通貨膨脹持續性──分量自我迴歸模型之應用

INFLATION PERSISTENCE: THE APPLICATION OF QUANTILE AUTOREGRESSION MODEL

本文使用Koenker and Xiao（2006）的分量自我迴歸模型（quantile autoregression model）以及Koenker and Xiao（2004）所提出的分量單根檢定，嘗試分析20個OECD國家1958-2010年的通貨膨脹持續性。實證結果發現OECD國家的通貨膨脹率較低時，通貨膨脹率為定態，且通貨膨脹不具高度持續性；而通貨膨脹率較高時，通貨膨脹率轉為非定態，通貨膨脹具有高度持續性。即通貨膨脹持續性依通貨膨脹率的高低呈現不對稱狀況，且通貨膨脹率同時具有定態與非定態性質。

This paper investigates inflation persistence by using the quantile autoregression model of Koenker and Xiao (2006) and the quantile unit root test of Koenker and Xiao (2004). The data of 20 OECD countries from 1958–2010 were employed. Our empirical result shows that inflation persistence varies with inflation for all OECD countries. Inflation is stationary and not highly persistent for low inflation, and is nonstationary and highly persistent for high inflation. This shows that inflation persistence is asymmetric across quantiles of the inflation.