本文為國內首篇嘗試採用結合非線性的馬可夫轉換（Markov-switching，以下簡稱MS）模型與購買力平價說（the theory of purchasing power parity ，以下簡稱PPP）模型的研究。我們將實證研究對象區分為三個群體：一、工業化國家：、日本、英國﹔二、新興工業化國家：台灣、南韓﹔三、開發中國家：東協四國：泰國、印尼、馬來西亞、菲律賓，藉由MS模型，將匯率波動區分為高、低成長或高、低變異兩相異階段，並將PPP導入MS模型的設定中，藉由MS模型與PPP的結合，對PPP的檢定提供另一解釋，證明三個群體間的PPP解釋能力有顯著差異，並改進單以PPP或MS模型的配適能力。
本文實證結果指出，第一、在期望值與變異數雙重狀態性質的顯著性議題上，工業化國家匯率不若其他兩個群體顯著，台幣、韓圜次之，東協四國雙重狀態性質最顯著﹔第二、PPP對匯率的解釋能力，在工業化國家匯率處於高波動狀態具有統計顯著，反之，在匯率處低波動狀態下，PPP解釋能力不成立﹔在新興工業化國家與開發中國家，匯率處於低波動狀態時，PPP的解釋能力具顯著性，在高波動狀態下，不具顯著性﹔第三、在樣本內配適能力表現方面，本文建構之雙重狀態MS模型顯著改善隨機漫步、與傳統線性模型，其中結合PPP與MS模型在轉換誤差與變異比值的配適能力上，更顯著凌駕其他模型。

This study serves one of the first papers to adopt the nonlinear Markov-switching model (hereafter MS model) to examine the performance of purchasing power parity (hereafter PPP) theory in predicting the exchange rate. We divide the objects in three groups: first, the industrialized economies (IEs), including Unite Kingdom and Japan; second, the newly industrialized economies (NIEs), including Taiwan and South Korea; third, the developing economies (DEs), including Thailand, Indonesia, Malaysia, and Philippines. Specifically, we use the MS model to identify the high- or the low-volatility regime of the exchange rate, establish a model incorporating MS and PPP, and improve the performance in predicting exchange rate of the traditional PPP or MS model.
Our empirical findings are consistent with the following notions. First, the two-mean regime setting and the two-volatility regime are much (less) statistical significant in the DEs (IEs). Second, in the IEs, the explanation performance of PPP in exchange rate is significant (insignificant) in the high- (low-) volatility regime. In contrast, in the NIEs and DEs, it is significant (insignificant) in the low- (high-) volatility regime. Third, in aspect of adaptability, the MS model outstands the random walk, and the linear PPP model, and the model incorporating MS and PPP outstands other models in switching error and variety quotient.

本 文 目 錄
第壹章 緒論 1
第貳章 文獻探討 3
第一節 PPP理論沿革 3
第二節 PPP實證沿革 5
第參章 實證模型架構與方法 9
第一節 MS模型基本概念 9
第二節 雙重狀態MS模型設定　　　　　　　　　　　　　　 10
第三節　 考慮PPP雙重狀態檢測的MS模型 12
第肆章 實證結果與分析 15
第一節 匯率的基本統計性質 15
第二節 單根檢定 16
第三節 匯率具變動轉換現象 18
第四節 考慮PPP模型估計結果 20
第五節 各類模型樣本內配適能力 25
第伍章 結論與未來展望 28
參考文獻 29
表 次 目 錄
表1開發程度指標 34
表2各國金融風暴前後之匯率制度　　　　　　　　　　　　　 34
表3各國匯率變動率基本統計性質　　　　　　　　　　　　　 35
（A）1980.01-1997.05基本統計量 35
（B）1997.06-2001.01基本統計量　　　　　　　　　 35
表4各國匯率變動率單根檢定結果　　　　　　　　　　　　　 36
（A）匯率變動率ADF檢定結果　　　　　　　　　　　　　 36
（B）匯率變動率PP檢定結果 36
表5各類狀態轉換MS模型估計結果 37
（1-1）美元兌台幣匯率 37
（1-2）美元兌韓圜匯率 37
（2-1）英鎊兌美元匯率 38
（2-2）美元兌日圓匯率 38
（3-1）美元兌泰銖匯率 39
（3-2）美元兌印尼盾匯率 39
（3-3）美元兌馬來幣匯率 40
（3-4）美元兌菲披索匯率 41
表6結合PPP與各類狀態轉換MS模型估計結果 42
（1-1）美元兌台幣估計結果 42
（1-2）美元兌韓圜估計結果 43
（2-1）英鎊兌美元估計結果 44
（2-2）美元兌日圓估計結果 45
（3-1）美元兌泰銖估計結果 46
（3-2）美元兌印尼盾估計結果 47
（3-3）美元兌馬來幣估計結果 48
（3-4）美元兌菲披索估計結果 49
表7台幣高波動狀態突發事件一覽表 50
表8各國PPP具顯著解釋能力狀態一覽表 51
表9各國高低波動狀態標準差比值 51
表10各類模型配適能力 52
（1-1）美元兌台幣估計結果 52
（1-2）美元兌韓圜估計結果 52
（2-1）英鎊兌美元估計結果 53
（2-2）美元兌日圓估計結果 53
（3-1）美元兌泰銖估計結果 54
（3-2）美元兌印尼盾估計結果 54
（3-3）美元兌馬來幣估計結果 55
（3-4）美元兌菲披索估計結果 55
表11各國最佳配適能力一覽表 56
圖 次 目 錄
圖1-1.1台幣實際匯率與理論匯率 57
圖1-1.2台幣匯率變動率 57
圖1-1.3台幣結合PPP與期望值具雙重狀態轉換MS模型高期望值平滑機率 57
圖1-1.4台幣結合PPP與變異值具雙重狀態轉換MS模型高波動平滑機率 57
圖1-2.1韓圜實際匯率與理論匯率 58
圖1-2.2韓圜匯率變動率 58
圖1-2.3韓圜結合PPP與期望值具雙重狀態轉換MS模型高期望值平滑機率 58
圖1-2.4韓圜結合PPP與變異值具雙重狀態轉換MS模型高波動平滑機率 58
圖2-1.1英鎊實際匯率與理論匯率 59
圖2-1.2英鎊匯率變動率 59
圖2-1.3英鎊結合PPP與期望值具雙重狀態轉換MS模型高期望值平滑機率 59
圖2-1.4英鎊結合PPP與變異值具雙重狀態轉換MS模型高波動平滑機率 59
圖2-2.1日圓實際匯率與理論匯率 60
圖2-2.2日圓匯率變動率 60
圖2-2.3日圓結合PPP與期望值具雙重狀態轉換MS模型高期望值平滑機率 60
圖2-2.4日圓結合PPP與變異值具雙重狀態轉換MS模型高波動平滑機率 60
圖3-1.1泰銖實際匯率與理論匯率 61
圖3-1.2泰銖匯率變動率 61
圖3-1.3泰銖結合PPP與期望值具雙重狀態轉換MS模型高期望值平滑機率 61
圖3-1.4泰銖結合PPP與變異值具雙重狀態轉換MS模型高波動平滑機率 61
圖3-2.1印尼盾實際匯率與理論匯率 62
圖3-2.2印尼盾匯率變動率 62
圖3-2.3印尼盾結合PPP與期望值具雙重狀態轉換MS模型高期望值平滑機率 62
圖3-2.4印尼盾結合PPP與變異值具雙重狀態轉換MS模型高波動平滑機率 62
圖3-3.1馬來幣實際匯率與理論匯率 63
圖3-3.2馬來幣匯率變動率 63
圖3-3.3馬來幣結合PPP與期望值具雙重狀態轉換MS模型高期望值平滑機率 63
圖3-3.4馬來幣結合PPP與變異值具雙重狀態轉換MS模型高波動平滑機率 63
圖3-4.1菲披索實際匯率與理論匯率 64
圖3-4.2菲披索匯率變動率 64
圖3-4.3菲披索結合PPP與期望值具雙重狀態轉換MS模型高期望值平滑機率 64
圖3-4.4菲披索結合PPP與變異值具雙重狀態轉換MS模型高波動平滑機率 64

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