新興國家短期名目利率之均數復歸

MEAN REVERSION OF SHORT TERM NOMINAL INTEREST RATES IN EMERGING COUNTRIES

本文探討新興國家之短期名目利率是否存在著均數復歸的性質，並以OECD國家作為對照。單變量單根檢定發現與過去的文獻結果一致，無法拒絕利率存在單根的虛無假設。Im et al.(2003)假設橫斷面獨立的panel單根檢定，則發現新興國家、OECD國家與全樣本拒絕所有序列皆具單根的虛無假設。由於假設橫斷面獨立的panel單根檢定，可能造成檢定over-size問題，且本文的橫斷面相依檢定顯示樣本具有顯著的橫斷面相依，所以本文進一步利用考慮橫斷面相依的兩個panel單跟檢定法進行分析：Chang(2002)的工具變數生成函數法及Pesaran(2007)的共同因子法。新興國家panel單跟檢定的結果幾乎都拒絕所有序列皆具單根的虛無假設；亦即實證支持部分國家的利率具均數復歸的性質，另有部分國家的利率為非恆定。本文實證結果的意涵，就利率模型的設定而言，當利率具有均數復歸的性質，隱含向量誤差校正(VEC)模型及一階差分之VAR模型均不恰當，反而利用傳統的方式（如水準值VAR）來推導會較適當(Wu and Chen, 2001)。以政策意涵的觀點來看，當利率具有均數復歸特性，即隱含為拋補利率平價說(UIP)成立，國內利率將因高度的國際金融整合，而受到國際資本流動的影響，因此貨幣當局對利率的控制將受到限制。

This paper investigates the stochastic properties of short-term nominal interest rates for several emerging countries, and the OECD is a benchmark for comparisons. For that purpose, we employ univariate unit root tests as well as panel unit root tests. Empirical results indicate that univariate unit root tests fail to reject the unit root null at conventional levels; however, the panel test proposed by Im et al. (2003) rejects the unit root null. Because unaccounted cross-sectional dependency may cause a serious over-size problem, we first carry out a formal test for the presence of cross-dependency, and, to account for cross-sectional dependency, we employ the two panel unit root tests which explicitly allow for cross-sectional dependency: the instrument generating function method developed by Chang (2002) and common factor method proposed by Pesaran (2007). For emerging countries, we find overwhelming evidence that rejects the unit root null, favoring the notion that some countries are mean reverting. Evidence of mean reversion indicates that, instead of VECM-based models, VAR in levels is more appropriate for interest rates modeling (Wu and Chen, 2001). In terms of policy implications, the stationarity of interest rates is consistent with uncovered interest parity (UIP), which implies that a central bank’s ability to determine national interest rates will be restricted by the international flows of capital.