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.
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。
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