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題名 | 探討臺灣短期利率之結構性轉變--平滑轉換迴歸模式之應用=Structural Change in Taiwan's Short-Term Interest Rate--An Application of the Smooth Transition Autoregressive Model |
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作者姓名(中文) | 吳博欽; 汪倩人; | 書刊名 | 德明學報 |
卷期 | 23 2004.06[民93.06] |
頁次 | 頁57-67 |
分類號 | 562.12 |
關鍵詞 | 非線性模式; 平滑轉換自我迴歸模式; 結構性轉變; Non-linear model; Smooth transition autoregressive model; Structural change; |
語文 | 中文(Chinese) |
中文摘要 | 利率變動攸關一國的景氣和經濟活動,無論是政府部門、企業主或個人在進行決策時,若能正確地預測未來利率趨勢,則可進行事前的利率風險管理。文獻上較偏好以線性的形式配適預測模型,然而長期的時間序列資料可能潛藏著結構性轉變的現象而不被線性模型所掌握。故本文嘗試以非線性的平滑轉換迴歸模式處理利率預測模型,並進一步以Chow Test檢視利率是否存在結構性轉變之問題及其形成原因。實證上以貨幣市場30天期商業本票利率進行研究,研究期間為1983年1月至2003年10月,共計241筆月資料。實證結果發現,臺灣貨幣市場之短期利率在1989至1995年期間確實存在結構性轉變之現象,且其適合的配適模型為指數平滑轉換自我迴歸模型(ESTAR Model)。在結構轉變出現期間,適逢政府採行一些政策,例如1989年為防止股票市場過度投機,政府採取緊縮貨幣政策以大幅調升利率由5%急速上升至超越11%;自1990年至1995年期間,政府推行金融自由化政策,取消存、放款利率上下限之限制,增加其浮動性。 |
英文摘要 | Interest rate change plays an important role in affecting a country's cyclic and economic activities.Hence, before making his financial decision, economic agent has to forecast the trend of the interest rate based on the appropriate fitted model and also proceed the risk management of interest rate. In the literatures, researchers prefer to adopt the linear model to forecast the time-series data, but the model cannot capture the property of structural changes usually appeared in time series data. This paper uses the non-linear model--the Smooth Transition Autoregressive Model (STAR Model) to examine Taiwan's 30-day commercial paper rate, and find out if there is a structural change during the period from 1983 01 to 2003.10. The empirical results are as follows. First, a significant structural change indeed existed from 1989 to 1995 in Taiwan's short-term rate. Secondly, the appropriate non-linear model for forecasting Taiwan's short-term rate is the Exponential Smooth Transition Autoregressive Model (ESTAR Model). There were at least two important official policies supporting the phenomena of structural change in short-term interest rate. For example, in 1989, to reduce the speculation of Taiwan's stock market, the government adopted tightening monetary policy through which the yearly rate increasing from 5% to 11% hastily. And from 1990 to 1995, the government advocated the policy of Financial Deregulation to abolish the control of the interest rate. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。