購買力平價說為被長久探討的命題。然而，對於購買力平價說在實證上是否得以找到證據卻沒有一致的結論。傳統敘述式的文獻回顧建議，採取較長的期間、較多的國家、較有彈性的模型設定、非線性等會有助於減緩找尋購買力平價 說證據之困難。不同於傳統敘述式的文獻回顧，本論文採用總迴歸分析(Meta-regression Analysis)之研究法，試圖找出實證結果差異之源，並檢驗上述敘述式文獻回顧之建議。本文發現，在控制其他變數下，對於實質匯率是否為穩定之命題，主要受檢定統計量的不同、樣本的期間、及樣本的長短之影響。對於半衰期長短的命題，在控制其他變數下，主要受個別研究所採用之方法的影響。

Purchasing Power Party (PPP) has long been intensively studied in empirical researches. However, a unanimous conclusion has not been reached. As an alternative to a narrative literature review, this paper conducts a meta-regression analysis of a collection of thirty-three studies, in order to uncover the sources of variation in the empirical findings relating to PPP. We also test the validities of suggestions made by the narrative literature reviewers that the use of more years of data, more countries, more powerful tests, more general model specifications, and an allowance for non-linearity might mitigate the issue of PPP puzzle. We find that the proposition is true and that whether PPP holds in the long run mainly depends on the methodology employed, the regimes the data are sampled from, and the length of the sample of data that is used. When addressing the persistence of the deviations from PPP, it mostly depends on the methodologies adopted.

Chapter One Introduction………………………………………………1

Chapter Two Literature Review………………………………………...6
Section 2.1 Understanding Purchasing Power Parity…………………..………...6
Section 2.2 Conventional ADF Test and PPP Puzzles………………….………9
Section 2.3 The Problem of Conventional ADF Test…………………………12
Section 2.4 Different Attempts to Solve the PPP Puzzles……………………13
Section 2.5 Brief review on MRA……………………………………………17
Chapter Three Methodology………………………………………….20
Section 3.1 The Data……………………………………………………………20
Section 3.2 The Model for The First Puzzle.…………………………………25
Section 3.3 The Model for The Second Puzzle………………………………27
Chapter Four Empirical Results………………………………………29
Section 4.1 Summary Statistics……………………………………………….29
Section 4.2 Empirical Results…………………………………………………30
Section 4.3 Specification Test………………………………………………...35
Section 4.4.Robustness Test……..……………………………………………46
Chapter Five Conclusion Remarks……………………………………38
Tables……………………………………………………………………41
References................................................................................................53

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