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題名 長期購買力平價說之實證—以亞洲四小龍為例
An Empirical research on long-run Purchasing Power Parity: The case of Four Asian Tigers作者 楊超丞
Yang, Chao-Cheng貢獻者 顏佑銘
楊超丞
Yang, Chao-Cheng關鍵詞 購買力平價說
匯率
物價
結構性改變
單根檢定
Purchasing Power Parity Theory
exchange rate
price level
structural change
unit root process日期 2020 上傳時間 3-Aug-2020 17:25:49 (UTC+8) 摘要 購買力平價說在敘述各國匯率以及物價之間的平價關係，本研究透過不同類型的計量模型進行實證，包括OLS模型、ADF單根檢定以及考慮結構性改變的Zivot and Andrews(1992)單根檢定，資料選擇使用亞洲四小龍(臺灣、韓國、新加坡、香港)這四個國家。而透過本研究的實證結果，我們可以得知不同模型對於購買力平價說具有不同的解釋能力，若未來需要針對匯率做預測時，本研究之結果亦可做為判斷目前匯率處於高檔或低檔的參考依據。 本文結果顯示不論採計消費者或者生產者物價指數，OLS模型部分的結果為：即使排除單根現象後的時間序列資料依然不支持購買力平價說的成立；使用ADF單根檢定時，資料結果亦不支持實質匯率符合購買力平價說。在考慮結構性變動的ZA模型時，大部分變項之間依然不支持購買力平價說，然而有少數變項支持購買力平價說的成立。
Purchasing power parity theory describes the parity relationship between exchange rates and price level in various countries. This paper uses different types of models for empirical analysis, including OLS model, ADF unit root test and ZA unit root test published by Zivot and Andrews in 1992; the model can take structure break into consideration. The data includes four Asian countries (Taiwan, South Korea, Singapore, and Hong Kong). Through the empirical results of this study, we can know that different models have different power of interpreting purchasing power parity theory. If we need to predict the exchange rate, the results of this study can also be used as a reference to tell whether the current exchange rate is high or low accordingly. The results of this paper show that regardless of the consumer or producer price index, the results of the OLS model part are: even if the time series data after excluding the unit root process still does not support the purchasing power parity; when using the ADF unit root test, the data results do not support the theory that the real exchange rate consistent with purchasing power parity. When considering the ZA model of structural breaks, most of the variables still do not support the theory of purchasing power parity, but a few variables support the theory of purchasing power parity.參考文獻 中文參考文獻王怡雯 (2015)，美元-新台幣購買力平價關係實證研究李建慧、蘇芳儀(2008)，APEC 八國長期購買力平價說：最小LM 單根檢定的驗證吳佳穎(2006)，考量結構轉變的單根檢定之模擬與應用陳美源、陳禮潭 (2009)，購買力平價說與結構性變動—美/台實質匯率之實證研究黃志典(2018)，國際金融概論四版劉明貞 (2012)，長期購買力平價說實證分析-以亞洲地區國家為例蕭美珠 (1983): 「購買力-台灣之實証研究」, 國立政治大學國際貿易研究所碩士論文。英文參考文獻Bela Balassa(1964) “Journal of Political Economy” Vol. 72, No. 6, pp. 584-596Corbae, D. and Ouliaris, S. (1988): “Cointegration and tests of purchasing power parity,” Review of Economics and Statistics, 70,508-511.Dickey, D. A. and Fuller, W. A. (1981): “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, 49,1057-1072.Frankel, J. (1981): “The collapse of purchasing power parity during the 1970s,” European Economic Review, 16, 145-165.Frankel, J. A (1986), “International Capital Mobility and Crowding Out in the US Economy: Imperfect Integration of Financial Markets or Goods Markets?” in Hafer, R. (ed.), How Open is the US Economy, Lexington: Lexington Books.Glen, J.D, 1992, “Real Exchange Rates in the Short, Medium, and Long Run,” Journal of International Economics, 33:147-166.Kuan, C.-M. and M.-Y. Chen (1994), “Implementing the Fluctuation and Moving estimates Tests in Dynamic Econometric Models,” Economics Letters, 44, 235–39.Lee, J. and Strazicich, M. C. (2001a): “Break point estimation and spurious rejections with endogenous unit root tests,” Oxford Bulletin of Economics and Statistics, 63, 535-558Lumsdaine, R. and D. Papell (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis,” Review of Economics and Statistics, 212–18.Meese, R. A. and Singleton, K. J. (1982: “On unit roots and the empirical modeling of exchange rates,” Journal of Finance, 37, 1029-1035.Nelson, C. R. and C. I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications＂, J.Monet. Econ. 10, pp.139-162.Perron, P. (1989), “The great crash, the oil price shock and the unit root hypothesis,” Econometrica, 57, 1361–1401.Said, S. and Dickey, D. (1984): “Testing for unit roots in autoregressive moving average models of unknown order,” Biometrika, 71(3), 599-607.Schmidt, P. and P.C.B. Phillips (1992), “LM Test for a Unit Root inthe Presence of Deterministic Trends,”Oxford Bulletin of Economicsand Statistics, 54, 257-287.Zivot, E. and D.W.K. Andrews (1992), “Further Evidence on Great Cash, the Oil Price Shock and the Unit Root Hypothesis,”Journal of Business and Economic Statistics, 10, 251-270. 描述 碩士
國立政治大學
國際經營與貿易學系
108351004資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108351004 資料類型 thesis dc.contributor.advisor 顏佑銘 zh_TW dc.contributor.author (Authors) 楊超丞 zh_TW dc.contributor.author (Authors) Yang, Chao-Cheng en_US dc.creator (作者) 楊超丞 zh_TW dc.creator (作者) Yang, Chao-Cheng en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:25:49 (UTC+8) - dc.date.available 3-Aug-2020 17:25:49 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:25:49 (UTC+8) - dc.identifier (Other Identifiers) G0108351004 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130921 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 108351004 zh_TW dc.description.abstract (摘要) 購買力平價說在敘述各國匯率以及物價之間的平價關係，本研究透過不同類型的計量模型進行實證，包括OLS模型、ADF單根檢定以及考慮結構性改變的Zivot and Andrews(1992)單根檢定，資料選擇使用亞洲四小龍(臺灣、韓國、新加坡、香港)這四個國家。而透過本研究的實證結果，我們可以得知不同模型對於購買力平價說具有不同的解釋能力，若未來需要針對匯率做預測時，本研究之結果亦可做為判斷目前匯率處於高檔或低檔的參考依據。 本文結果顯示不論採計消費者或者生產者物價指數，OLS模型部分的結果為：即使排除單根現象後的時間序列資料依然不支持購買力平價說的成立；使用ADF單根檢定時，資料結果亦不支持實質匯率符合購買力平價說。在考慮結構性變動的ZA模型時，大部分變項之間依然不支持購買力平價說，然而有少數變項支持購買力平價說的成立。 zh_TW dc.description.abstract (摘要) Purchasing power parity theory describes the parity relationship between exchange rates and price level in various countries. This paper uses different types of models for empirical analysis, including OLS model, ADF unit root test and ZA unit root test published by Zivot and Andrews in 1992; the model can take structure break into consideration. The data includes four Asian countries (Taiwan, South Korea, Singapore, and Hong Kong). Through the empirical results of this study, we can know that different models have different power of interpreting purchasing power parity theory. If we need to predict the exchange rate, the results of this study can also be used as a reference to tell whether the current exchange rate is high or low accordingly. The results of this paper show that regardless of the consumer or producer price index, the results of the OLS model part are: even if the time series data after excluding the unit root process still does not support the purchasing power parity; when using the ADF unit root test, the data results do not support the theory that the real exchange rate consistent with purchasing power parity. When considering the ZA model of structural breaks, most of the variables still do not support the theory of purchasing power parity, but a few variables support the theory of purchasing power parity. en_US dc.description.tableofcontents 第一章 前言………………………………………………………1第一節 研究動機與目的…………………………………….1第二節 研究架構…………………………………………….2第二章 文獻探討…………………………………………………3第一節 購買力平價說……………………………………….3第二節 實證方法的演進…………………………………….4第三章 研究方法…………………………………………………7第一節 研究方法…………………………………………….7第二節 資料描述…………………………………………….7第三節 計量模型…………………………………………….8第四章 資料分析…………………………………………………12第五章 研究結果與限制…………………………………………19參考文獻.....................................21附錄 ........................................24 zh_TW dc.format.extent 1825933 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108351004 en_US dc.subject (關鍵詞) 購買力平價說 zh_TW dc.subject (關鍵詞) 匯率 zh_TW dc.subject (關鍵詞) 物價 zh_TW dc.subject (關鍵詞) 結構性改變 zh_TW dc.subject (關鍵詞) 單根檢定 zh_TW dc.subject (關鍵詞) Purchasing Power Parity Theory en_US dc.subject (關鍵詞) exchange rate en_US dc.subject (關鍵詞) price level en_US dc.subject (關鍵詞) structural change en_US dc.subject (關鍵詞) unit root process en_US dc.title (題名) 長期購買力平價說之實證—以亞洲四小龍為例 zh_TW dc.title (題名) An Empirical research on long-run Purchasing Power Parity: The case of Four Asian Tigers en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文參考文獻王怡雯 (2015)，美元-新台幣購買力平價關係實證研究李建慧、蘇芳儀(2008)，APEC 八國長期購買力平價說：最小LM 單根檢定的驗證吳佳穎(2006)，考量結構轉變的單根檢定之模擬與應用陳美源、陳禮潭 (2009)，購買力平價說與結構性變動—美/台實質匯率之實證研究黃志典(2018)，國際金融概論四版劉明貞 (2012)，長期購買力平價說實證分析-以亞洲地區國家為例蕭美珠 (1983): 「購買力-台灣之實証研究」, 國立政治大學國際貿易研究所碩士論文。英文參考文獻Bela Balassa(1964) “Journal of Political Economy” Vol. 72, No. 6, pp. 584-596Corbae, D. and Ouliaris, S. (1988): “Cointegration and tests of purchasing power parity,” Review of Economics and Statistics, 70,508-511.Dickey, D. A. and Fuller, W. A. (1981): “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, 49,1057-1072.Frankel, J. (1981): “The collapse of purchasing power parity during the 1970s,” European Economic Review, 16, 145-165.Frankel, J. A (1986), “International Capital Mobility and Crowding Out in the US Economy: Imperfect Integration of Financial Markets or Goods Markets?” in Hafer, R. (ed.), How Open is the US Economy, Lexington: Lexington Books.Glen, J.D, 1992, “Real Exchange Rates in the Short, Medium, and Long Run,” Journal of International Economics, 33:147-166.Kuan, C.-M. and M.-Y. Chen (1994), “Implementing the Fluctuation and Moving estimates Tests in Dynamic Econometric Models,” Economics Letters, 44, 235–39.Lee, J. and Strazicich, M. C. (2001a): “Break point estimation and spurious rejections with endogenous unit root tests,” Oxford Bulletin of Economics and Statistics, 63, 535-558Lumsdaine, R. and D. Papell (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis,” Review of Economics and Statistics, 212–18.Meese, R. A. and Singleton, K. J. (1982: “On unit roots and the empirical modeling of exchange rates,” Journal of Finance, 37, 1029-1035.Nelson, C. R. and C. I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications＂, J.Monet. Econ. 10, pp.139-162.Perron, P. (1989), “The great crash, the oil price shock and the unit root hypothesis,” Econometrica, 57, 1361–1401.Said, S. and Dickey, D. (1984): “Testing for unit roots in autoregressive moving average models of unknown order,” Biometrika, 71(3), 599-607.Schmidt, P. and P.C.B. Phillips (1992), “LM Test for a Unit Root inthe Presence of Deterministic Trends,”Oxford Bulletin of Economicsand Statistics, 54, 257-287.Zivot, E. and D.W.K. Andrews (1992), “Further Evidence on Great Cash, the Oil Price Shock and the Unit Root Hypothesis,”Journal of Business and Economic Statistics, 10, 251-270. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000724 en_US
