國立中山大學學位論文典藏.PDF
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1 A Reexaminaion for Fisher effec
2 ....i...iii CSS i
3 ii
4 Fisher (930) Fisher Mishkin (99) Engle and Granger (987) Ghazali (999) Mishkin Mishkin iii
5 (a) I() I(0) (b) (c) ( fracional coinegraion process ) Lee Guo Lee Wu (00) iv
6 ( nominal ineres rae ) ( expeced inflaion rae ) ( expeced real ineres rae ) ( ex ane real ineres rae ) GDP Keynes Wicksell (898) Ohlin (937) Roberson(937) Keynes (936) ( The General Theory of Employmen, Ineres, and Money ) Keynes ( heory of liquidiy preference ) Fisher (930) Fisher Keynes () ( ransacion moive ) () ( precauionary moive ) (3) ( speculaive moive )
7 ( Fisher effec ) (full) Fama and Gibbons (98) Huizinga and Mishkin (984) Mishkin (98, 988) Summers (983) Huizinga and Mishkin (984, 986) Barsky (987) ( saionary ) ( nonsaionary ) Nelson and Plosser (98) Rose (988) Granger and Newbold (974) ( spurious regression ) 3 Mishkin (99) Mundell (963) Tobin (965) Darby (975) Feldsein (976) 3 I()
8 Engle and Granger (987) ( wo-sep coinegraion es ) I() Mishkin 4 Mishkin I(0) I() I(d) Granger (986) I(0) I() I(d) 0 < d < Ghazali(999) ( fracionally inegraed process ) ( fracional coinegraion ) Geweke and Porer-Hudak (983) GPH ( seminonparameric procedure ) Dickey and Fuller (979) Augmened Dickey-fuller (ADF) Phillips and Perron (988) PP 5 π, ˆβ π, j 4 Mishkin j ji, j j i, Mishkin 5 G7 G8 3
9 ARFIMA 6 Mishkin ( ineger coinegraion process ) (99) (99) (993) Engle and Granger (995) Johansen (988, 99) (994) Engle and Granger Johansen I(0) I() (a) I() I(0) (b) (c) ( fracional coinegraion pro- cess ) (CPI) Chung and Baillie (993) ( con- diional sum of squares esimaion ) CSS OLS (00) I(d) Wald LR 6 Ghazali 4
10 ( coefficien of deerminaion ) R Lee Guo Lee Wu (00) < d < Lee Guo Lee Wu ( Mone Carlo mehod ) (a) I() (b) (c) (d) 5
11 ARIMA ARFIMA Lee Guo Lee Wu 6
12 Gibson ( Gibson paradox ) 7 Fisher (930) Fisher i ( ex ane real ineres rae ) earr π e e i = earr + π 8 (..) ( Fisher equaion ) 7 Wicksell (898) Gibson (93) Keynes Gibson 8 e e e e + i = ( + earr )( + π ) i = earr + π + earr π earr π 7
13 ( Fisher effec ) Fisher (a) (b) (c) (WPI) Fisher Fisher Fisher Gibson Fisher Mundell (963) Mundell (a) (b) (c) (d) (e) 8
14 (f) Mundell- Tobin 9 Darby (975) Fisher Darby Darby Feldsein (976) Feldsein Darby 9 Tobin (965) Mundell (963) 9
15 Fisher ( Fisher effec ) Fama (975) Nelson and Schwer (977) Fama and Gibbons (98) Summers (983) Huizinga and Mishkin (984, 986) Mishkin ( 98, 988, 990, 99, 995 ) Kandel, Ofer, and Saring(996) Ghazali (999) ( saionary ) ( nonsaionary ) Nelson and Plosser (98) Rose (988) Granger and Newbold (974) Mishkin (99) Mishkin Engle and Granger (987) ( wo-sep coinegraion es ) (CPI) π = + (..) m m m α m + βmi η π + m m m i m m 0
16 m η ( equilibrium error ) I() π, j i, j Mishkin ( he power of uni roo es ) Mishkin π + (..3) m m m i = αm + βm ii ηi m m m π = π π m m m = i i ii ( differencing parameer ) 0 Ghazali (999) ( fracionally inegraed process ) ( fracional coinegraion ) Geweke and Porer-Hudak (983) GPH ( seminonparameric procedure ) Augmened Dickey-fuller (ADF) PP ARFIMA
17 (99) Fama (975) Cochrane-Orcu (99) Macdonald and Murphy (989) Bonham (99) Engle and Granger (987)
18 (993) Fama (975) (OLS) (GMM) Newey and Wes (987) Mone Carlo Quand (960) (a) (b) (c) (993) Engle and Granger (987) Fisher Baillie (989) VAR Fisher Fisher 3
19 Fisher WPI (993) Mishkin ( ) Irving Fisher (a) 980 (b) (c) (d) (e) 0.05 (f) 4
20 (994) MacDonald and Murphy (989) Bonham (99) Groenewold (989) Engle and Granger Johansen Augmened Dickey-fuller (ADF) (a) (b) MacDonald and Murphy (989) (c) Bonham (99) (d) Groenewold (989) (e) Bonham (99) (f) (995) Wallace & Warner (993) Johansen ADF
21 (997) Sims-Bernanke 6
22 Fisher (930) e e i, j, j + r, j = π (3..) i, j j e π, j j e r, j + j Fisher Nelson and Plosser Rose I() (3..) 7
23 e i j = α + βπ j + ε (3..),, 0 ( raional expecaion ) Muh (96) ( ) π (3..3) e, j = E π, j Ω π E( ) Ω e, j π, j E ( π ) j Ω = π, j + υ, (3..4) υ, j ( unbiased forecas ) (3..3) (3..4) (3..) i, j = α + βπ = α + βπ, j, j + ε + v + βυ, (3..5) v = ε + βυ 0 Mishkin (99: p.97, noe 5 ) error-in-variable Lee Guo Lee Wu (00) ARFIMA OLS error-in-variable (bias) 8
24 (3..5) 9
25 Granger and Newbold (974) ( Mone Carlo expe- rimenaion ) ( spurious regression ) y = x ' β + v (3..) y x β v = y x ' β I(0) ( OLS ) ( OLS ) ( difference ) 3 Granger( 98 ) ( coinegraion ) y = x ' β + v (a) y x ( random walk process ) (b) v = y x ' β I() (OLS) β R Durbin-Wason T β Yule (96) Phillips (986) OLS Granger and Newbold (974) 3 () (lagged values) ()Blough (99) Cochrane-Orcu residuals ( GLS) 0
26 Granger (983) Engle and Granger (987) Engle and Granger (987) ( wo-sep coinegraion es ) x I(d ~ ) α ( α 0) z = α x ~ I( d ~ ~ b ~ ) b > 0 x d ~ b ~ ' x ~ CI( d ~ ~ b ) α ( coinegraion vecor ) Engle and Granger I() I(0) ( equilibrium error ) I() I(0) ARMA I(0) ( geomeric decay ) Granger (986) I(0) I(d) 0 < d < Diebold, Hused, and Rush (99) Cheung and Lai (993) Baillie and Bollerslev (994) Barkoulas, Baum, and Oguz (997) Choudhry (999) Brunei and Gilber (000) ARMA I(0), ( fracionally ine- graed process ) ( fracional coinegraion ) ( fracional inegraed process )
27 ( long memory process ) ARFIMA ( auoregressive fracionally inegraed moving average process ) Granger and Joyeux (980) Hosking (98) ARFIMA ( p, d, q ) y d ( L)( L) y ( L) ε φ =θ, (3..) d ( fracionally differencing parameer ) (L ) φ θ (L) ( auoregressive polynomials ) ( moving average polynomials ) ( lag operaor ) φ(l) θ (L) ( ouside he uni circle) ε ( whie noise ) d ARFIMA ( auocorrelaion coefficien ) ( impulse response weighs ) Hosking (98) x = θ ( L) φ( L) y ( L) d x = ε ~ x d ARIMA( 0, d, 0 ) u = ( L) y φ ( L) u = θ( L) ε ~ u ARMA( p, q ) y ( auocovariance funcion ) γ y k = q p u x x γ jγ k j + γ k + q j= q l= α l { F (, d q k; d q k; λ ) } l + γ p x k q l= α l { F(, k q + d; k q + d; λ ) } l (3..3) γ u γ x u x F ( ) ( hyper- geomeric funcion ) α l λl ARMA u ( eigen- values ) k Hosking
28 lim γ γ y k x k = α λ q p u γ j + j= q l= l l ( λ ) l (3..4) d ρk ck > 0 c (3..5) Campbell and Mankiw (987) ARFIMA ( impulse response weighs ) (3..) y ( L) y = A( L) ε (3..6) d A( L) = ( L) φ( L) θ ( L) ( lag polynomial ) A(L) A( L) = F( d,, ; L) φ( L) θ( L) (3..7) Gradszeyn and Ryzhnik (980, pp ) d < d < ( d,,; L) = 0 F (3..8) ( ) = F ( d,,; ) φ( ) θ ( ) = 0 A (3..9) k A y + k + j = ( mean revering process ) ( A ) = 0 y ~ I(d) d < y ( mean reversion ) (3..5) (3..9) 0 < d < 0. 5 y ( covariance- saionary ) ( weakly saionary) 0.5 < d < y 0.5 < d < 0 y ( inver- ibiliy ) ARMA ( geomeric decay ) (3..5) ARFIMA ( he rae of hyperbolic decay ) j 3
29 CSS, () ( wo-sep procedure ) McLeod and Hipel (978) Janacek (98) Geweke and Porer-Hudak (983) Shea (990) () ( one-sep procedure ) Li and McLeod (986) Fox and Taqqu (986) ARMA d ( L) ( infinie lag polynomial ) Li and McLeod (986) Fox and Taqqu (986) MLE (approximae MLE) Dahlhaus (988) Sowell (99) ( exac maximum likelihood esimaion ) exac MLE exac MLE ( log-likelihood ) T T ' ( η) = ( π ) σ Σ ( Y µ ) Σ L * ln ln ln ( Y µ ) (3.3.) Y y T (T-dimensional vecor ) η η = [ µ, φ d T ', Λ, φ p, θ, Λ, θ q, σ, ] Σ T 4
30 exac MLE Chung (994) Chung and Baillie (993) ( ime domain (condiional sum of squares esimaor) CSS ARFIMA ARFIMA CSS Hosking (984) CSS Box and Jenkins (976) CSS ARMA exac MLE CSS Chung and Baillie (993) CSS CSS CSS CSS L T T T T L( η ) = ln ( π ) ln σ ε (3.3.) σ T σ = T [ ] d y ( η) = ln ( π ) ln σ φ( L) θ ( L) ( L) = (3.3.3) CSS Sowell Dahlhaus (988) exac MLE Chung and Baillie (993) 00 CSS ARFIMA (0,d,0) 5
31 exac MLE 500 CSS ARFIMA( p, d, q ) y y, y,λ 0, ( negligible asympoically ) Chung and Baillie (993) CSS ARFIMA ( bias ) 4 Cheung and Diebold (994) d ( mean-filered) MLE 0 < d < x Smih, Sowell, and Zin (997) d ( he boundary of he parameer space ) MLE d < d ( skewness ) 5 Smih, Sowell, and Zin ( over-differencing ) T x d ( L) x = ( L) ε (3.3.4) CSS 4 MLE Sowell(99) exac MLE MLE 5 d 6
32 Sowell (990) Dickey-Fuller ( uni roo process ) I() I(d) Diebold and Rudebusch (99) Hassler and Woler (994) Augmened Dickey-fuller (ADF) (power) Phillips and Perron (PP) Dickey-Fuller Lee and Schmid (996) Kwiakowski, Phillips, Schmid, and Shin (99) KPSS d < 0.5 KPSS I(d) I(0) T = 000 Lee and Schmid KPSS Lo (99) modified rescaled range (MRR) Dimann (000) ADF PP ρ PP GPH MRR Lobao-Robinson (998) LM LM GPH size Dimann (000) (00) Wald Likelihood raio Dimann (000) 7
33 Li and McLeod (986) ( approximae )MLE ARFIMA T ( ) D ( ηˆ η) N 0, I( η) (3.4.) ηˆ I(η) ( informaion marix ) ( η) L I( η) = E 6 (3.4.) T η η' η k c( η ) = δ δ H 0 : c( η ) = H a :c( η) δ Wald LR ' Wald* = [ ( ηˆ ) δ ]{ VAR[ c( ηˆ ) δ ]} [ c( ηˆ ) δ ] c (3.4.3) LR* = [ L( ηˆ R ) L( ηˆ )] (3.4.4) ) VAR( L( ) ( likelihood funcion ) k CSS ARFIMA Smih, Sowell, and Zin (997) y y y,λ 6 Li and McLeod (986) CSS, 0, (00) 8
34 0 ( 0) H : u I Ha u * : ( I d ) * d = d < 0 * H : d 0 : d * < 0 0 = H a ( lef-ail ) Wald* LR* w η d d = ( d ˆ, wˆ ) ( d ŵ ) 0, 0 T ( d d ) N[0, σ ( d, w)] d = d 0 d 0 ˆ T ( dˆ d0 ) Wald = σ ( dˆ, wˆ ) (3.4.5) LR = sign( dˆ d ){ [ ( ˆ) ( ˆ )]} / 0 L dˆ, w L d0, w0 (3.4.6) (3.4.6) LR* ( signed roo ) sign d d ) ˆ ( 0 Wald 7 7 Rohenberg (984) 9
35 Cheung and Lai (993) OLS ( consisen ) Tsay (000) N d OLS Lee Guo Lee Wu (00) y x I() v I(d) 0 < d < ( L ) x = u (3.5.) ( L) d v = υ (3.5.) u υ ARMA ( saionary Gaussian ARMA process ) φ ) ( L) u = θ( L ε φ ( L) υ θ ( L) ω = x ARIMA (p,, q) v ARFIMA (p, d, q) φ (z) θ (z) i =, ε ω E( ε ) = 0 E ( ε ) = σε E ( ω ) = 0 E ( ω ) = σω ρ ( ε, ω) = σεω σεσ ω i i 30
36 3 Case. v x y + + = β α α β a b ( ) = = = = N N N x x x v x v x a α (3.5.3) ( ) = = = N N x x Nxv x v b β (3.5.4) = = N x N x ) ( = = N v N v ) ( Case. v x y + = β β b = = = N N x x v b β (3.5.5) 0 < d < 0.5 N (3.5.3) (3.5.4) (3.5.5) ( ) ( ) ( ) B B BdB B K B B K a N H H H H L d λ α (3.5.6) ( ) ( ) ( )( ) ( ) B B B B K BdB K b N H H H H L d λ λ β (3.5.7)
37 N ( b ) L λ K H BdB H β (3.5.8) λ B d H = d = π H Γ( H ) sin ( π ) λ = θ ( ) σ ( ) λ + K H H ε φ = θ ( ) ( ) σ ω B H ( Fracional Brownian moion wih H ) φ B = B 0.5 < d < N (3.5.3) (3.5.4) (3.5.5) N d ( a ) N ( )( ) ( )( ) B BH K H B B H B B ( B) L K H α λ (3.5.9) ( b ) ( )( ) H B B H ( B) L λ K H B H B K β (3.5.0) λ B d N ( b ) L λ K H B H B β (3.5.) λ B d H = d K H = π H ( ) ( ) Γ H sin π B H ( Fracional Brownian moion wih H ) H (3.5.6) (3.5.7) (3.5.8) 0 < d < 0.5 ( weak convergence) 0.5 < d < (3.5.0) (35.) (3.5.9) ( coefficien of deerminaion ) R 3
38 < d < Lee Guo Lee Wu (3.5.6) (3.5.7) (3.5.8) (3.5.) ) φ ( ψ () î ˆi σˆ ε σˆ ω λ λ λ λ ˆ ˆ ˆ ˆ λ ˆ λ ˆ ARIMA(p,, q) û Box-Jenkins ARMA φ ˆ() θ ˆ( ) εˆ CSS ARFIMA(p, d, q) φ () θ () ωˆ ωˆ φ ˆ( ) θ ˆ( ) φˆ () ˆ () ˆ εˆ ˆ σˆ ε ω ˆ σˆ ρˆ εω θ λ λ λ λ ˆ ˆ ˆ ρˆ εω 8 (3.3.6) λ = 33
39 Mishkin (99) AREMOS (FSM) (PRICE) (CPI) AREMOS
40 I() * CSS d Ljung-Box Q-saisics Wald LR * H : d 0 : d * < 0 0 = H a M ( p dˆ * ˆ,, qˆ ) S.E. Wald LR Q(0) Q(5) BIC RMCP-I (0, 0.4, ) (0, 0.46, ) RMCP-S (0, 0., 3) (0, -0., ) PIE (0, 0.4, 3) (0, 0.5, 6) RMCP-I = ; RMCP-S = PIE = M = ( ); ( p dˆ * ˆ,, qˆ ) = ARFIMA ˆ* d = dˆ S.E. = d ˆ* Wald = Wald LR = LR Q(s) = Q-saisics s p q - d * BIC = Bayesian informaion crierion 5% 35
41 Bayesian informaion crierion BIC 9 Wald LR I() I(d) 5% Q-saisics BIC (fiing) Wald LR * d d = I() OLS I() I(d) Lee Guo Lee Wu 0.5 < d < ( sample mean ) 0 9 ˆ* d Ljung-Box Q-saisics ARMA BIC Q es Hannan (980) ARMA BIC ARFIMA dˆ* 0 I() 36
42 Q-saisics BIC * d d = I() Wald LR v i, j βπ, j = + ( L) d * v = υ φ ( L) υ = θ ( L) ω * H : d 0 : d * < 0 0 = H a M ( p dˆ * ˆ,, qˆ ) S.E. Wald LR Q(0) Q(5) BIC RMCP-I (0, -0.6, 0) (3, 0.06, 0) RMCP-S (0, -0.3, 0) v = i π i π υ = ARMA ω = RMCP-I = ; RMCP-S = M = ( ); ( p dˆ * ˆ,, qˆ ) = ARFIMA ˆ* d = dˆ S.E. = d ˆ* Wald = Wald LR = LR Q(s) = Q-saisics s - p - q - d * BIC = Bayesian informaion crierion 5% 37
43 I() ARIMA(p,, q) Box-Jenkins ARIMA(0,,8) ψˆ ψˆ ψˆ3 4 ψˆ ψˆ 5 ψ ˆ 6 ψˆ 7 ψ ˆ ARFIMA(0, 0.83, 0) ARFIMA(0, 0.86, 0) εˆ ωˆ σˆ ε σˆ ω I σˆ ω S ρˆ I ρˆ S i + v, j = βπ, j H : β H : β < 0 = a i, j ARIMA ( pˆ,, qˆ) ARFIMA ( pˆ, dˆ, qˆ) dˆ ρˆ βˆ N ( βˆ - ) ( π, j ) ( ) v λˆ λˆ CV 30- I (0,, 8) (0, 0.83, 0) S (0,, 8) (0, 0.86, 0) i π i π v = 30- I = ; 30-S = dˆ = + ˆ* d ρˆ = σˆ εω σˆ ε σˆ ω N = 50 λˆ θˆ σˆ ˆ λˆ = θˆ σˆ ˆ CV = 5% = ( ) ( ) ( ) ( ) ε φ ω φ Lee, Guo, Lee, and Wu (00, p. ) OLS 38
44 β = 39
45 ARIMA ARFIMA (a) I() (b) (c) (d) Fisher (930) 40
46 I(d ) ARFIMA- FIGARCH 4
47 (993) Fisher (99) Fisher (993) (993) (994) (997) (00) CSS OLS Wald LM LR (995) (99) Baillie, R.T., (989), Economeric Tes of Raionaliy and Marke Efficie- ncy, Economeric Review 8, pp
48 Baillie, R.T. and Bollerslev, T., (994), Coinegraion, Fracional Coinegraion, and Exchange Rae Dynamics, Journal of Finance 49, pp Barkoulas, J.T., Baum, C.F., and Oguz, G.S., (997), Fracional Dynamics in a Sysem of Long Term Inernaional Ineres Raes, Working Paper. Barsky, R.B., (987), The Fisher Hypohesis and he Forecasabiliy and Persisence of Inflaion, Journal of Moneary Economics 9, pp Blough, S.R., (99), Spurious Regressions, wih AR() Correcion and Uni Roo Prees, Johns Hopkins Univ. Bonham, C.S., (99), Correc Coinegraion Tes of he Long-Run Relaionship Beween Nominal Ineres Rae and Inflaion, Applied Economerica 55, pp Box, G.E.P. and Jenkins G.M., (976), Time Series Analysis : Forecasing and Conrol, San Francisco : Holden-Day. Brunei, C. and Gilber, C.L.,(000), Bivariae FIGARCH and Fracional Coinegraion, Journal of Empirical Finance 7, pp Campbell, J.Y. and Mankiw, N.G., (987), Are Oupu Flucuaions Transiory?, Quarerly Journal of Economics 0, pp Cheung, Y. and Diebold, F.X., (994), On Maximum Likelihood Esimaion of he Differencing Parameer of Fracionally Inegraed Noise wih Unknown Mean, Journal of Economerics 6, pp
49 Cheung, Y. and Lai, K., (993), A Fracional Coinegraion Analysis of Purchasing Power Pariy, Journal of Business and Economic Saisics, pp. 03. Choudhry, T.,(999), Re-examining Forward Marke Efficiency Evidence From Fracional and Harris-Inder Coinegraion Tes,Inernaional Review of Economics and Finance 8, pp Chung, C.F., (994), A Noe on Calculaing he Auocovariance of Fracionally Inegraed ARMA Models, Economics Leers 45, pp Chung, C.F. and Baillie, R.T., (993), Small Sample Bias in Condiional Sum-of-Square Esimaors of Fracionally Inegraed ARMA Models, Empirical Economics 8. pp Dahlhaus, R., (988), Small Sample Effecs in Time Series Analysis : A New Asympoic Theory and a New Esimae, Annals of Saisics 6, pp Darby, M.R., (975), The Financial and Tax Effecs of Moneary Policy on Ineres Raes, Economic Enquiry 3, pp Dickey, D.A. and Fuller, W.A., (979), Disribuion of he Esimaors for Auoregressive Time Series wih a Uni Roo,Journal of American Saisical Associaion 74, pp Diebold, F.X., Hused, S., and Rush, M., (99), Real Exchange Raes under he Gold Sandard, Journal of Poliical Economy 99, pp
50 Diebold, F.X. and Rudebusch, G., (99), On he Power of Dickey-Fuller Tess Agains Fracional Alernaives, Economics Leers 35, pp Dimann, I., (000), Residual-Based Tess for Fracional Coinegraion: a Mone Carlo Sudy, Journal of Time Series Analysis,pp Engle, R.F. and Granger, C.W.,(987), Coinegraion and Error Correcion: Represenaion, Esimaion, and Tesing, Economerica 55,pp Fama, E.F., (975), Shor Term Ineres Raes as Predicors of Inflaion, American Economic Review 65, pp Fama, E.F. and Gibbons, M.R., (98), Inflaion, Real Reurns, and Capial Invesmen, Journal of Moneary Economics 9, pp Feldsein, M., (976), Inflaion, Income, and he Rae of Inflaion, American Economic Review 66, pp Fisher, I., (930), The Theory of Ineres, New York, Macmillan. Fox, R. and Taqqu, M.S., (986), Large Sample Properies of Parameer E- simaes for Srongly Dependen Saionary Gaussian Time Series, Annals of Saisics 4, pp Geweke, J. and S. Porer-Hudak, (983), The Esimaion and Applicaion of Long Memory Time Series Models, Journal of Time Series Analysis 4, pp Ghazali, N.A., (999), Is he Fisher Effec for Real: Tesing he Robusness of he Long Run Fisher Effec in he G7Counries, a he h 45
51 annual Ausralian Finance and Banking Conference. Gradszeyn, I.S. and Ryzhnik, I.M.,(980), Tables of Inegrals, Series and Producs, San Diego, Calif. : Academic Press, 980. Granger, C.W.J., ( 98 ), Some Properies of Time Series Daa and Their Use in Economeric Model Specificaion,Journal of Economerics 6, pp Granger, C.W.J., (986), Developmens in he Sudy of Coinegraed Economic Variables, Oxford Bullein of Economics and Saisics 48, pp Granger, C.W.J. and Joyeux, R., (980),An Inroducion o Long-Memory Time Series Models and Fracional Differencing, Journal of Time Series Analysis, pp Granger, C.W.J. and Newbold, P., (974), Spurious Regression in Economerics, Journal of Economerics, pp. -0. Groenewold, N, (989), The Adjusmen of he Real Ineres Rae o Inflaion, Applied Economics, pp Hannan, E.J., (980), The Esimaion of he Order of an ARMA Process, Annals of Saisics 8, pp Hassler, U. and Woler, J., (994), On he Power of Uni Roo Tess Agains Fracional Alernaives, Economics Leers 45, pp. -5. Hosking, J.R.M., (98), Fracional Differencing, Biomerika 68, pp
52 Hosking, J.R.M.,(984),Modeling Persisence in Hydrological Time Series Using Fracionally Differencing, Waer Resources Research 0, pp Huizinga, J. and Mishkin, F.S., (984), Inflaion and Real Ineres Raes on Asses wih Differen Risk Characerisics, Journal of Finance 39, pp Huizinga, J. and Mishkin, F.S., (986), Moneary Policy Regime Shifs and he Unusual Behavior of Real Ineres Raes, Carnegie- Rocheser Conference Series on public Policy 4, pp Janacek, C.J., (98), Deermining he Degree of Differencing for Time Series Via he Long Specrum, Journal of Time Series Analysis 3, pp Johansen, S.,(988),Saisical Analysis of Coinegraion Vecors, Journal of Economics Dynamics and Conrol, pp Johansen, S., (99), Esimaion and Hypohesis Tesing of Coinegraion Vecors in Gaussian Vecor Auoregressive Models, Economerica 59, pp Kandel S., Ofer A.R., and Saring O., (996), Real Ineres Raes and Inflaion: An Ex-Ane Empirical Analysis, Journal of Finance LI, pp Keynes, J.M., (936), The General Theory of Employmen, Ineres and Money, London : Macmillan, 936 (95 prining). 47
53 Kwiakowski, D., Phillips, P.C.B., Schmid, P., and Shin, Y., (99), Tesing he Null Hypohesis of Saionariy agains he Alernaive of a Uni Roo: How Sure Are We ha Economic Time Series Have a Uni Roo?, Journal of Economerics 54, pp Lee, C., Guo, M., Lee, S., and Wu, J., (00), Asympoic Disribuions of he Ordinary Leas Squares Esimaors of Fracional Coinegraing Vecor, Working Paper (Ins. of Economics, Naional Sun Ya-sen Univ., Kaohsiung, Taiwan ). Lee, D. and Schmid, P., (996), On he Power of he KPSS Tes of Saionariy Agains Fracionally Inegraed Alernaives, Journal of Economerics 73, pp Li, W.K. and McLeod, A.I., (986), Fracional Time Series Modeling, Biomerika 73, 7-. Lo, A.W., (99), Long-Term Memory in Sock Marke Prices, Economerica 59, pp Lobao, I.N. and Robinson, P.M., (998), A Nonparameric Tes for I(0), Review of Economic Sudies 65, pp Macdonald, R. and Murphy, P.D., (989), Tesing for he Long Run Relaionship Beween Nominal Ineres Raes and Inflaion Using Coinegraion Techniques, Applied Economics, pp McLeod, A.I. and Hipel, K.W., (978), Preservaion of he Rescaled Adjused Range : a Reassessmen of he Hurs Phenomenon, Waer Resources Research 4, pp
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56 Economics 6, pp Smih, A.A.J., Sowell, F., and Zin, S.E.,(997),Fracional Inegraion wih Drif: Esimaion in Small Samples, Empirical Economics, pp Sowell, F., (990), The Fracional Uni Roo Disribuion, Economerica 58, pp Sowell, F.,(99), Maximum Likelihood Esimaion of Saionary Univariae Fracionally Inegraed Time Series Models, Journal of Economerics 53, pp Summers, L.H., (983), The Non-Adjusmen of Nominal Ineres Raes: A Sudy of he Fisher Effec, in James Tobin, ed. A Symposium in Honor of Arhur Okun ( Brookings Insiuion Washingon D.C. ) Tobin, J., (965), Money and Economic Growh, Economerica 33, pp Tsay, W.J., (000), Esimaing Trending Variables in he Presence of Fracionally Inegraed Errors, Economeric Theory 6, pp Wallace, M.S. and Warner, J.T., (993), The Fisher Effec and he Term Srucure of Ineres Raes: Tess of Coinegraion, The Review of Economics and Saisics 75, pp Wicksell, K., (898), Ineres and Prices, English version ranslaed and edied by R. F. Kahn, reprined New York: A. Kelley, 965. Yule, G.U., (96), Why Do We Someimes Ge Nonsense Correlaions Beween Time Series? A Sudy in Sampling and he Naure of 5
57 Time Series, Journal of he Royal Saisical Sociey 89, pp
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(91 5 ) (nonstationary) (nonlinear) Huang et al. (1998) (empirial mode deomposition EMD) (intrinsi mode funtion IMF) (Nasdaq index) (Dow Jones industrial average index) 1 1.1...1 1.2...3 5 2.1...5 2.2...9..10
CHIPS Oaxaca - Blinder % Sicular et al CASS Becker & Chiswick ~ 2000 Becker & Chiswick 196
2015 3 179 2015 5 Comparative Economic & Social Systems No. 3 2015 May 2015 2001 ~ 2011 F812 A 1003-3947 2015 03-0020-14 Wu & Perloff 2004 Benjamin et al. 2004 Sicular et al. 2007 1998 2003 40% 1985 2.
Alexander & Wyeth Dercon 1995 ECM - Johansen Goodwin 1992 VEC Asche 1999 Gonzalez 2001 ECM Goodwin
2012 3 * 0. 20 0. 36 0. 05 2006 2010 1. 46 / 2. 14 / 2. 93 / 4. 41 / 1. 27 / 2. 12 / 47% 50% 67% 2006 1 3. 48 / 2010 11 5. 84 / 68% 1 2010 CPI 70% 2006 2006 1 106. 06 2008 6 188. 02 77. 3% 2010 11 173.
不同短期利率模型的实证比较
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