	McMillan, D. G.(2002)。Interest Rate Spread and Real Activity: Evidence for the UK。Applied Economics Letters，9(3)，91-194。
28.	Nelson, C. R.、Schwert, G. W.(1977)。Short-Term Interest Rates as Predictors of Inflation: On Testing the Hypothesis that the Real Rate of interest is Constant。The American Economic Review，67(3)，478-486。
29.	Sephton, P.(2002)。Forecasting Inflation Using the Term Structure and MARS。Applied Economics Letters，12(4)，199-202。

研究報告
1.	Bordo, Michael D.、Haubrich, Joseph G.(2004)。The Yield Curve, Recessions and The Credibility of Monetary Regime: Long Run Evidence 1875-1997。Cambridge：National Bureau of Economic Research。
2.	Wright J. H.(2006)。The Yield Curve and Predicting Recessions。Washington。

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