本論文的主要目的，在探討Balassa-Samuelson效果，是否能有效解釋實質匯率長期變動，並且運用晚近追蹤資料單根檢定法、追蹤資料共整合檢定法及fully modified OLS等研究方法，來檢定以本論文中以Balassa-Samuelson模型推導之的四個檢定方程式：
1. 本國的貿易財部門與非貿易財部門的產能成長率差距，對兩部門相對物價上漲率差距的影響。
2. 兩國模型中，國內產業產能成長率與世界其他國家相同產業產能成長率的差距，對國內產業物價與世界其他國家相同產業的物價成長率的影響。
3. 兩國模型中相對價格差距，所導致之實質匯率的上升與下降。
4. 兩國模型中產能成長率差距，所導致之實質匯率的變動。
本文中的研究期間為1971-1995年，共包含二十三個年度，研究國家為OECD組織中的十二個國家，與先前文獻的最大不同處有三點：
1. 運用最新的追蹤資料實證方法，同時檢定以Balassa-Samuelson模型為假設基礎的多個方程式。
2. 先前的文獻皆只有檢測單變量的模型，較少有多變量的檢測模型。本文在方程式第十四式及第十五式，皆同時檢測兩個變量。
3. 在物價的計算方式上，由於各產業的物價有資料蒐集上的因難，所以本文在物價計算上採用較特殊的方式來測量。
最後由實證結果可得知，當國內兩部門產業的生產效率不同時，亦即當兩部門的產能成長率有1%的差距時，長期將導致兩部門的物價會有0.53%的變化；當在兩國模型中，產能成長率的差距將會導致實質匯率的下降。這也就是為何美國、日本等已開發國家，因其貿易財的產能成長率較高，所以導致其本國貨幣長期升值情況。

The main purpose of this thesis is to explore whether the Balassa-Samuelson hypothesis can effectively explain the long-term change of the real exchange. The recent panel unit root, panel cointegration tests and fully modified OLS are applied to examine the four tested equations that are based on the Balassa-Samuelson hypothesis.
1. Relative differential productivity between traded and non-traded sectors influences price differential in two sectors.
2. We extend the relative productivity in non-traded and traded sectors causing change in non-traded relative price into the two-country model.
3. The appreciation (depreciation) of the real exchange results from the different relative price of the two-country model.
4. The appreciation (depreciation) of the real exchange is caused by the different relative productivity of the two-country model.
The data span is from 1971 to 1995, and includes 12 OECD countries. There are three main different points from the existing literatures.
1. We apply some newly developed panel unit root tests to estimate the equations based on Balassa-Samuelson hypothesis.
2. The previous documents only estimated the model of one variable, but the estimation of two variables was rare. In the equation 14 and 15, we examined the two variables in both.
3. In the calculation of the price, owing to the difficulties of collecting data from various sectors, we use a special way to measure the price.
Finally, we can observe from the results of the empirical study: when productivity of the domestic sectors differentiates, that is, 1% increase in relative productivity between traded and non-trade sectors causes 0.53% increase in domestic relative prices. When it is taken into the two-country model, the increase of productivity will cause the appreciation of the real exchange rate. This can explain why in the developed countries like the U.S. and Japan, the faster increase in domestic relative productivity causes the appreciation of real exchange rates in the long run.

目 錄

第一章 緒論.……………………………………………..…………………….….1

第二章 文獻回顧………………………………………………………………….4

第一節 實質匯率理論回顧…………………………………………..………….…..……..4

第二節 實質匯率實證回顧……………………………………………..………...………..6

第三章 模型推導與方法說明………………………………………..……………8

第一節 實質匯率模型………………………………………………….……….………….8

第二節 研究方法說明……………………………………………………….…….………11

第四章 Panel Data實證分析結果……………………………………....………..19

第一節 資料和研究期間…………………………………………………….…………….19

第二節 實證結果……………………………………………………………..….…………22

第五章 結論…………………………………………………..………...…………28

參考文獻……………………………………………….…………………………..29






表次

表(一)：追蹤資料單根檢定………………………………….………………….…………22

表(二)：Pedroni追蹤資料共整檢定………………………………………………..…..24

表(三)：Fully Modified OLS結果…………………………………………..……………26

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