頁籤選單縮合
| 題 名 | Testing Regime Non-stationarity of the G-7 Inflation Rates: Evidence from the Markov Switching Unit Root Test |
|---|---|
| 作 者 | Chen, Shyh-wei; Shen, Chung-hua; | 書刊名 | 中國統計學報 |
| 卷 期 | 47:1 2009.03[民98.03] |
| 頁 次 | 頁1-18 |
| 分類號 | 319.5 |
| 關鍵詞 | Unit root; Markov switching model; Inflation; Non-linearity; |
| 語 文 | 英文(English) |
| 英文摘要 | Using G-7 data, this study employs a Markov Switching unit root regression to investigate the issue of the non-stationarity and non-linearity of inflation rates. The results convincingly support the view that the inflation rates in the G-7 nations are characterized by a two-regime Markov Switching unit root process. For Italy the infla- tion rates are characterized by a unit root process, consistent with the accelerationist hypothesis that the inflation rates are either in the high-volatility regime or in the low-volatility regime. For Canada, France, Germany, Japan, the UK and the USA, the shocks to the inflation rates are highly persistent in one regime, but have finite lives in the other regime. The high-volatility regime arises in most of the nations considered and it tends to prevail over a relatively long period. |
本系統中英文摘要資訊取自各篇刊載內容。