單一貨幣區匯率與物價關聯性之實證研究

The Empirical Investigation of the single currency area of the exchange rate and price index associated

邱紫瑄(TZ-SHIUAN CHIOU)

指導教授 ： 賴靖宜

國立中正大學/管理學院/財務金融學系/碩士(2016年)

摘要

由於匯率制度的改變，再加上歐盟崛起成立歐元區，歐洲與美國間的國際貿易日趨頻繁，購買力平價理論越來越受到重視，由文獻探討得知學者們對於購買力平價理論成立與否沒有共識。一般而言用來探討購買力平價理論的方法，係利用單根檢定量對實質匯率作檢定。然而使用單根檢定量必須注意到資料具有序列相關時所衍生的問題，以及虛無假設與對立假設上的設定問題。因此，本論文利用Johansen共整合檢定探討購買力平價理論，並使用 2000年1月至2015年6月美元兌歐元的匯率資料。 筆者將時間序列資料透過ADF檢定，發現美國消費者物價指數(USCPI)、德國消費者物價指數(GMCPI)、法國消費者物價指數(FRCPI)、希臘消費者物價指數(GRCPI)、愛爾蘭消費者物價指數(IRCPI)及美元兌歐元匯率(EDU)的月資料序列皆為I(1)序列。接著利用Johansen共整合檢定來探討物價與匯率的關係，實證結果指出僅有德美匯率組消費者物價指數(CPI)與匯率至少存在1個共整合關係，餘三組CPI與匯率沒有共整合關係，意即德國與美國存在長期購買力平價說，法國、希臘和愛爾蘭與美國不存在長期購買力平價說。

關鍵字

共整合檢定

並列摘要

As a result of the exchange rate system change, in addition European Union rises the being established Euro zone, international trade between European and US's become more frequent, the purchasing power parity (PPP)theory more and more receives takes, by the literature discussion knew the scholars do not have consensus regarding the PPP theory establishment. Generally speaking, used to investigate the method of PPP, it takes advantage of a single root test for the amount of the real exchange rate for the test. However, using a single root test must be noted that the amount of information associated with time series derived problems, issues and setting the null hypothesis and the alternative hypothesis on. Thus, this thesis Johansen co-integration test to explore PPP theory, and using January 2000 to June 2015 against the euro exchange rate information.
It is found by ADF test that the US consumer price index (USCPI), the German consumer price index (GMCPI), French consumer price index (FRCPI), Greek consumer price index (GRCPI), Ireland consumer prices index (IRCPI) and the US dollar against the euro (EDU) monthly data series are all (1) sequence I. Then use Johansen co-integration test to investigate the relationship between prices index and the exchange rate, the empirical results indicate that only Germany and the United States exchange rate and consumer price index (CPI) have at least one co-integration relationship, more than three CPI do not have co-integrated relationship , which means that Germany and the United States say the presence of long-term PPP,

並列關鍵字

Johansen co-integration test

參考文獻

林佳宜 (2014) ，「檢定物價與匯率互動關係-以美國、中國為例」，中正大學財務金融研究所碩士論文。

Adler, M. and B. Lehmann (1983), Deviations from Purchasing Power Parity in the Long Run, Journal of Finance, 39, pp.1471-1487.

Balassa, B. (1964), The Purchasing Power Parity Doctrine: A Reappraisal, Journal of Political Economy, 72, pp.584-596.

Branson, William H. Asset markets and relative prices in exchange rate determination. No. 20. International Finance Section, Department of Economics, Princeton University, 1980.

Cassel, G. (1926) The Present Situation of the Foreign Exchanges, Economic Journal, 26, pp.62-65.