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研究生:崔靜惟
研究生(外文):Ching-Wei Tsui
論文名稱:馬可夫轉換模型下購買力平價說之實證研究-以亞洲國家為例馬可夫轉換模型下購買力平價說之實證研究-以亞洲國家為例
論文名稱(外文):Purchasing Power Parity and Markov Regime Switching – Evidence from Asian Countries
指導教授:李建慧李建慧引用關係
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:國際企業系
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:2009
畢業學年度:97
語文別:中文
論文頁數:69
中文關鍵詞:實質匯率購買力平價說馬可夫轉換單根檢定
外文關鍵詞:real exchange ratePurchasing Power ParityMarkov switchingUnit root test
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過去探討購買力平價說之文獻眾多,卻一直無法得到一致的結果,其原因可能是過去文獻皆在線性的假設下對實質匯率做單根檢定,因此無法有效掌握匯率非線性之波動行為,而過去已有不少文獻證明,以非線性模型進行購買力平價說檢定為合理。因此本文運用Hamilton(1989)的馬可夫轉換下的ADF單根檢定來探討實質匯率,檢定實質匯率是否符合購買裡評價理論。
本文研究對象為亞太地區國家-台灣、南韓、日本、新加坡、馬來西亞、泰國、印尼、菲律賓,選取1973年至2008年間的月資料,並探討不同的物價指數(CPI 與 WPI)對實驗結果的影響。
在本研究之前,國內以非線性假設的單根檢定研究方法之文獻不多,且以STAR模型居多。而本研究採MS-ADF單根檢定模型的結果證明,在兩種狀態下,購買力平價說在大部分國家成立。
According to the purchasing power parity hypothesis, prices in different countries should move towards equality in common currency terms. There has been significant interest in the empirical performance of the PPP hypothesis. Initial studies were in general unfavorable for PPP. Recent research has found that linear model do not support the long-run PPP for real exchange rates. Some research found nonlinear dynamic in real exchange rates.
This paper uses a Markov-switching model to test for long-run purchasing power parity among a sample of eight Asian countries. Standard univariate unit root testing suggests that real exchange rates are generally non-stationary. And we find that MS-ADF test suggests the stationary real exchange rates in two regimes.
目錄
摘 要 i
Abstract ii
致謝 iii
表目錄 vi
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 絕對購買力平價說 5
第二節 相對購買力平價說 6
第三節 實質匯率 6
第四節 實證研究回顧 8
第五節 非線性模型之實證結果 9
第六節 馬可夫轉換模型之相關文獻 11
第三章 研究方法 14
第一節 馬可夫轉換模型 14
第二節 ADF單根檢定 28
第三節 馬可夫轉換單根模型 29
第四章 實證結果分析 32
第一節 資料選擇與說明 32
第二節 線性模型下之單根檢定結果 33
第三節 馬可夫轉換模型下之單根檢定結果 35
第五章 結論與建議 50
參考文獻 53
附錄 60
參考文獻
一、中文部分
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5.蔡雅媚,2006,亞太地區國家購買力平價說之實證研究,中山大學經濟學研究所碩士論文。
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