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研究生:江姿葶
研究生(外文):Chiang Tzu Ting
論文名稱:長期購買力平價說之驗證---以OECD國家為例
論文名稱(外文):Tests on long run PPP: a case of OECD members
指導教授:胡春田胡春田引用關係
學位類別:碩士
校院名稱:中國文化大學
系所名稱:經濟學研究所
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:2007
畢業學年度:95
語文別:中文
論文頁數:60
中文關鍵詞:長期購買力平價說panel單根檢定panel共整合檢定充分修正最小平方法
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購買力平價說(Purchasing Power Parity)是決定匯率的重要理論之一。根據定義,名目匯率等於兩國的物價比,當本國貨幣升值時,代表外國物價相對於本國會下跌,因此本國會多進口外國商品,進而造成本國物價下跌;相反的,當本國貨幣貶值時,代表外國物價相對於本國會上升,因此本國會多出口到外國,進而造成外國物價下跌。最後,兩國物價將會維持相同的水準,這就是單一價格法則(Low of One Price)。但在實際上,一個國家的物價通常會受到交易成本、關稅等影響,導致兩國的物價比不會維持在相同的水準上。因此許多學者開始研究長短期的購買力評價說是否成立。短期購買力評價說不成立,已成為許多學者的共識;但對於長期購買力評價說是否成立,則還沒有一致的答案。
近年來對購買力評價說的研究可分為兩個部分:第一是探討長期購買力平價說是否成立;第二則是試圖解釋購買力平價說迷思(PPP Puzzle)。購買力平價說迷思主要是探討實質匯率在長期時會收斂到均衡,但收斂的速度卻非常緩慢,這個收斂的速度學者們稱為半衰期(half-life),意思是當給定一個衝擊(shock)時,要經過多久的時間才能使衝擊的效果減少一半,一般估計大約是3到5年,但是Rogoff認為收斂速度為3到5年似乎太慢,這就是購買力評價說迷思。本研究主要的目的就是探討長期購買力平價說是否成立。本研究主要以OECD的國家來探討匯率與物價間是否存在長期的關係。利用Panel單根檢定來檢定14個OECD的國家是否存在有單根,如果存有單根表示這個國家的序列不穩定。接著對存有單根的國家進行共整合的檢定,來判斷這些國家匯率與物價間是否存在著長期的關係。最後利用Pedroni(1996)的充分修正最小平方法(fully modified OLS)來檢定這14個國家的共整合係數 值是否等於一,即檢定這14個國家的長期購買力平價說是否成立。
目錄……………………………………………………………………………………I
表次………………………………………………………………………….............. II
圖次……………………………………………………………………………........ IV
第一章 導論…………………………………………………………………………..1
第一節 研究動機與目的………………………….…………………………….2
第二節 本文特色與架構…………………………….………………………….4
第二章 文獻回顧…………………………………………………………………….5
第一節 國外文獻……………………………….……………………………….5
第二節 國內文獻………………………………………………………………15
第三章 理論架構與實證模型………………………………………………………18
第一節 理論模型……………………………………………………………..20
第二節 實證模型………………………………………………………..……22
第四章 實證結果……………………………………………………………………31
第一節 資料說明與來源…………………………………………………….31
第二節 時間序列分析……………………………………………………….32
第三節 Panel 分析..........................................................................................36
第四節 小節………………………………………………………………….40
第五章 結論…………………………………………………………………………51
參考文獻………………………………………………………………………..........55
附錄…………………………………………………………………………………..60
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