臺灣博碩士論文加值系統

　　購買力平價說在建構國際經濟理論上具有相當之影響力。過去相關文獻利用傳統單變量單根檢定對實質匯率做檢定，來驗證購買力平價理論是否成立。但是由於傳統的單根檢定量常存在低檢定力及型一誤差扭曲的問題，因而影響統計推論的可靠性。有鑑於此，本研究應用五種不同類型的單根檢定量，包括單變量的檢定及加入相關變數的共變量檢定，重新檢定購買力平價是否成立。研究方法著重樣本訊息的運用，藉由模擬技巧的應用，分別建立在恆定過程與非恆定過程假設下，單根統計量的小樣本分配。透過比較單根檢定值與小樣本分配間的相對位置，判斷實質匯率數列可能來自於哪個分配。此外，本文引入因素分析（Bai and Ng, 2002）作為挑選共變量單根檢定相關變數之依據。
　　實證結果發現，單變量單根檢定之下，除日本外，其餘各國均因檢力偏低，無法明確判定數列是否存在單根之特性，即無法確定購買力平價是否成立，因此，無法確實推論購買力平價說是否成立；而共變量單根檢定的部分則顯示，在比利時、加拿大、德國、義大利、日本、美國及瑞典之實質匯率支持購買力平價理論，其他國家則仍因檢力不足而無法判斷是否支持購買力平價理論。此外，比較單變量單根檢定與共變量單根檢定之檢力，發現加入相關變數作為共變量的CADF檢定，確實較單變量單根檢定，具有較高的檢力。

　　The Purchasing Power Parity (PPP) has a big influence on constructing International Economics theories. In the past, studies which examine the PPP applying traditional univariate unit root test to real foreign exchange rate. However, the low power and size distortion due to traditional univariate unit root tests will affect the reliability of inferences. This thesis utilizes five different types of unit root test statistics to investigate PPP. Our approach is in emphasizing the information content of the data to distinguish between the competing processes. Stationary and non-stationary processes are fitted to the real exchange rate series. Simulated data are generated, and the small sample distributions of the chosen test statistics are computed under each of the two hypotheses. And determine the real exchange rate series come from which process by comparing the position between the test statistics and small-sample distribution. Furthermore, we introduce the factor analysis(Bai and Ng, 2002) to decide the variables used in covariate unit root test.
　　Due to the low power, the empirical results except Japan indicate that all test statistics under study are not very capable of discriminating between the stochastic trend alternative and the deterministic trend one for the series. And result of covariate unit root test shows that PPP is supported in Belgium, Canada, Germany, Italy, Japan, USA and Sweden. In addition, comparing the power of univariate and covariate unit root tests, we find that CADF test could improve the power.

第一章　緒論…………………………………………………………………………1
　第一節　研究背景………………………………………………………………1
　第二節　研究動機與目的………………………………………………………2
　第三節　本文架構………………………………………………………………4
第二章　文獻回顧……………………………………………………………………5
　第一節　購買力平價之理論背景回顧…………………………………………5
　第二節　購買力平價理論之實證回顧…………………………………………7
第三章　實證模型之設立與檢定方法……………………..……………………....10
　第一節　實證模型建立………………………………..………………..……..10
　第二節　單變量單根檢定方法………………………………………………..10
　第三節　共變量單根檢定與因素分析………………………………………..15
第四章　實證結果與分析…………………………………………………………..19
　第一節　資料來源與研究期間………………………………………………..19
　第二節　最適模型的認定……………………………………………………..20
　第三節　實證步驟……………………………………………………………..24
　第四節　實證結果與分析……………………………………………………..25
第五章　結論………………………………………………………………………..33
參考文獻……………………………………………………………………………..35

一、中文部份
李宜芳，2005，「長期購買力平價再探討－高檢力單根檢定量的應用」，國立暨南國際大學經濟學研究所未出版碩士論文。

李政峰與何祖平，2001，「隨機趨勢抑或確定趨勢?－再探台灣國民所得數列」，經濟論文叢刊，29(3)，341-364。

謝乾泰，2006，「購買力平價再探討－共變量單根檢定之應用」，國立暨南國際大學經濟學研究所未出版碩士論文。

二、英文部份
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