臺灣博碩士論文加值系統

在Bretton-Woods體系瓦解後，由固定匯率體制轉變為浮動匯率體制，而在浮動匯率體制下購買力平價說是否成立成為國際經濟學領域中最受注目的議題之一。並且東亞地區是近年來全球經濟成長與經貿活動最為活躍與熱絡的地區，所以本文將以單根檢定來檢定1987年至2005年東亞十國的實質匯率是否為定態，並且藉以判斷東亞十國的購買力平價說是否成立。本文分別採用個別單根檢定與Panel單根檢定，及Carrion-i-Silvestre（2005）的考慮結構轉變之Panel單根檢定。由於過去先前的研究都沒有考慮到結構轉變的問題，而結構轉變往往會造成標準的單根檢定出現過度拒絕；因此，本文引入Carrion-i-Silvestre（2005）的考慮結構轉變之Panel單根檢定。
本文採用Carrion-i-Silvestre（2005）多重結構轉變之單根檢定，可以分別找出個別國家的結構轉變，並且檢定各個國家實質匯率是否為單根，以及檢定東亞地區實質匯率是否為單根。實證結果本文發現東亞十國實質匯率有7個國家有三個結構轉變，有3個國家有兩個結構轉變；並且發現在考慮結構轉變的情況下，有7個國家的實質匯率是定態，有三個國家實質匯率為非定態，而整個東亞地區實質匯率則為非定態，換句話說，即整個東亞地區的購買力平價說不成立。本文認為這些結構轉變與匯率制度的改革、政局動盪及經濟政策有著密切的相關。

In this paper, we use the newly-developed and refined panel stationary test with structural breaks, as advanced by Carrion-i-Silvestre(2005), to examine long-run purchasing power parity(PPP) for US dollar real exchange rates of East Asian 10 countries during 1987-2005 period. The empirical results from numerous earlier panel-based unit root tests which do not take structural breaks into account indicate that purchasing power parity for all the countries we study here are non-stationary.
When we employ Carrion-i-Silvestre(2005) panel stationary test with structural breaks, we find that real exchange rates of 7 East Asian countries have three structural breaks and other countries have two structural breaks. Moreover, the real exchange rates of East Asian 10 countries are still exhibits a non-stationary process. In other words, evidence shows that the long-run purchasing power parity for East Asian 10 countries does not hold even if structural breaks are taken into consideration.

第一章 導論
第一節 研究動機與目的
一、研究動機
二、研究目的
第二節 研究步驟
第三節 本文架構
第二章 文獻回顧
第一節 理論背景
一、絕對購買力平價（absolute PPP）
二、相對購買力平價（relative PPP）
三、實質匯率（real exchange rate）
第二節 文獻探討
一、購買力平價說之國外相關文獻回顧
二、購買力平價說之國內相關文獻回顧
第三章 研究方法
第一節 Panel單根檢定
一、IPS單根檢定
二、Maddala and Wu單根檢定
三、Hadri單根檢定
四、SURADF單根檢定法
第二節 多重結構轉變下之Panel單根檢定
第四章 實證結果與分析
第一節 資料處理與分析
第二節 個別單根檢定
第三節 Panel單根檢定
第四節 多重結構轉變之Panel單根檢定
第五章 結論與建議
第一節 研究結論
第二節 研究貢獻
第三節 未來展望
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