臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：新興國家短期名目利率之均數復歸
書刊名：經濟論文
作者：張淑華／何宗武／陳佩伶
作者(外文)：Chang, Shu-hwa／Ho, Tsung-wu／Chen, Pei-ling
出版日期：2010
卷期：38:4
頁次：頁661-696
主題關鍵詞：名目利率；追蹤資料單根；橫斷面相依；工具變數生成函數；共同因子法；Nominal interest rates；Panel unit root tests；Cross-sectional dependency；Instrument generating functions；Common factor method
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:6
  • 點閱點閱:27
期刊論文
1.Culver, S. E.、Papell, D. H.(1997)。Is there a unit root in the inflation rate? Evidence from sequential break and panel data models。Journal of Applied Econometrics，12(4)，435-444。  new window
2.Fama, F. F.、Bliss, R. R.(1987)。The Information in Long-Maturity Forward Rate。American Economic Review，77，680-692。  new window
3.Karfakis, J. C.、Moschos, D. M.(1990)。Interest Rates Linkages within the European Monetary System: A Time Series Analysis。Journal of Money, Credit and Banking，22，388-394。  new window
4.Strauss, J.、Yigit, T.(2003)。Shortfalls of Panel Unit Root Testing。Economics Letters，81，309-313。  new window
5.Wu, Y.、Zhang, H.(1996)。Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries。Journal of Money, Credit and Banking，28，604-621。  new window
6.Fama, E. F.、Gibbons, M. R.(1982)。Inflation, Real Returns, and Capital Investment。Journal of Monetary Economics，9，297-324。  new window
7.Candelon, B.、Gil-Alana, L. A.(2006)。Mean Reversion of Short-Run Interest Rates in Emerging Countries。Review of International Economics，14(1)，119-135。  new window
8.Engsted, T.(1995)。Does the Long-Term Interest Rate Predict Future Inflation? A Multicountry Analysis。Review of Economics and Statistics，77，42-54。  new window
9.Crowder, W.、Wohar, M.(1999)。Are Tax Effects Important in the Long Run Fisher Relationship? Evidence from the Municipal Bond Market。Journal of Finance，54，307–317。  new window
10.Campbell, J. Y.、Shiller, R. J.(1987)。Cointegration Tests of Present Value Models。Journalof Political Economy，95，1062-1088。  new window
11.Fama, E. F.(1977)。Interest Rates and Inflation: The Message in the Entrails。American Economic Review，65，487-496。  new window
12.Arshanapalli, B.、Doukas, J.(1994)。Common Stochastic Trends in a System of Eurocurrency Rates。Journal of Banking and Finance，18，1047-1061。  new window
13.Wallace, M. S.、Warner, J. T.(1993)。The Fisher Effect and the Term Structure of InterestRates: Tests of Cointegration。Review of Economics and Statistics，75，320-324。  new window
14.Atkins, F. J.(1989)。Cointegration, Error Correction and the Fisher Effect。Applied Economics，21，1611-1620。  new window
15.Moon, H. R.、Perron, B.(2007)。An Empirical Analysis of Nonstationarity in a Panel of Interest Rates with Factors。Journal of Applied Economics，22，383-400。  new window
16.Mishkin, Frederic S.(1990)。What Does the Term Structure Tell Us about Future Inflation?。Journal of Monetary Economics，25(1)，77-95。  new window
17.Ng, S.、Perron, P.(2001)。Lag length selection and the construction of unit roots test with good size and power。Econometrica，69，1519-1554。  new window
18.Rapach, D. E.、Weber, C. E.(2004)。Are Real Interest Rates Really Non-Stationary? New Evidence from Tests with Good Size and Power。Journal of Macroeconomics，26(3)，409-430。  new window
19.Crowder, W. J.、Hoffman, D. L.(1996)。The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited。Journal of Money, Credit, and Banking，28(1)，102-118。  new window
20.Mishkin, F. S.(1992)。Is the Fisher effect for real?: A reexamination of the relationship between inflation and interest rates。Journal of Monetary Economics，30(2)，195-215。  new window
21.Rose, A. K.(1988)。Is the real interest rate stable?。Journal of Finance，43(5)，1095-1112。  new window
22.Hall, A. D.、Anderson, H. M.、Granger, C. W. J.(1992)。A Cointegration Analysis of Treasury Bill Yields。Review of Economics and Statistics，74(1)，117-126。  new window
23.Abuaf, Niso、Jorion, Philippe(199003)。Purchasing Power Parity in the Long Run。Journal of Finance，45(1)，172。  new window
24.Stock, J. H.、Watson, M. W.(1998)。Testing for Common Trends。Journal of the American Statistical Association，83，1097-1107。  new window
25.Ng, Serena、Perron, Pierre(2001)。Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power。Econometrica，69(6)，1519-1554。  new window
26.Phillips, P. C. B.(1986)。Understanding Spurious Regressions in Econometrics。Journal of Econometrics，33(3)，311-340。  new window
27.Baillie, R. T.、Chung, C. F.、Tieslau, M. A.(1996)。Analyzing Inflation by the Fractional Integrated ARIFMA-GARCH Model。Journal of Applied Econometrics，11，23-40。  new window
28.Nelson, C. R.、Plosser, C. I.(1982)。Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications。Journal of Monetary Economics，10(2)，139-162。  new window
29.Estrella, Arturo、Hardouvelis, Gikas A.(1991)。The Term Structure as a Predictor of Real Economic Activity。The Journal of Finance，46(2)，555-576。  new window
30.Dickey, David A.、Fuller, Wayne A.(1979)。Distribution of the Estimators for Autoregressive Time Series With a Unit Root。Journal of the American Statistical Association，74(366)，427-431。  new window
31.Granger, Clive William John、Newbold, Paul(1974)。Spurious Regressions in Econometrics。Journal of econometrics，2(2)，111-120。  new window
32.Im, Kyung So、Pesaran, M. Hashem、Shin, Yongcheol(2003)。Testing for Unit Roots in Heterogeneous Panels。Journal of Econometrics，115(1)，53-74。  new window
33.Maddala, Gangadharrao S.、Wu, Shaowen(1999)。A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test。Oxford Bulletin of Economics and Statistics，61(S1)，631-652。  new window
34.O'Connell, Paul G. J.(1998)。The Overvaluation of Purchasing Power Parity。Journal of International Economics，44(1)，1-19。  new window
35.Pesaran, M. Hashem(2007)。A simple panel unit root test in the presence of cross-section dependence。Journal of Applied Econometrics，22(2)，265-312。  new window
36.Bai, J. and S. Ng(2004)。“A PANIC on Unit Roots and Cointegration,”。Econometrica，72，1127–1177。  new window
37.Banerjee, A., M. Marcellino, and C. Osbat(2005)。“Testing for PPP: Should We Use Panel Methods?”。Empirical Economics，30，77–91。  new window
38.Chang, Y.(2002)。“Non-Linear Unit Root Tests in Panels with Cross-Sectional Dependency,”。Journal of Econometrics，110，261–292。  new window
39.Chang, Y. and W. Song(2009)。“Testing for Unit Roots in Small Panels with Short-Run andLong-Run Cross-Sectional Dependencies,”。Review of Economic Studies，76，1–33。  new window
40.DeGennaro, R. and R. Kunkel(1994)。“Modeling International Long-Term Interest Rates,”。The Financial Review，29，577–597。  new window
41.Edwards, S.(1998)。“Interest Rate Volatility, Contagion and Convergence: An Empirical Investigationof the Areas of Argentina, Chile and Mexico,”。Journal of Applied Economics，1，55–86.。  new window
42.Engsted, T. and C. Tanggaard(1995)。“The Predictive Power of Yields Spreads for FutureInterest Rates: Evidence from the Danish Term Structure,”。Scandinavian Journal of Economics，97，145–159.。  new window
43.Goncalves, C. E. S. and J. M. Salles(2008)。“Inflation Targeting in Emerging Economies:What Do the Data Say?”。Journal of Development Economics，85，312–318。  new window
44.Katsimbris, G. M. and S. M. Miller(1993)。“Interest Rates Linkages within the European Monetary System: Further Analysis,”。Journal of Money, Credit and Banking，25，771– 779。  new window
45.MacDonald, R. and P. D. Murphy(1989)。“Testing for the Long-Run Relationships betweenNominal Interest Rates and Inflation Using Cointegration Techniques,”。Applied Economics，21，439–447.。  new window
46.Pesaran, M. H.(2006)。“Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence,”。Econometrica，74，967–1012。  new window
47.Phillips, P. C. B., J. Y. Park, and Y. Chang(2004)。“Nonlinear Instrument Variable Estimationof an Autoregression,”。Journal of Econometrics，118，219–246。  new window
48.Phillips, P. C. B. and P. Perron(1988)。“Testing for Unit Roots in Time Series,”。Biometrika，75，335-346。  new window
49.Romero-A´ vila R.(2007)。“Unit Roots and Persistence in the Nominal Interest Rate: A Confirmatory Analysis Applied to the OECD,”。Canadian Journal of Economics，40，980–1007。  new window
50.Smith, L.V., S. Leybourne, T. Kim, and P. Newbold(2004)。“More Powerful Panel Data Unit Root Tests with an Application to the Mean Reversion in Real Exchange Rates,”。Journalof Applied Econometrics，19，147–170。  new window
51.Stiglitz, J.(1999)。“Bleak Growth Prospects for the Developing World,”。International Herald Tribune，April 10–11,，6。  new window
52.Wu, J. L. and S. L. Chen(2001)。“Mean Reversion of Interest Rates in the Eurocurrency Market,”。Oxford Bulletin of Economics and Statistics，63，459–473。  new window
53.Shiller, R. J. and P. Perron(1985)。“Testing the Random Walk Hypothesis: Power versus Frequencyof Observation,”。Economics Letters,，39,，381–386.。  new window
54.Bai, J.、Ng, S.(2004)。A PANIC on Unit Roots and Cointegration。Econometrica，72，1127-1177。  new window
55.Engsted, T.、Tanggaard, C.(1995)。The Predictive Power of Yields Spreads for Future Interest Rates: Evidence from the Danish Term Structure。Scandinavian Journal of Economics，97，145-159。  new window
56.Chang, Y.、Song, W.(2009)。Testing for Unit Roots in Small Panels with Short-Run and Long-Run Cross-Sectional Dependencies。Review of Economic Studies，76，1-33。  new window
57.DeGennaro, R.、Kunkel, R.(1994)。Modeling International Long-Term Interest Rates。The Financial Review，29，577-597。  new window
58.Edwards, S.(1998)。Interest Rate Volatility, Contagion and Convergence: An Empirical Investigation of the Areas of Argentina, Chile and Mexico。Journal of Applied Economics，1，55-86。  new window
59.Goncalves, C. E. S.、Salles, J. M.(2008)。Inflation Targeting in Emerging Economies: What Do the Data Say?。Journal of Development Economics，85，312-318。  new window
60.Banerjee, A.、Marcellino, M.、Osbat, C.(2005)。Testing for PPP: Should We Use Panel Methods?。Empirical Economics，30，77-91。  new window
61.Chang, Y.(2002)。Non-Linear Unit Root Tests in Panels with Cross-Sectional Dependency。Journal of Econometrics，110，261-292。  new window
62.Pesaran, M. H.(2006)。Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence。Econometrica，74，967-1012。  new window
63.Phillips, P. C. B.、Park, J. Y.、Chang, Y.(2004)。Nonlinear Instrument Variable Estimation of an Autoregression。Journal of Econometrics，118，219-246。  new window
64.Phillips, P. C. B.、Perron, P.(1988)。Testing for Unit Roots in Time Series。Biometrika，75，335-346。  new window
65.Romero-Ávila, R.(2007)。Unit Roots and Persistence in the Nominal Interest Rate: A Confirmatory Analysis Applied to the OECD。Canadian Journal of Economics，40，980-1007。  new window
66.Shiller, R. J.、Perron, P.(1985)。Testing the Random Walk Hypothesis: Power versus Frequency of Observation。Economics Letters，39，381–386。  new window
67.Smith, L.V.、Leybourne, S.、Kim, T.、Newbold, P.(2004)。More Powerful Panel Data Unit Root Tests with an Application to the Mean Reversion in Real Exchange Rates。Journal of Applied Econometrics，19，147-170。  new window
68.Katsimbris, G. M.、Miller, S. M.(1993)。Interest Rates Linkages within the European Monetary System: Further Analysis。Journal of Money, Credit and Banking，25，771-779。  new window
69.MacDonald, R.、Murphy, P. D.(1989)。Testing for the Long-Run Relationships between Nominal Interest Rates and Inflation Using Cointegration Techniques。Applied Economics，21，439-447。  new window
70.Wu, J. L.、Chen, S. L.(2001)。Mean Reversion of Interest Rates in the Eurocurrency Market。Oxford Bulletin of Economics and Statistics，63，459-473。  new window
研究報告
1.Pesaran, M. H.(2004)。General Diagnostic Tests for Cross-Section Dependence in Panels。  new window
2.Im, K. S.、Pesaran, H. M.、Shin, Y.(1997)。Testing for Unit Roots in Heterogeneous Panels。Department of Applied Economics, University of Cambridge。  new window
3.Bank for International Settlement(2008)。Annual Report。Basel:。  new window
4.Sul, D.(2006)。“Panel Unit Root Tests under Cross-Section Dependence with Recursive Mean Adjustment,”。  new window
5.Bank for International Settlement(2008)。Annual Report。Basel。  new window
6.Sul, D.(2006)。Panel Unit Root Tests under Cross-Section Dependence with Recursive Mean Adjustment。  new window
圖書
1.Mishkin, F. S.(2007)。Monetary Policy Strategy。Cambridge, MA：MIT Press。  new window
2.黃仁德、林進煌(20070000)。國際金融危機的經驗與啟示。臺北：聯經。new window  延伸查詢new window
3.Bai, J. and S. Ng(2005)。“A New Look at Panel Testing of Stationarity and the PPP Hypothesis,”。Identification and Inference in EconometricModels。Cambridge, MA。  new window
4.Perron, P.(1989)。“Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval Is Varied,”。Advances in Econometrics and Modeling。Boston。  new window
5.Bai, J.、Ng, S.(2005)。A New Look at Panel Testing of Stationarity and the PPP Hypothesis。Indentification and Inference in Econometric Model。Cambridge, MA。  new window
6.Perron, P.(1989)。Testing for a Random Walk: A Simulation Experiment of Power When the Sampling Interval Is Varied。Advances in Econometrics and Modeling。Dordrecht & Boston。  new window
其他
1.Levin, A.，Lin, C. F.(1992)。Unit-root test in panel data: asymptotic and finite sample properties，University of California at San Diego。  new window
2.Stiglitz, J.(1999)。Bleak Growth Prospects for the Developing World。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：747（臺灣：739，外國：8） ／ 本年度總使用人次：2000451 ／ 訪客人次（自102年09月）：67800700
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上