Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/88075| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 李紀珠 | zh_TW |
| dc.contributor.advisor | Li, Ji-Zhu | en_US |
| dc.contributor.author | 林立娟 | zh_TW |
| dc.contributor.author | Lin, Li-Juan | en_US |
| dc.creator | 林立娟 | zh_TW |
| dc.creator | Lin, Li-Juan | en_US |
| dc.date | 1995 | en_US |
| dc.date.accessioned | 2016-04-29T01:57:17Z | - |
| dc.date.available | 2016-04-29T01:57:17Z | - |
| dc.date.issued | 2016-04-29T01:57:17Z | - |
| dc.identifier | B2002003033 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/88075 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 經濟學系 | zh_TW |
| dc.description.abstract | 鑑於以往對PPP的實証分析，多忽略了匯率及國際價格水準為非恆定(nonstationary)，且採雙邊匯率來進行分析，然而採取雙邊匯率之缺點是並未將主要的貿易伙伴國均納入考慮，亦未考慮各國匯率間的相亙關係，故晚近學者於檢定PPP時，多用有效匯率指數取代雙邊匯率，而“一般化購買力平價說”即是考慮有效匯率指數及國內外物價指數之間的關係，然而國內既有的有效匯率指數之編製存有若干缺失，因此本文的目的是利用新編新台幣有效匯率指數及Johansen最大概似共積檢定法，對新台幣之一般化購買力平價說進行檢定。 | zh_TW |
| dc.description.tableofcontents | 第壹章、前言..........1\r\n第貳章、文獻回顧..........4\r\n第一節‧PPP理論沿革及傳統實証方法說明..........4\r\n1‧PPP理論沿革..........4\r\n2‧傳統絕對PPP與相對PPP理論實証方法說明..........5\r\n第二節‧文獻整理及回顧..........7\r\n1‧以檢定方法區分..........7\r\n(1)傳統方法..........7\r\n(2)以共積方法檢定..........9\r\n(3)高階共積法..........14\r\n(4)其他檢定法..........15\r\n(5)季節因素..........16\r\n2‧以匯率制度區分..........17\r\n3‧以價格指數區分..........18\r\n4‧以資料頻率及期間來區分..........19\r\n5‧以通貨膨脹率區分..........20\r\n第三節‧PPP不成立的原因..........21\r\n1‧假性迴歸..........21\r\n2‧檢定假設不適當..........21\r\n3‧測度誤差..........22\r\n4‧檢定力不理想..........23\r\n5‧貿易財與非貿易財..........23\r\n6‧交易成本與貿易障礙..........24\r\n7‧視匯率及物價水準為內生變數..........25\r\n8‧國內外商品非完全替代..........25\r\n9‧實質匯率為隨機漫步..........25\r\n10‧其他..........26\r\n第參章、計量方法..........29\r\n第一節‧實証方法簡介..........29\r\n第二節‧單根檢定..........33\r\n第三節‧診斷測試..........34\r\n1‧簡介..........34\r\n2‧序列相關檢定..........35\r\n3‧常態性檢定‧35\r\n第四節‧Johanson共積方法..........36\r\n1‧最大概似共積法..........36\r\n2‧假設檢定..........39\r\n第肆章、新台幣有效匯率指數..........41\r\n第一節‧簡介..........41\r\n第二節‧通貨籃之選取..........42\r\n1‧通化籃之選取..........42\r\n2‧權數之選取..........42\r\n3‧基期之選取..........43\r\n第三節‧模型介紹..........44\r\n1‧模型選取..........44\r\n2‧模型內容..........44\r\n第伍章、購買力平價說之檢定..........49\r\n第一節‧模型介紹..........49\r\n1‧簡介‧49\r\n2‧模型說明..........51\r\n第二節‧實証結果..........54\r\n1‧實証資料..........54\r\n2‧實証結果..........55\r\n(1)變數定義..........55\r\n(2)單根檢定..........56\r\n(3)診斷檢定..........57\r\n(4)共積檢定..........59\r\n(5)共積係數檢定..........61\r\n第陸章、結論..........64\r\n參考文獻..........67 | zh_TW |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#B2002003033 | en_US |
| dc.title | 一般化購買力平價說之檢定:新編有效匯率指數及共積方法之應用 | zh_TW |
| dc.type | thesis | en_US |
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