利率期間結構與未來通貨膨脹之關係－縱橫門檻效果檢定

The Relationship between Term Structure of Interest Rates and Future inflation rate-Examining Panel Threshold Effect

10.6735/JAFD.201006_3(2).0001

聶建中(Chien-Chung Nieh)；黃昱程(Yu-Cheng Huang)

利率期間結構 ； 通貨膨脹 ； 門檻效應 ； term structure of interest rates ； inflation ； threshold effect

會計與財金研究

3卷2期（2010 / 06 / 01）

1 - 15

繁體中文

本研究旨在探討利率期間結構與未來通貨膨脹的關係，並檢測二者間是否存在非線性的不對稱關係。本研究以G7為研究對象，採用Hansen(1999)縱橫資料的門檻模型。樣本係由季資料組成，從1970年第1季到2006年第1季，總共141組觀察值。實證結果顯示，長短期利差與未來通貨膨脹變動率間存在不對稱的非線性關係，單一門檻效果為顯著，即當長短期利差低於門檻值1.38%時，利差與未來通貨膨脹變動率呈顯著正相關。這意味著，此種情況下利差的擴大將伴隨著未來通貨膨脹率的提高，央行可將此種關係納入貨幣政策考量；惟當長短期利差高於該門檻值時，利差與未來通貨膨脹變動率間的關係變得不顯著。

This research adopts Hansen's threshold model (1999) to discuss on the relationship between term structure of interest rates and inflation and to examine whether there is a non-linear and asymmetry relationship on both variables. The objects of study are G7. Samples are composed by quarterly data, beginning from the first quarter of 1970 to the first quarter of 2006, with 141 numerical sets for observation purposes. The result shows a non-linear and asymmetry relationship between term structure of interest rates and inflation rate for the next one year. The single-threshold effect reachs significance level, i.e. When the spread between long-term and short-term interest rates is lower than the threshold value (1.38%), the spread and future inflation rate demonstrates significantly positive correlation. This means the expanding of the spread will accompany the raising of future inflation rate. Central Banks should consider this correlation on their monetary policy. However, when the spread is higher than this threshold value, the correlation between the spread and future inflation rate isn't significant.

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