臺灣博碩士論文加值系統

在國際金融領域中，購買力平價理論一直扮演著重要的角色，其實證探討文獻眾多，卻無法獲得一致的結果，其中原因可能是過去的文獻採用線性假設，實在無法有效掌握匯率非線性波動過程，且有不少的文獻證明匯率具有非線性的走勢，所以利用非線性模型進行購買力平價理論的檢定，應更合乎匯率的走勢。故本文擬以Becker et al.（2006）的非線性傅立業函數（Fourier function）定態檢定法，檢驗實質匯率是否合乎購買力平價理論。
本文選取台灣與主要貿易國間-美國、加拿大、英國、日本、法國、德國、香港和中國大陸為實證研究的對象，使用涵誑x幣匯率於固定匯率時期及匯率自由化時期的資料，除香港及中國外（香港為1980.10－2010.11；中國為1986.01－2010.11），其他各主要貿易國的樣本期間為1963.10-2010.11月資料。除香港及中國只以CPI計算外，其他主要貿易國分別以CPI及PPI以計算實質匯率，並分別以傳統線性單根檢定法及非線性傅立業函數檢定法，檢定長期PPP是否成立。探討各期間台幣匯率制度對購買力平價理論是否有所影響。
經本研究實證結果發現非線性傅立業函數實證結果顯示絕大部分台灣與主要貿易國間都不支持購買力平價理論。不過，實質匯率在固定匯率時期比機動匯率與匯率自由化時期及全部期間更具定態走勢。另外，傅立業函數（Fourier function）定態檢定法，經實證結果顯示較傳統的單根檢定強烈支持PPP成立。無論是傳統線性單根檢定法或非線性傅立業函數檢定法，在三個匯率制度時期，考慮Balassa-Samuelson effect時實質匯率較為普遍的具定態性質，尤其是在固定匯率時期。此顯示，台灣與某些主要貿易國於貿易財部門的生產力具有明顯差異。

目錄
摘要 ---------------------------i
目錄 ---------------------------ii
圖目錄 ---------------------------iii
表目錄 ---------------------------iv
第一章 緒論 ------------------1
1.1 問題與研究目的 ------------------1
1.2 本文架構 ------------------6
第二章 台幣匯率制度的演變 ---------8
第三章 實質匯率與研究方法 ---------13
3.1 實質匯率與PPP ------------------15
3.2 傳統的單根檢定法 ---------16
3.3 非線性傅立業函數檢定法 ---------17
第四章 實證結果分析 ---------20
4.1 資料與檢定策略 ------------------20
4.2 固定匯率時期 ------------------21
4.3機動匯率與匯率自由化時期 ---------25
4.4全部樣本期間 ------------------32
4.5結果比較 ------------------37
4.6台灣與各國實質匯率的定態分析-----38
第五章 結論 ------------------42

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