本文以考慮GARCH 效果之共整合方法來探討台灣及美國在長期之下是否存在購買力平價說, 並以消費者物價指數代表物價水準。以往的實證文獻大多忽略GARCH 效果, 以Johansen (1995) 的Reduced Rank Maximum Likelihood (RRML) 方法來估計共整合向量, 但本文認為實證資料存在GARCH 效果, Seo (2007) 證明若仍以RRML方法估計共整合向量, 其估計式不具有效性(efficiency)。因此本文將以Herwartz and Lutkepohl (2011) 所提出的feasible generalized least squares (feasible GLS) 來估計共整合向量。
由Johansen (1988) 提出的跡檢定(Trace test) 及最大特性根檢定(Maximum eigenvalue test) 結果得知, 台灣跟美國確實存在共整合關係, 且其共整合向量FGLS 估計值非常接近購買力平價說的經濟理論值。本文的研究結果支持台灣及美國在長期之下存在購買力平價說。

The main purpose of this paper is to examine the validity of theoritical purchasing power parity between Taiwan and United States by testing for long-run equilibrium relationships between nominal exchange rate and consumer price indices in cointegration model with GARCH. Many empirical literatures ignore GARCH effect, using reduced rank maximum likelihood (RRML) approach proposed by Johansen (1995) to estimate cointegrating vector. But Seo (2007) believes RRML estimator is not efficient when GARCH effect is considered. Therefore we use feasible generalized least squares (feasible GLS) approach proposed by Herwartz and Lutkepohl (2011) to estimate cointegrating vector instead.
Cointegrating relationship empirically exists between Taiwan and United States by the use of trace test and maximum eigenvalue test proposed by Johansen (1988), and its FGLS estimates are very close to the cointegrating vector implied by purchasing power parity. Our empirical investigation supports the existence of purchasing power parity between Taiwan and United States as a long-run equilibrium.

1 緒論 1
1.1 研究動機. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 文章架構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2 經濟理論及文獻回顧 3
2.1 購買力平價說. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2.2 購買力平價說實證文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . 5
3 研究方法 9
3.1 ARCH 模型及GARCH 模型. . . . . . . . . . . . . . . . . . . . . . 9
3.2 固定條件相關係數-一般化自我迴歸條件異質變異(CCC-GARCH) . . . . 11
3.3 模型建構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
3.4 模型配適度評估. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
3.5 檢定ARCH/GARCH 效果. . . . . . . . . . . . . . . . . . . . . . . . 15
3.6 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.7 共整合檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.8 使用FGLS 去估計共整合向量. . . . . . . . . . . . . . . . . . . . . . 22
4 實證分析 27
4.1 實證資料介紹. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
4.2 實證模型建構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
4.3 ARCH / GARCH 效果檢定結果. . . . . . . . . . . . . . . . . . . . . 29
4.4 單根檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
4.5 共整合檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
4.6 共整合向量之FGLS 估計結果. . . . . . . . . . . . . . . . . . . . . . . 37
5 結論與建議 40
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