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系統識別號 U0026-1006201510395000
論文名稱(中文) 結構改變與購買力平價說謎團-APEC五國之貿易物價指數與消費者物價指數之實證研究
論文名稱(英文) Structural changes and Purchasing power parity puzzle-The empirical study for TPI & CPI of five countries from APEC
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 103
學期 2
出版年 104
研究生(中文) 李金雀
研究生(英文) Chin-Chueh Li
學號 R87011126
學位類別 碩士
語文別 中文
論文頁數 46頁
口試委員 指導教授-王澤世
口試委員-林軒竹
口試委員-林囿成
中文關鍵字 購買力平價說  貿易物價指數  實質匯率  單根檢定 
英文關鍵字 Purchasing power parity  Trade price index  Real exchange rate  Unit root tests 
學科別分類
中文摘要 理論上,一國央行若採行貶值政策以增加出口,依貿易對手國南韓長期貶值政策而言,其效果是顯著的,因貨幣貶值讓商品相對於外國所生產的同樣商品顯得便宜,進而打開外國市場,貿易順差推升本國貨幣需求,進而造成升值使出口商品價格變貴,直到兩邊市場的物價趨於平衡,此為購買力平價假說的政策運用。
然而除卻政策干擾匯率之影響,當兩國換算成同一幣值的物價水準不相同時,理論上,基於套利理由,物價較便宜的國家之貨幣需求會增加,造成升值直到兩國物價達到平衡;也就是說,在一定的條件假設下,同時透過套利的運作過程,購買力平價關係應是成立的。
不過在實際經濟環境下,理論上的購買力平價假說是否成立有待檢討,多數文獻使用非貿易財比重較高的消費者物價指數(CPI),本文將另外採用出口物價指數(EPI)及進口物價指數(IPI)探討物價指數對購買力平價說成立的影響,研究的國家選定APEC成員國:台灣、新加坡、南韓、泰國以及日本共五國,研究結果顯示未有關鍵性的證據證明物價指數裡貿易財比重的大小,會影響購買力平價說的成立。
本文在研究方法上,採用傳統單根檢定、Panel單根檢定及Ziovt and Andrews單根檢定,因先前研究多半指出傳統單根檢定力薄弱,本文採用Panel單根檢定以克服此問題,但研究結果顯示在前二個單根檢定方法下,購買力平價說均未成立;而考慮了結構改變時點的Ziovt and Andrews單根檢定方法下,CPI與EPI各有三個相異的國家在1%的範圍內顯著,IPI亦有兩個國家在5%的範圍內顯著,因此本研究結論出,在考慮了實質匯率結構改變時點之後,購買力平價說方能成立。
英文摘要 In international finance, Purchasing power parity (PPP) is a very old classic doctrine, to test whether the two countries with a constant real exchange rate is established as a hypothesis elements, assuming that the establishment of PPP is a necessary condition for the establishment of a number of financial theory derived.
Harrod-Balassa-Samuelson effect (HBS) that illustrate the real exchange rate expressed in CPI will be productive impact, making the PPP bias test result, HBS Effect in the real exchange rate because the price index contains non-trade products, it is recommended to use the producer price index (PPI) or Trade Price Index (TPI), are commonly used to replace the study consumer price index (CPI), this article continuation of its recommendations, the use of import price index (IPI), the export price index (EPI) and joined the consumer price index (CPI), in order to compare the three associated with the establishment of the PPP.
This study found that both the traditional unit root tests, Panel unit root tests to include a higher proportion of non-trade products CPI and trade products contain only trade price index (EPI, IPI) , are unable to prove that the PPP establishment. Structural changes Zivot and Andrews (1992) unit root tests to real exchange rate, said the establishment of the CPI and EPI has statistical significance at 1% for three countries, IPI markedly inferior to both the front, so as to select the price index by the content of trade products, may not affect the empirical results.
論文目次 摘要 I
ABSTRACT II
誌謝 VI
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章 文獻探討 4
第一節 PPP理論沿革 4
第二節 購買力平價謎團 6
第三節 物價指數 8
第四節 實質匯率結構改變時點 9
第三章 研究方法 11
第一節 實證模型-建構實質匯率 11
第二節 單根檢定 12
第三節 資料來源與樣本選取 19
第四章 實證結果分析 20
第一節 傳統單根檢定 20
第二節 PANEL單根檢定 25
第三節 結構改變之單根檢定 27
第五章 結論與建議 33
第一節 研究結論 33
第二節 研究建議 34
參考文獻 35
參考文獻 中文部分
李建慧、蘇芳儀 (2008), 「結構改變與購買力平價說-東亞八國之實證研究」, 高雄應用科技大學國際企業研究所碩士論文。
陳美源、陳禮潭 (2003),「購買力平價說與結構性變動-美/台實質匯率之實證研究」,台灣經濟預測與政策,第34卷第1期,93-112。
英文部分
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Taylor, M. P., Peel, D. A. & Sarno, L. (2001), “Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles,” International Economic Review. 42, 1015-1042
Williams, J. C. & Wright, B. D. (1991), Storage and Commodity Markets. Cambridge: Cambridge University Press.
Wu, J. L. & Chen, S. L. (1999), “Are Real Exchange Rates Stationary Based on Panel Unit Root Test? Evidence from Pacific Basin Countries,” International Journal of Finance and Economics, 4, 243-252.
Wu, J. & Chen, P. (2006), “Price indices and Nonlinear Mean-Reversion of Real Exchange Rates,” Southern Economic Journal, 73, No.2, 461-471.
Xu, Z. (2003), “Purchasing Power Parity, Price Indices, and Exchange Rate Forecasts,” Journal of International Money and Finance, 22,105-35.
Zivot, E. & Andrews, D. W. K. (1992), “Further Evidence on Great Cash, the Oil Price Shock and the Unit Root Hypothesis,” Journal of Business and Economic Statistics, 10, 251-270.
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