홍콩 실질이자율의 시계열적 특성에 대한 연구

• 영문명: Time Series Properties of the Real Interest Rates of Hong Kong
• 발행기관: 한국무역연구원
• 저자명: 위효민(Xiao min Wei) 배진호(Jin ho Bae)
• 간행물 정보: 『무역연구』제11권 제1호, 365~375쪽, 전체 11쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2015.02.28

영문 초록

This paper investigates the time series properties of real interest rates of Hong Kong in two aspects. First, it is examined whether structural changes have occurred in the dynamics of real interest rates, and if so, how many times and when these have occurred. Second, it is determined whether real interest rates are stationary within regimes delineated by structural breaks. Data used are real base rates and real best lending rates over the period from June 1992 to May 2014. The Bai and Perron (1998, 2003) test for multiple structural changes identify two breaks in both real base and best lending rates with the break dates being August 1998 and August 2008, indicating that structural changes are closely linked to external economic crises. Augmented Dickey-Fuller unit root test for three regimes (June 1992-September 1998, October 1998-September 2008, October 2008-May 2014) delineated by two break dates finds evidence of unit root for the first two regimes but not for the last one. This result is partially in line with Perron's (1990) finding that real interest rates, after being controlled for structural changes, are stationary.

목차

Abstract

Ⅰ. 서론

Ⅱ. Bai and Perron (1998, 2003)의 복수 구조변화검정

Ⅲ. 실증 분석 결과

Ⅳ. 결론

References

키워드

Hong Kong Real Interest Rate Structural Break Unit Root