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研究生:楊傑宇
研究生(外文):CHIEH-YU YANG
論文名稱:金磚五國的購買力平價-非線性傅立葉函數之定態檢定
論文名稱(外文):Purchasing Power Parity in 5 BRICS-Stationary Test with a Nonlinear Fourier Function
指導教授:黃秋瓊黃秋瓊引用關係
學位類別:碩士
校院名稱:逢甲大學
系所名稱:經濟學所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:44
中文關鍵詞:實質匯率生產者物價指數購買力平價
外文關鍵詞:Law of One PricePurchasing Power Parity
相關次數:
  • 被引用被引用:4
  • 點閱點閱:620
  • 評分評分:
  • 下載下載:93
  • 收藏至我的研究室書目清單書目收藏:1
本研究應用非線性傅立葉函數定態分析,檢定近年來崛起的新興市場金磚五國1996年1月至2010年7月區間的購買力平價(PPP)持續性,以了解金磚五國在長期下購買力平價是否成立。本時間數列選自亞洲金融風暴之前至美國次級房貸之後,並且加入以生產者物價指數(PPI)計算的購買力平價(PPP)來做比較,並將檢定結果以CADF檢定股價對名目與實質匯率的關係,做為檢定分析長期購買力平價(PPP)不成立可能的因素。
目錄
摘要----------------------------------------------------------------i
誌謝----------------------------------------------------------------ii
目錄--------------------------------------------------------------- iii
表目錄------------------------------------------------------------- iv
圖目錄--------------------------------------------------------------v
第壹章 緒論---------------------------------------------------------1
第一節 研究背景----------------------------------------------1
第二節 研究目的----------------------------------------------3
第三節 文章架構----------------------------------------------4
第貳章 文獻回顧-----------------------------------------------------5
第一節 理論背景之回顧----------------------------------------5
第二節 實證文獻探討------------------------------------------8
第參章 研究方法----------------------------------------------------12
第一節 單根檢定---------------------------------------------13
第二節 CADF檢定------------------------------------------- 16
第肆章 實證結果與分析----------------------------------------------19
第一節 資料來源---------------------------------------------19
第二節 資料分析---------------------------------------------20
第伍章 結論與建議--------------------------------------------------22
參考文獻-----------------------------------------------------------23
附錄---------------------------------------------------------------28
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