Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries
碩士 === 國立中山大學 === 經濟學研究所 === 96 === This paper reexamines the long-run real interest rate parity of the OECD countries by using the unit root test proposed by Ng and Perron (2001) and by the application of simulation to establish the small sample distribution under the null and the alternative hypot...
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ndltd-TW-096NSYS53890252018-05-17T04:28:45Z http://ndltd.ncl.edu.tw/handle/ndkmgx Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries 再探長期實質利率平價假說-OECD國家之檢定力分析與門檻自我迴歸單根檢定 Shu-Ming Liu 劉書銘 碩士 國立中山大學 經濟學研究所 96 This paper reexamines the long-run real interest rate parity of the OECD countries by using the unit root test proposed by Ng and Perron (2001) and by the application of simulation to establish the small sample distribution under the null and the alternative hypothesis. By using the small sample distribution of the unit root statistics, we can make sure that first, size distortions are not the reasons contributing to the rejection of the fact that the alternative hypothesis is unit root. Second, the inference that the low power is not necessary causes the not rejecting the alternative hypothesis is correct. If still can not decide which distributions might cause the real interest difference series by comparing the unit root statistics and the relative location of the small sample distribution, we test that whether the series are asymmetric in those countries which we can not decide what kind of distributions they are by the threshold autoregression model proposed by Caner and Hansen (2001). Finally, the empirical results indicate that the RIPH holds in Australia、Belgium、Canada、Finland、France、Germany、Japan and Sweden whenever data frequency under linear time series model. Under quarterly data of Italy and United Kingdom and monthly data of Denmark, it turns out that the data have the traits of nonlinear time series model. Besides, the evidence of supporting the long-run real interest rate parity can not be reached and the phenomena that partial unit root exist in United Kingdom and Denmark. Cheng-Feng Lee 李政峰 2008 學位論文 ; thesis 81 zh-TW |
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碩士 === 國立中山大學 === 經濟學研究所 === 96 === This paper reexamines the long-run real interest rate parity of the OECD countries by using the unit root test proposed by Ng and Perron (2001) and by the application of simulation to establish the small sample distribution under the null and the alternative hypothesis. By using the small sample distribution of the unit root statistics, we can make sure that first, size distortions are not the reasons contributing to the rejection of the fact that the alternative hypothesis is unit root. Second, the inference that the low power is not necessary causes the not rejecting the alternative hypothesis is correct.
If still can not decide which distributions might cause the real interest difference series by comparing the unit root statistics and the relative location of the small sample distribution, we test that whether the series are asymmetric in those countries which we can not decide what kind of distributions they are by the threshold autoregression model proposed by Caner and Hansen (2001).
Finally, the empirical results indicate that the RIPH holds in Australia、Belgium、Canada、Finland、France、Germany、Japan and Sweden whenever data frequency under linear time series model. Under quarterly data of Italy and United Kingdom and monthly data of Denmark, it turns out that the data have the traits of nonlinear time series model. Besides, the evidence of supporting the long-run real interest rate parity can not be reached and the phenomena that partial unit root exist in United Kingdom and Denmark.
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author2 |
Cheng-Feng Lee |
author_facet |
Cheng-Feng Lee Shu-Ming Liu 劉書銘 |
author |
Shu-Ming Liu 劉書銘 |
spellingShingle |
Shu-Ming Liu 劉書銘 Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries |
author_sort |
Shu-Ming Liu |
title |
Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries |
title_short |
Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries |
title_full |
Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries |
title_fullStr |
Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries |
title_full_unstemmed |
Reexamining the Long-Run Real Interest Rate Parity Hypothesis-Power Evidence and TAR Unit Root Test for the OECD Countries |
title_sort |
reexamining the long-run real interest rate parity hypothesis-power evidence and tar unit root test for the oecd countries |
publishDate |
2008 |
url |
http://ndltd.ncl.edu.tw/handle/ndkmgx |
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