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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/130921

    Title: 長期購買力平價說之實證—以亞洲四小龍為例
    An Empirical research on long-run Purchasing Power Parity: The case of Four Asian Tigers
    Authors: 楊超丞
    Yang, Chao-Cheng
    Contributors: 顏佑銘
    Yang, Chao-Cheng
    Keywords: 購買力平價說
    Purchasing Power Parity Theory
    exchange rate
    price level
    structural change
    unit root process
    Date: 2020
    Issue Date: 2020-08-03 17:25:49 (UTC+8)
    Abstract: 購買力平價說在敘述各國匯率以及物價之間的平價關係,本研究透過不同類型的計量模型進行實證,包括OLS模型、ADF單根檢定以及考慮結構性改變的Zivot and Andrews(1992)單根檢定,資料選擇使用亞洲四小龍(臺灣、韓國、新加坡、香港)這四個國家。而透過本研究的實證結果,我們可以得知不同模型對於購買力平價說具有不同的解釋能力,若未來需要針對匯率做預測時,本研究之結果亦可做為判斷目前匯率處於高檔或低檔的參考依據。

    Purchasing power parity theory describes the parity relationship between exchange rates and price level in various countries. This paper uses different types of models for empirical analysis, including OLS model, ADF unit root test and ZA unit root test published by Zivot and Andrews in 1992; the model can take structure break into consideration. The data includes four Asian countries (Taiwan, South Korea, Singapore, and Hong Kong). Through the empirical results of this study, we can know that different models have different power of interpreting purchasing power parity theory. If we need to predict the exchange rate, the results of this study can also be used as a reference to tell whether the current exchange rate is high or low accordingly.

     The results of this paper show that regardless of the consumer or producer price index, the results of the OLS model part are: even if the time series data after excluding the unit root process still does not support the purchasing power parity; when using the ADF unit root test, the data results do not support the theory that the real exchange rate consistent with purchasing power parity. When considering the ZA model of structural breaks, most of the variables still do not support the theory of purchasing power parity, but a few variables support the theory of purchasing power parity.
    Reference: 中文參考文獻
    王怡雯 (2015),美元-新台幣購買力平價關係實證研究

    李建慧、蘇芳儀(2008),APEC 八國長期購買力平價說:最小LM 單根檢定的驗證


    陳美源、陳禮潭 (2009),購買力平價說與結構性變動—美/台實質匯率之實證研究


    劉明貞 (2012),長期購買力平價說實證分析-以亞洲地區國家為例

    蕭美珠 (1983): 「購買力-台灣之實証研究」, 國立政治大學國際貿易研究所碩士論文。

    Bela Balassa(1964) “Journal of Political Economy” Vol. 72, No. 6, pp. 584-596

    Corbae, D. and Ouliaris, S. (1988): “Cointegration and tests of purchasing power parity,” Review of Economics and Statistics, 70,508-511.

    Dickey, D. A. and Fuller, W. A. (1981): “Likelihood ratio statistics for autoregressive time series with a unit root,” Econometrica, 49,1057-1072.

    Frankel, J. (1981): “The collapse of purchasing power parity during the 1970s,” European Economic Review, 16, 145-165.

    Frankel, J. A (1986), “International Capital Mobility and Crowding Out in the US Economy: Imperfect Integration of Financial Markets or Goods Markets?” in Hafer, R. (ed.), How Open is the US Economy, Lexington: Lexington Books.

    Glen, J.D, 1992, “Real Exchange Rates in the Short, Medium, and Long Run,” Journal of International Economics, 33:147-166.

    Kuan, C.-M. and M.-Y. Chen (1994), “Implementing the Fluctuation and Moving estimates Tests in Dynamic Econometric Models,” Economics Letters, 44, 235–39.

    Lee, J. and Strazicich, M. C. (2001a): “Break point estimation and spurious rejections with endogenous unit root tests,” Oxford Bulletin of Economics and Statistics, 63, 535-558

    Lumsdaine, R. and D. Papell (1997), “Multiple Trend Breaks and the Unit-Root Hypothesis,” Review of Economics and Statistics, 212–18.

    Meese, R. A. and Singleton, K. J. (1982: “On unit roots and the empirical modeling of exchange rates,” Journal of Finance, 37, 1029-1035.

    Nelson, C. R. and C. I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications", J.Monet. Econ. 10, pp.139-162.

    Perron, P. (1989), “The great crash, the oil price shock and the unit root hypothesis,” Econometrica, 57, 1361–1401.

    Said, S. and Dickey, D. (1984): “Testing for unit roots in autoregressive moving average models of unknown order,” Biometrika, 71(3), 599-607.

    Schmidt, P. and P.C.B. Phillips (1992), “LM Test for a Unit Root inthe Presence of Deterministic Trends,”Oxford Bulletin of Economicsand Statistics, 54, 257-287.

    Zivot, E. and D.W.K. Andrews (1992), “Further Evidence on Great Cash, the Oil Price Shock and the Unit Root Hypothesis,”Journal of Business and Economic Statistics, 10, 251-270.
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108351004
    Data Type: thesis
    DOI: 10.6814/NCCU202000724
    Appears in Collections:[Department of International Business ] Theses

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