摘要
購買力評價理論由瑞典的經濟學家Cassel（1916）提出，他是一種利用兩國長期均衡匯率來衡量其購買力的方法。其學說建立在單一價格法則上，即在完全競爭市場中，假定兩國之間商品、勞務的交流，在不考慮運輸成本、貿易障礙及訊息成本之下，不同國家若以相同的貨幣單位購買相同的財貨時，其相同財貨的價格應該趨於一致。在國際金融的匯率理論中，無論在理論或實證上，購買力平價說都被視為匯率決定理論的重要學說。
然而，現今關於購買力平價之探討文獻眾多，但其實證結果卻仍眾說紛紜，無法獲得一致的結論。購買力平價的成立與否可利用檢定實質匯率的穩定性來判斷，而過去多數的實證文獻皆建立在線性架構下，採用傳統的單根檢定法來分析，在此假設下，購買力平價難以成立。目前已有越來越多文獻指出傳統單根檢定法的檢定力力不足，且發現在此議題下，非線性模型比線性模型更具檢定力，所以利用非線性模型進行購買力平價理論的檢定，應更能合乎匯率的走勢。
近來，由於市場存在交易成本而使財貨無法自由貿易的觀念逐漸被提起，若將這些貿易障礙如：套利成本、關稅及商品是否為貿易財等等納入考量，則匯率調整的過程將更趨近於非線性的型態。因此本研究藉由Granger and Teräsvirta（1993）、Teräsvirta（1994）所提出之平滑轉換自我迴歸模型的估計檢定方法，探討當英國、挪威、瑞典、丹麥、盧森堡、義大利、西班牙、澳大利亞、日本等數個先進工業國家之匯率偏離PPP時，其動態調整過程是否為一非線性程序。當線性假設被拒絕，則接著分析該國匯率為LSTAR或ESTAR模型來配適。由實證結果得知，所有的樣本國之匯率皆宜以非線性模型配適，且其轉換函數皆為非對稱的LSTAR模式，在非線性模型下，各國之購買力評價成立。

Abstract
The Purchasing power parity （PPP） theory was originally developed by a Swidish economist, Gustav Cassel, in 1916. It is a method using the long-run equilibrium exchange rate of two currencies to measure the currencies' purchasing power. It is based on the law of one price, the idea that, in an efficient market, identical goods must have only one price internationally. This parity is a central building block of many theoretical and empirical models of exchange rate determination, since most are relied on PPP as the basis for long-run real exchange rates.
While the literature on the PPP hypothesis is voluminous today and still growing, the doctrine has not found well. The validity of PPP can be examined by testing the stationary of real exchange rates. Most of the empirical evidences relied mainly on using linear structure to explore PPP in the past. By using traditional unit root test, the PPP is hard to hold in the long run. There is a growing consensus that previous empirical research reflects the poor power of the tests rather necessarily against PPP. Therefore, the use of more powerful tests is needed.
Recently, an alternative point of view based on the presence of market frictions that impede commodity trade has arisen. The adjustment of real exchange rates is perhaps described more appropriately as a nonlinear process once market frictions are taken into account. There are several reasons that theoretically explain why the adjustment process of deviations from PPP is nonlinear, such as transactions and transportation costs and tariffs and non-tariff barriers to international trade. Therefore, the analysis of real exchange rate should be conducted under the nonlinear structure.
This study uses the STAR methodology proposed by Granger & Teräsvirta (1993) and Teräsvirta (1994) to examine whether the deviation of PPP is a nonlinear dynamic adjustment among the following countries: Australia, Denmark, Italy, Japan, Luxembourg, Norway, Spain, Sweden and the United Kingdom. If the linear hypothesis was rejected, then to distinguish if the model of STAR is LSTAR or ESTAR. This study finds that the deviations from equilibrium exchange rates show strong evidence of nonlinear properties. The deviations of exchange rates for all countries can be explained by the LSTAR model. In conclusion, this study finds the real exchange rates exhibit the property of nonlinear mean reversion for most countries.

目錄
第一章 緒論 1
第一節 研究動機及目的 1
第二節 研究架構 3
第二章 文獻回顧 4
第一節 理論文獻回顧 4
第二節 實證文獻回顧 6
第三章 研究方法與模型 16
第一節 研究流程 17
第二節 概述STAR模型 18
第三節 單根檢定 21
第四節 線性檢定 27
第五節 參數估計與檢驗 30
第四章 實證結果分析 32
第一節 資料選擇與說明 32
第二節 資料處理 33
第三節 實證步驟與結果分析 34
第五章 結論與建議 44
第一節 結論 44
第二節 研究限制與建議 45
參考文獻 47

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中文部份
王聖雄（2004），非對稱平滑轉換自我迴歸（STAR）模型實證研究—新台幣實質有效匯率模型之建立與預測，台中：朝陽科技大學財務金融研究所碩士論文。
李季原（2004），實質有效匯率之非線性STAR模型描述－以東盟為例，台中：朝陽科技大學財務金融研究所碩士論文。
吳若瑋（2005），以STAR模型探討歐洲工業國家之實質利率評價說，高雄：中山大學經濟研究所碩士論文。
陳珮芬（2006），購買力平價及其迷思之非線性實證分析，嘉義：中正大學國際經濟研究所博士論文。
楊凱文（1994），貨幣學派均衡匯率偏離之非線性動態調整，桃園：中原大學國際貿易研究所碩士論文。
廖元宏（2002），以STAR模型研究新台幣實質有效匯率，高雄：中山大學財務管理研究所碩士論文。
鍾明宏（2001），實質匯率非線性調整之實証研究，嘉義：中正大學國際經濟研究所碩士論文。