A Nonlinear View of Long-Run PPP Using Cross-Sectionally Dependent Heterogeneous Panels

非線性長期購買力平價說：使用橫斷面相依異質追蹤資料的檢定

陳奕奇(Yi-Chi Chen) ； 林常青(Chang-Ching Lin) ； 冼芻蕘(Chor-yiu Sin)

《經濟論文叢刊》 47卷1期 (2019/03) Pp. 1-40

https://doi.org/10.6277/TER.201903_47(1).0001

摘要

Empirical studies have flourished on long-run PPP using panel unit root tests, which supposedly have high power. In this paper, we adopt, in a panel data context, a nonlinear multiple-regime model, namely Threshold Autoregression (TAR), and perform a panel unit root test for each regime in the TAR. This new procedure takes advantage of two existing approaches: the inference for a TAR model with a unit root, and the panel unit root tests with the augmented panel Dickey-Fuller regression. The real exchange rate dynamics in a panel of 17 OECD countries over the recent floating exchange rate period are investigated. Three distinct regimes are identified. In particular, the support for long-run PPP is much stronger in the post-Maastricht-Treaty period than the period before; in the pre- Maastricht-Treaty period, there is some evidence for long-run PPP when the sterling-dollar appreciated, while the evidence is weak when the sterling-dollar depreciated. Our results are robust to expanding the data set to 2012, using the euro foreign exchange reference rates.

關鍵字

asymmetric adjustment ； cross-sectional dependence ； long-run PPP ； real exchange rate ； threshold autoregression (TAR)

並列摘要

過去相當多研究長期購買力平價說（PPP）的文獻，在進行單根檢定時，俱使用追蹤資料以提升其檢定力。本文在橫斷面相依之追蹤資料架構下，採用非線性門檻自我迴歸（TAR）模型，並針對不同匯率狀態進行追蹤資料的單根檢定。我們提出一個嶄新檢定程序，結合兩種現有方法的優點：（一）單根下TAR模型的統計推論，以及（二）擴展的Dickey-Fuller追蹤資料迴歸式的單根檢定。本文分析資料包含17個OECD國家在近期浮動匯率期間的實質匯率。結果發現三個不同的匯率狀態，特別是在馬斯垂克條約（Maastricht Treaty）後期，支持長期購買力平價的證據較爲強烈；在馬斯垂克條約前期，當英鎊（兌美元）升值時，存在一些長期購買力平價的證據，然而在英鎊貶值時，證據較爲薄弱。即使將資料延長至2012年，這些實證結果仍具穩健性。

並列關鍵字

不對稱調整 ； 橫斷面相依性 ； 長期購買力平價 ； 實質匯率 ； 門檻自我迴歸

參考文獻

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