通膨率定態性與否會影響政府政策實施的有效性 , 但是通膨率定態性的實證研究成 果 , 至今仍有著不同的結論 。 本文對於 OECD 20個國家通膨率進行分析 , 透由 Lee et
al. (2015) 所發展的同時考慮橫斷面資料相依與以傅立葉函數捕捉未知型態的平滑性結構性變化的 BCIPS 追蹤資料單根檢定模型 , 與過去傳統單變量單根檢定 (ADF 、 PP 、 KPSS) 、 第一代追蹤資料單根檢定 (LLC 、 IPS) 、 只考慮橫斷面相依的第二代追蹤資料 單根檢定 (CIPS) 進行比較 。
實證結果發現 , BCIPS 拒絕了通膨率為單根 , 與 ADF 、 PP 、 KPSS 、 LLC 、 IPS 、 CIPS 大多接受通膨率為單根比較 , 有著相反的結果 。 因此 , 在研究通膨率時 , 若模型將 平滑性結構性變化納入考量 , BCIPS拒絕了 OECD 20國家通膨率皆為單根 , 也就是說 外在的衝擊對某些國家通膨率的影響為短暫的 。

Whether a stationary or unit root process in inflation rate would affect monetary
policy effectiveness. However, the empirical evidence in related literature does not
provide a consensus agreement about the stationarity of inflation rate. By applying
the BCIPS panel unit root test proposed by Lee et al. (2015), this paper examines
the unit-root hypothesis in inflation for 20 OECD countries, taking into account
cross-section dependence and smoothing structural changes of unknown form cap
tured by the Fourier function. And, it compares with the results from traditional
univariate unit root tests (ADF, PP, KPSS), the first generation panel unit tests
(LLC, IPS) ,and second generation panel unit root tests (CIPS) with cross-section
dependence in the model.
The empirical results indicate that BCIPS test rejects the unit-root hypothe
sis in inflation rate. The result of BCIPS method is contradictory to that of ADF,
PP, KPSS, LLC, IPS, and CIPS. So, when examining inflation rate, taking into
account smoothing breaks in the data, BCIPS rejects the null hypothesis of all the
20 countries which have a unit root. That is, unanticipated shocks in some of the
countries are temporary.

論文審定書 i
論文公開授權書 iii
摘要 iv
Abstract v
目錄 vi
圖次 viii
表次 ix
1 緒論 1
1.1 研究動機及目的 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究架構 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2 文獻回顧 4
2.1 單根檢定之回顧 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.1.1 Dickey-Fuller (DF) 檢定 . . . . . . . . . . . . . . . . . . . . . 4
2.1.2 Augmented Dickey-Fuller (ADF) 檢定 . . . . . . . . . . . . . . 6
2.1.3 Phillips and Perron (PP) 檢定 . . . . . . . . . . . . . . . . . . 7
2.1.4 KPSS 檢定 (Kwiatkowski et al., 1992) . . . . . . . . . . . . . . 8
2.1.5 第一代追蹤資料單根檢定(Levin et al., 2002; LLC) . . . . . . . . 8
2.1.6 第一代追蹤資料單根檢定(Im et al., 2003; IPS) . . . . . . . . . . 9
2.1.7 第二代追蹤資料單根檢定 (Pesaran et al., 2013; CIPS) . . . . . 10
2.2 關於通膨率實證上之文獻回顧 . . . . . . . . . . . . . . . . . . . . . . . 12
3 研究方法 15
3.1 模型介紹 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
3.2 多因子單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.3 以BCADF 為基礎的追蹤資料單根檢定 . . . . . . . . . . . . . . . . . . 17
3.4 具序列相關的殘差項 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3.5 選擇傅立葉頻率 κ 及 落後期數 p 之方法 . . . . . . . . . . . . . . . . . 19
4 實證結果分析 20
4.1 資料來源說明 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
4.2 傳統單變量單根檢定結果 . . . . . . . . . . . . . . . . . . . . . . . . . 22
4.3 追蹤資料單根檢定結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
5 結論 26
參考文獻 28
附錄 34

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