購買力平價再檢測---連續追蹤選擇法的應用

Reexaming the Purchasing Power Parity---An Application of the Sequential Panel Selection Method

王增智(Zeng-Jhih Wang)

指導教授 ： 欉清全

國立暨南國際大學/管理學院/經濟學系/碩士(2010年)

https://doi.org/10.6837/NCNU.2010.00004

摘要

匯率一直都是國際金融的重要指標，其中關於匯率最重要的學說便是購買力平價假說，購買力平價假說的成立與實質匯率是否具有恆定的性質在許多的文獻上備受爭議，而在傳統單根檢定上具有在檢定力與分辨序列性質之間做選擇的問題：在序列具有高度持續性的時候，一般的單變量單根檢定會有檢力不足的問題，若是使用檢定力較高的追蹤資料法，卻又有無法斷定分辨個別序列性質的缺點，直到Chortareas and Kapetanios (2009) 提出連續追蹤選擇法改善傳統追蹤資料法的缺點。本篇延續Chortareas and Kapetanios 的方法並使用幾乎包含歐洲、亞洲、美洲大部分的國家達73個國家，並且再將國家依性質分類成開發中與已開發國家進行檢定，重新檢定具有高度持續性的實質匯率序列用以證明購買力平價假說的正確性，而在文章的結果上說明，實質匯率多數不具有單根，購買力平價假說應該成立。

關鍵字

購買力平價假說 ； 追蹤資料法 ； 單根檢定 ； 連續追蹤選擇法

並列摘要

Exchange rate has always been an important indicator of international finance. One of the most important theories on the exchange rate is the purchasing power parity hypothesis. The purchasing power parity hypothesis is valid and the real exchange rate has an unit root have been long debated. When we employ the traditional unit root test, it would be a dilemma to choose between the high power and the series properties. When the series have highly consistence, the conventional general unit root test do not have enough power. Furthermore, it would be a problem to identify which one is mean reversion even through we use panel unit root test which has high power. This problem is solved by Chortareas and Kapetanios (2009) , which promote the sequential panel selection method (SPSM) .
　　This study follows the method of Chortareas and Kapetanios (2009) and we provide empirical evidence by using 73 countries data contain almost all country of America, Asia and Europe. To provide different results, we classify the countries into the developing countries and the developed countries, and then reexaming the purchasing power parity hypothesis. In the end of this study, we have a conclusion that the purchasing power parity hypothesis is valid.

並列關鍵字

Purchasing Power Parity Hypothesis (PPP) ； Unit roots ； Panel ； Sequential Panel Selection Method (SPSM)

參考文獻

Abuaf, N. and P. Jorion (1990). "Purchasing power parity in the long run." Journal of Finance 45(1): 157-174

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