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博碩士論文 etd-0712107-172826 詳細資訊
Title page for etd-0712107-172826
論文名稱
Title
購買力平價說-追蹤資料共整合之應用
Purchasing Power Parity-Application of New Simple Panel Cointegration Test
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
55
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2007-06-22
繳交日期
Date of Submission
2007-07-12
關鍵字
Keywords
追蹤資料共整合、購買力平價說、單根檢定
none
統計
Statistics
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中文摘要
本文使用Westerlund(2005) 建議的新追蹤資料共整合檢定, 重新驗證台灣、韓國、日本、菲律賓、泰國、新加坡、印尼、馬來西亞8個太平洋盆地區國家與美國間的購買力平價說。為了與Westerlund 的方法作比較, 本文也使用了實證文獻上經常被使用的Pedroni(2004) 追蹤資料共整合檢定。實證結果指出, 8個太平洋盆地區國家的弱購買力平價說成立。然而, 當驗證比例性限制是否被滿足的強購買力平價說時,無法支持強購買力平價說成立。
Abstract
We apply a new simple tests for panel cointegration, provided by Westerlund(2005), to re-examine the purchasing power parity hypothesis for eight Pacific Basin countries. We also report Pedroni(2004) panel cointegration test for comparison. The empirical evidence supports the weak purchasing power parity hypothesis for eight Pacific Basin countries. Furthermore, when we test the condition on the cointegrating vector that required for strong purchasing power parity to hold, we reject the strong purchasing power parity hypothesis for eight Pacific Basin countries.
目次 Table of Contents
1 緒論.........................................................................9
1.1 研究動機. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.2 研究方法. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11

2 模型與文獻回顧......................................................13
2.1 購買力平價說理論模型. . . . . . . . . . . . . . . . . . . .13
2.1.1 絕對購買力平價說. . . . . . . . . . . . . . . . . . . . . . 13
2.1.2 相對購買力平價說. . . . . . . . . . . . . . . . . . . . . . 14
2.2 實證模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ..15
2.3 文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ..18
2.3.1 國內文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . .....18
2.3.2 國外文獻回顧. . . . . . . . . . . . . . . . . . . . . . . . .....19

3 研究方法....................................................................21
3.1 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ...21
3.1.1 IPS 異質追蹤資料單根檢定. . . . . . . . . . . . . . . 22
3.2 共整合檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .24
3.2.1 Pedroni 異質追蹤資料共整合檢定. . . . . . . . ..25
3.2.2 Westerlund 異質追蹤資料共整合檢定. . . . . . 28
3.3 Panel FMOLS . . . . . . . . . . . . . . . . . . . . . . . . . . . ..31
3.3.1 Group Mean Panel FMOLS . . . . . . . . . . . . . . .32

4 實證結果.....................................................................34
4.1 資料的定義與來源. . . . . . . . . . . . . . . . . . . . . . . . . 34
4.2 單根檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . ..34
4.3 共整合檢定結果. . . . . . . . . . . . . . . . . . . . . . . . . . . 35
4.3.1 Pedroni 異質追蹤資料共整合檢定. . . . . . . . . . 35
4.3.2 Westerlund 異質追蹤資料共整合檢定. . . . . . .37
4.4 FMOLS 估計與檢定. . . . . . . . . . . . . . . . . . . . . . . . 38

5 結論..............................................................................40

台灣之名目匯率、相對物價、物價圖. . . . . . . . . . . . . 46
韓國之名目匯率、相對物價、物價圖. . . . . . . . . . . . . 47
日本之名目匯率、相對物價、物價圖. . . . . . . . . . . . . 48
菲律賓之名目匯率、相對物價、物價圖. . . . . . . . . . . 49
泰國之名目匯率、相對物價、物價圖. . . . . . . . . . . . . 50
新加坡之名目匯率、相對物價、物價圖. . . . . . . . . . . 51
馬來西亞之名目匯率、相對物價、物價圖. . . . . . . . . 52
印尼之名目匯率、相對物價、物價圖. . . . . . . . . . . . . 53
美國之物價圖. . . . . . . . . . . . . . . . . . . . . . . . . . . . . ........54
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