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研究生:林佳宜
研究生(外文):LIN,CHIA I
論文名稱:檢定物價與匯率互動關係 -以美國、中國為例
論文名稱(外文):Relationships between Price Level and Exchange Rate-The Case of USA and China
指導教授:何加政何加政引用關係
口試委員:林文昌王慶昌
口試日期:2014-07-19
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:中文
論文頁數:50
中文關鍵詞:匯率物價指數共整合檢定因果關係
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匯率制度變革加上國際貿易日趨熱絡,所以購買力平價說越來越受到重視,由文獻探討知道近來學者們對購買力平價說的成立與否並無一致性看法,支持與反對的學者勢均力敵。因此本文運用時間序列模型探討整體樣本期間,美國與中國之間的物價與匯率的互動關係,樣本使用1996年5月至2012年12月,中國和美國的消費者物價指數、生產者物價指數以及美元兌人民幣匯率。
經由ADF檢定,發現中國和美國的消費者物價指數、生產者物價指數以及美元兌人民幣匯率的月資料序列具有單根性質,進一步一階差分後為定態,為I(1)序列。利用Johansen共整合檢定來探討物價與匯率的關係,經過共整合檢定知道序列間存在著共整合的向量關係,也就是說變數間俱有長期均衡關係。我們再以誤差修正模型,來了解匯率與物價間的影響過程和因果關係,由實證結果,我們可以看到匯率與中國消費者物價指數存在雙向因果關係,而中國生產者物價指數、美國消費者物價指數、美國生產者物價指數各自的走勢高低會影響著匯率的走向,也就是說,匯率的升貶會受到這三種物價指數的影響。

論文摘要 I
謝誌 II
目錄 III
圖表目錄 IV
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究架構 3
第二章 理論與文獻回顧 5
第一節 匯率的決定 5
第二節 物價指數 16
第三節 購買力平價說文獻回顧 17
第三章 研究方法 20
第一節 購買力平價說 20
第二節 單根檢定 21
第三節 共整合檢定 23
第四節 Granger因果關係檢定 25
第四章 實證結果與分析 30
第一節 資料來源與說明 30
第二節 敘述性統計 30
第三節 單根檢定 32
第四節 最適落後期數選取 33
第五節 向量自我迴歸模型(VAR) 34
第六節 共整合檢定 35
第七節 VECM模型關係檢定 37
第八節 Granger因果檢定 40
第五章 結論 43
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