購買力平價說與結構性變動 ─ 美／台實質匯率之實證研究

Purchasing Power Parity and Structural Changes: The Empirical Study of Real Exchange Rate Between Taiwan and the United States

陳美源(Mei-Yuan Chen) ； 陳禮潭(Lii-Tarn Chen)

《臺灣經濟預測與政策》 Volume 34 Issue 1 (2003/07) Pp. 93-112

Abstracts

本文旨在探究美／台間購買力平價與結構性變動之相關命題，研究範圍包含檢定美／台間實質匯率是否有未知時點的結構性變動、估計結構性變動的發生時點、以及判別具結構性變動的實質匯率是否具有單根性質。我們以Kuan-Chen(1994)的檢定方法作為檢定結構性變動是否存在的基礎，並以Lee-Strazicich(1999)的minimum LM檢定法作為具結構性變動之單根檢定的基礎。實證結果發現美／台間的實質匯率存在兩個結構性變動，但仍依循非恆定過程，因此證據顯示在有結構性變動情況下，美／台間之購買力平價仍未成立。

Keywords

購買力平價 ； 實質匯率 ； 結構性變動

Parallel abstracts

The purpose of this paper is to explore the topics relevant to the Purchasing Power Parity (PPP) and structural changes. Issues of testing structural changes of unknown timing, estimation of the timing of structural breaks, and distinguishing unit roots from structural breaks are investigated for the real exchange rates between the U.S. and Taiwan. Based on the Kuan and Chen (1994) test for the hypothesis of the existence of structural changes and on the Lee and Strazicich (1989) minimum LM test for unit root with breaks, we found that the real exchange rate is found to have two structural breaks and still exhibits a nonstationary process. In other words, evidence shows that the PPP between the U.S. and Taiwan does not hold even if structural changes are taken into consideration.

Parallel keywords

Purchasing power parity ； Real exchange rates ； Structural changes.

References

Abuaf, N., Jorion, P.(1990).Purchasing Power Parity in the Long Run.Journal of Finance.45

Bai, J.(1997).Estimating Multiple Breaks One at a Time.Econometric Theory.13

Bai, J., Perron, P.(1998).Testing for and Estimation of Multiple Structural.Econometrica.66

Chen, M. Y.(1994).Tests for Parameter Constancy in Dynamic and Non-Gaussian Models.Department of Economics, University of Illinois.

Chen, M. Y.(2001).Testing Structural Changes in Unit-Root Autoregressive Process.