臺灣博碩士論文加值系統

摘要
過去的文獻大多在線性的架構之下去探討購買力平價說(PPP)。而以傳統ADF單根檢定，PPP難以成立。然而，Dumas(1992)認為由於有交易成本存在，所以匯率應該是呈非線性調整狀態。若用傳統單根檢定或Engle and Granger共整合去驗證PPP是不恰當的，並且會產生偏誤，所以應該在非線性架構之下去分析實質匯率的行為(Michael et al. 1997)。
Liew et al.(2004)應用KSS(Kapetanios,Shin,Snell，2003)提出之非線性定態檢定模型，檢定11個亞洲國家的實質匯率是否穩定。但是，KSS非線性定態檢定模型必需是指數平滑轉換自我迴歸模型(exponential smooth transition autoregressive model，ESTAR)，且延遲參數d=1的假設限制之下，方可成立，所以Liew對KSS非線性定態檢定模型的應用有誤。
因此，本研究藉由Granger and Terasvirta(1993)和Terasvirta(1994)所提出之STAR的估計檢定方法，判斷亞太地區間日本、南韓、新加坡、馬來西亞、菲律賓、印尼、泰國等七國，偏離PPP的動態調整過程是否為一非線性程序，若拒絕線性的虛無假設，則選取最適延遲期數d，再依據形式檢定區分STAR模型是對數型(LSTAR)或指數型(ESTAR)。找出符合ESTAR模型，且延遲期數d=1的國家，以KSS非線性定態模型檢定PPP是否成立。
由實證結果發現，七個亞太國家中除了新加坡實質匯率的偏離動態調整路徑符合線性模型外，其餘六國皆呈現非線性的動態調整；南韓、馬來西亞、菲律賓、印尼、泰國5國為ESTAR模型，其中除了南韓，有4國符合延遲期數d=1。然後，針對馬來西亞、菲律賓、印尼、泰國這四國，應用KSS提出之非線性定態檢定，驗證得出實質匯率皆為一恆定之時間序列，長期購買力平價說成立。

Abstract
Most of the empirical evidence relied mainly on using linear structure to explore PPP in the past. By using traditional ADF unit root test, the PPP is hard to be established. However, Dumas (1992) claims exchange rate demonstrates nonlinear adjustment status due to the existence of transaction cost. If using conventional unit root test or Engle and Granger’s cointegration test to examine PPP is not appropriate and will cause bias. Therefore, the analysis of real exchange rate should be conducted under the nonlinear structure (Michael et al. 1997).
Liew et al. (2004) uses the model of nonlinear stationary test, proposed by KSS (Kapetanios, Shin, Snell﹐2003) to examine whether the real exchange rate is stationary or not. However, KSS’s model of nonlinear stationary test can only be established under the ESTAR (exponential smooth transition autoregressive model) and the constraints of the assumption of delayed parameter should equal one (d=1). As a result, Liew’s application of KSS’s model of nonlinear stationary test is not appropriate.
Therefore, this study uses the STAR methodology proposed by Granger and Terasvirta (1993) & Terasvirta (1994) to examine whether the deviation of PPP is a nonlinear dynamic adjustment or not among the following seven Asian-Pacific countries: Japan, Korea, Singapore, Malaysia, Philippine, Indonesia, and Thailand. If the linear assumption was rejected, then to distinguish the model of STAR is LSTAR or ESTAR. To find out countries with ESTAR and delayed parameter equals one (d=1) and examined whether the PPP can be held or not with KSS’s model of nonlinear stationary test.
Empirical findings revealed that the seven Asian-Pacific countries, except for that Singapore fits in linear model, demonstrate nonlinear dynamic adjustment. Moreover, Korea, Malaysia, Philippine, Indonesia, and Thailand belong to ESTAR and, among the five countries, Malaysia, Philippine, Indonesia, and Thailand fits in the delayed parameter equals one. Then, using KSS’s model of nonlinear stationary test to examine Malaysia, Philippine, Indonesia, and Thailand and revealed that the real exchange rate of the four countries is a stationary time series and hence the PPP is established.

目錄
第一章 緒論……………………………………………………………1
第一節 研究動機與目的……………………………………………1
第二節 研究方法及架構……………………………………………3

第二章 文獻探討………………………………………………………4
第一節 PPP之理論背景與實證模型…………………………………4
壹、購買力平價說之理論背景……………………………………4
貳、購買力平價說之實證模型……………………………………5

第二節 傳統線性定態檢定之實證研究……………………………6
壹、有關國外購買力平價說之文獻………………………………6
貳、有關國內購買力平價說之文獻………………………………7

第三節 非線性定態檢定之實證研究………………………………8
壹、匯率有可能呈現非線性的關係………………………………8
貳、實質匯率偏離 PPP 的非線性動態調整……………………8

第三章 研究方法………………………………………………………10
第一節 非線性 STAR 模型………………………………………10
第二節 線性檢定…………………………………………………14
第三節 STAR 模型之形式檢定……………………………………16
第四節 KSS非線性定態檢定………………………………………18
第四章 實證分析與結果……………………………………………20
第一節 資料說明…………………………………………………20
第二節 線性 AR(p) 模型設定 (決定最適落後期 p) ………21
第三節 線性檢定(檢定線性或非線性) …………………………23
第四節 STAR 模型之形式檢定(區分LSTAR或ESTAR) ……………27
第五節 KSS非線性定態檢定(檢定PPP是否成立) ………………29

第五章 結論…………………………………………………………33

附錄A、單根檢定的方法……………………………………………35
附錄B、蒙地卡羅模擬………………………………………………37
附錄C、STAR 模型的檢定說明……………………………………38

參考文獻……………………………………………………………46

參考文獻
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