利差對經濟成長及其波動性之影響—美國的實證研究 The Effect of Interest Rate Spread on Economic Activity and Its Volatility: Evidence from the United States

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題名:	利差對經濟成長及其波動性之影響—美國的實證研究 The Effect of Interest Rate Spread on Economic Activity and Its Volatility: Evidence from the United States
作者:	王永昌;Yung-ChangWang
貢獻者:	中國文化大學財務金融學系;Professor of Banking and Finance, Chinese Culture University
關鍵詞:	利差;經濟成長;波動性GARCH(1,1);Interest Rate Spread;Economic Growth;Volatility;GARCH(1,1)
日期:	2013
上傳時間:	2013-08-07 01:33:20 (UTC+0)
出版者:	中國文化大學財務金融學系;Professor of Banking and Finance, Chinese Culture University
摘要:	本文利用美國1961 年第一季至2011 年第三季實質GDP、消費者物價指數、貨幣供給和利差的季資料，以複迴歸與GARCH(1,1)模型檢視利差變動對經濟成長及其波動性的影響。估計複迴歸和GARCH(1,1)模型的結果指出：落遲一季的利差與經濟成長呈現顯著的正向關係，然而這種正向關係隨著時間有減弱的趨勢，到21 世紀初可能逆轉為負向關係；估計GARCH(1,1)模型的結果進一步指出：即使考慮波動叢聚效果，利差對經濟成長波動性呈現顯著的負向影響。 Applying multiple regression and GARCH(1,1) to the data spanning from 1961.Q1 to 2011.Q3, this study detects the impact of interest rate spreads on economic growth and its volatility with inflation and money supply growth treated as control variables. Evidence from estimating multiple regression and GARCH(1,1) models indicates that, as are found from current literature, the interest rate spread lagged in one quarter is significantly positively correlated with economic growth. The positive correlation has shown a tendency to weaken over time and it could even have become negative correlation in the first decade of the 21st century. Evidence from estimating GARCH(1,1) models further indicates that the lagged interest rate spread by one quarter showed a significantly negative effect on volatility in economic growth, even though the volatility clustering effect has been considered.
關聯:	2013中部學術財金研討會論文發表
顯示於類別:	[財務金融學系] 會議論文

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