臺灣博碩士論文加值系統

自從希臘發生主權債務危機(sovereign debt crisis)後，其風暴蔓延擴展至歐盟(European Union)之全體會員國，也再度挑戰歐洲實施貨幣統一使用歐元追求經濟整合的目標，因此購買力平價說(purchasing power parity；ppp)是否仍成立也再度被質疑。針對此目的，本文試圖檢驗歐盟之歐元區與非歐元區購買力平價說是否成立？採用統一貨幣歐元(euro) 1999.01~2010.03之期，研究方法採新的非線性門檻單根檢定(nonlinear threshold unit test)方法檢驗雙邊的實質匯率(bilateral real exchange rates；RERs)。由於過去的研究文獻探討中發現不同的實證結果，但歐元區之購買力平價說的有效性也逐漸增加理論性的論點，而部分文獻也提及RERs 呈現出非線性均值回復的特性。RERs 存在非線性的情況，可能潛在的原因：一、交易成本與貿易障礙引起相同財貨在不同空間市場出現價格落差誘使國際財貨的套利行為出現；二、政府在外匯市場的干預會使名目與實質匯率偏離長期均衡水準匯率最後都會以非線性調整至均衡水準。因此，促使我們進一步利用非線性門檻單根檢定(nonlinear threshold unit test)方法捕捉其非線性均值回復的性質。就現今的PPP 相關的文獻中採非線單根檢定方法討論歐元國家雙邊匯率的文章尚且不多。因此，本研究應用Caner and Hansen (2001)兩位學者所提出的非線性門檻單根檢定(nonlinear threshold unit test) 雙邊的實質匯率(bilateral real exchange rates；RERs)，驗證購買力平價說(purchasing power parity；ppp)是否仍成立，即檢驗歐盟統一貨幣使用歐元後，歐洲經濟整合程度的成功於否？

關鍵詞：購買力平價說（purchasing power parity）；非線性門檻單根檢定（nonlinear threshold unit test）；實質匯率（real exchange rates）；經濟整合（economic integration）

An Empirical Investigation of Purchasing Power Parity
for European Economic Integration
Student: Yu-Li Pai Advisor: Prof. Chin-Chia Liang
DA-YEH UNIVERSITY

ABSTRACT
Since the crisis resulted from a Greek sovereign debt issue into a comprehesive financial crisis for the European Union (EU) as a whole. For the purpose, in this paper we examine convergence towards purchasing power parity (PPP) within the European Union (EU). The data are monthly for the period 1999.01~2010.03 after the Maastricht Treaty Meeting that introduction of the euro.
The study applies a new nonlinear threshold unit root test to the bilateral real exchange rates (RERs). The mixed evidence found in the earlier studies on the validity of PPP within the euro area added to the accumulating theoretical argument and the evidence that some RERs exhibit nonlinear mean reversion motivate us to use nonlinear unit root tests to further test the validity of PPP within the euro zone and between the euro area and other primary partners. The existence of nonlinearity in RERs, which is one potential source arises from nonlinearities in international goods arbitrage because of factors such as transportation costs and trade barriers, causes a price gap among similar goods traded in spatially separated markets. Another source of nonlinearity in RERs comes from official interventions in the foreign exchange market, which might cause the nominal and RERs to move away from the equilibrium levels. The exchange rates may adjust nonlinearly toward their long-run equilibrium with the speed of adjustment varying with the distance from the equilibrium level. To our best knowledge, the direct application of nonlinear unit root tests to the bilateral RERs of the euro area countries is absent in literature. In our study, we apply the methodology developed by Caner and Hansen (2001) that allows us to simultaneously investigate non-stationarity and nonlinearity of RERs to test the Economic Integration is success or not?

Key Words: Purchasing Power Parity; Nonlinear Threshold Unit Test;
Real Exchange Rates; Economic Integration

內 容 目 錄
中文摘要　．．．．．．．．．．．．．．．．．．．．． iii
英文摘要　．．．．．．．．．．．．．．．．．．．．． iv
誌謝辭　　．．．．．．．．．．．．．．．．．．．．． v
內容目錄　．．．．．．．．．．．．．．．．．．．．． vi
表目錄　　．．．．．．．．．．．．．．．．．．．．． vii
圖目錄　　．．．．．．．．．．．．．．．．．．．．． viii
第一章　　緒論．．．．．．．．．．．．．．．．．．． 1
　　第一節　　研究背景與動機．．．．．．．．．．．． 1
第二節　　研究目的．．．．．．．．．．．．．．． 4
　　第三節　　研究流程與架構．．．．．．．．．．．． 5
第二章　　文獻回顧．．．．．．．．．．．．．．．．． 7
　　第一節　　購買力平價說文獻探討．．．．．．．．． 7
　　第二節　 非線性的單根檢定文獻探討．．．．．．． 13
第三章　　理論模型．．．．．．．．．．．．．．．．． 18
第四章　　實證方法．．．．．．．．．．．．．．．．． 20
第五章　　實證結果分析．．．．．．．．．．．．．．．． 22
第一節　　資料來源與說明．．．．．．．．．．．．． 22
第二節　　門檻單根檢定．．．．．．．．．．．．．． 23
第六章　　結論．．．．．．．．．．．．．．．．．．． 29
參考文獻．．．．．．．．．．．．．．．．．．．．．． 31







表 目 錄
表5-1 資料來源說明．．．．．．．．．．．．．．．． 22
表5-2 門檻檢定(Threshold test) &門檻單根檢定(Threshold unit root test)總表．．．．．．．．．．．．．．． 24
表5-3 門檻檢定(Threshold test)結果．．．．．．．．．． 25
表5-4 門檻單根檢定(Threshold unit root test)結果．．．． 27


圖目錄
圖 1-1 研究架構與流程．．．．．．．．．．．．．．． 5

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