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研究生:蘇芳儀
研究生(外文):Fang-Yi Su
論文名稱:結構改變與購買力平價說-東亞八國之實證研究
論文名稱(外文):Structural breaks and purchasing power parity -The empirical study for eight countries of East Asian
指導教授:李建慧李建慧引用關係
指導教授(外文):Chien- Hui Lee
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:國際企業研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:62
中文關鍵詞:實質匯率最小LM單根檢定購買力平價說Panel LM 單根檢定
外文關鍵詞:real exchange rateminimum LM unit root testPanel LM unit root testPPP
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本研究利用Lee and Strazicich (2003) 最小LM (Minimum Lagrange Multiplier)單根檢定去檢定1973至2007年東亞八國(台灣、日本、南韓、新加坡、馬來西亞、泰國、菲律賓及印尼)的實質匯率是否恆定以判斷東亞八國的長期購買力平價說是否成立。傳統單根的檢定的實證結果顯示出東亞八國的實質匯率只有少數為恆定,違反長期購買力平價說的假設。
本研究利用考慮一個與二個未知結構改變時點的Lee and Strazicich (2003)最小LM單根檢定可發現東亞八國的實質匯率具恆定的國家數較傳單根檢定方法來得多。本研究主要發現採取不同的物價指數(CPI與WPI)會使單根檢定的結果有所不同,檢定東亞八國的實質匯率以WPI為物價指數其恆定的國家數會比以CPI為物價指數來得多。
在本研究之前,國內的研究中有考慮結構改變的單根檢定方法中尚無任何方法可證明購買力平價說成立。而本研究中不論採取何種物價指數,在考慮一個或二個未知結構改變時點的Panel LM單根檢定時,皆能證明購買力平價說成立的假說。
In this paper, we apply a newly-developed and refined panel stationary test with structural breaks, as advanced by Lee and Strazicich (2003) minimum Lagrange Multiplier unit root test with one and two structural breaks to examine PPP for eight countries (Taiwan, Japan, South Korea, Singapore, Malaysia, Thailand, Philippines, Indonesia) within East Asian during 1973–2007. The empirical results from unit root tests which do not take structural breaks into account indicate that real exchange rates are not stationary, inconsistent with PPP hypothesis.
When we apply Lee and Strazicich (2003) minimum Lagrange Multiplier unit root test with one and two structural breaks, we find that real exchange rates of East Asian eight countries have more countries are stationary than traditional unit root tests with no break. It turns out that our finding based on an array of unit root tests appears to be variant to the choice of the price index(CPI and WPI). It is far likelier to get rejections using WPI data as opposed to CPI data.
Before this paper, domestic empirical results from unit root tests which take structural breaks into account indicate that real exchange rates are not stationary, inconsistent with PPP hypothesis. But in this paper apply panel stationary test with structural breaks, as advanced by Im and Lee (2001) Panel Lagrange Multiplier unit root test with one or two structural breaks to examine PPP for eight countries within East Asian during 1973–2007 which consistent with PPP hypothesis.
摘 要 i
Abstract ii
誌 謝 iii
表目錄 v
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究架構 3
第二章 文獻回顧 4
第一節 絕對PPP理論模型 6
第二節 相對PPP理論模型 6
第三節 實質匯率 7
第四節 考慮結構改變時點的實質匯率之文獻回顧 9
第三章 研究方法 13
第一節 Zivot and Andrews (1992)單根檢定 13
第二節Lumsdaine and Papell (1997)單根檢定 16
第三節 Lee and Strazicich (2003)LM單根檢定 20
第四節Im ,Lee and Tieslau (2005) Panel LM單根檢定 25
第四章 實證結果分析 29
第一節 資料選擇與說明 29
第二節 單根檢定的結果 30
第三節 一個未知結構改變點的單根檢定結果 34
第四節 二個未知結構改變點的單根檢定結果 35
第五節 未知結構改變點的最小LM單根檢定結果 37
第六節 結構改變時點的討論 42
第五章 結論與建議 45
參考文獻 48
附表一 物價指數為CPI之實質匯率敘述統計量 56
附表二 物價指數為WPI之實質匯率敘述統計量 57
附表三 考慮結構改變時點的實質匯率之國內相關文獻回顧 58
附表四 考慮結構改變時點的實質匯率之國外相關文獻回顧 59
附圖一 物價指數為CPI之實質匯率走勢圖 60
附圖二 物價指數為WPI之實質匯率走勢圖 61
附圖三:模型A:外生性水準值變動 62
附圖四:模型B:外生性時間趨勢變動 62
附圖五:模型C:外生性水準值與時間趨勢同時變動 62

表目錄
表4-1 各國選取時間 29
表4-2 計算公式 30
表4-3 傳統單根檢定-物價指數為CPI 32
表4-4 傳統單根檢定-物價指數為WPI 33
表4-5 考慮一個結構改變點的單根檢定-ZA test 35
表4-6 考慮二個結構改變點的單根檢定-LP test 37
表4-7 未考慮結構點之Minimum Lagrange Multiplier單根檢定 40
表4-8 考慮一個結構點之Minimum Lagrange Multiplier單根檢定 40
表4-9 考慮二個結構點之Minimum Lagrange Multiplier單根檢定 41
表4-10 考慮結構改變點,實質匯率具恆定性質的國家數比率 42
參考文獻
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