購買力平價再探討──共變量傅立葉單根檢定之應用

自布列頓森林制度（Bretton Woods system）瓦解後，各國紛紛改採浮動匯率制度，而購買力平價理論為決定實質匯率的重要理論之一，因此吸引許多學者研究此議題，以各種檢定方式來驗證購買力平價是否成立。本研究以Tsong et al. (2013)共變量傅立葉型態的單根檢定來探討購買力平價在各國的成立情形，並同時檢驗結構性變動與非對稱調整是否存在於各國的實質匯率，CFF檢定有四大特色：加入共變量來提升檢力、以傅立葉型態模擬結構變動的存在、能考慮到非對稱調整、適用於非線性經濟變數。資料採用期間則是布列頓森林崩潰後(西元1973年)至今(西元2014年)，樣本國家則多達三十二國，包括開發中國家與已開發國家。從實證結果得知，透過加入共變量確實可增加統計量的檢定力。在同一水準下，以名目匯率為共變量時，實質匯率恆定的國家高達十五個，而以單變量單根檢定檢驗時，僅有五個國家支持購買力平價理論成立。

關鍵字

購買力平價；實質匯率；傅立葉型態；共變量單根檢定；結構變動；非對稱調整

並列摘要

After Bretton Woods system collapsed, during the post-1973 flexible exchange rate period , Purchasing Power Parity become important and attracted a lot of attention. Because PPP can be served as a forecasting guideline for future exchange rate movements, many economists develop new unit root test to examine on the issue. This study examines Purchasing Power Parity by employing the Covariate Fourier unit root test proposed by Tsong et al.(2013),the feature of this test includes：(1) using covariates to boost the testing power;(2) employing the Fourier form to accommodate possible trend breaks of unknown number, unknown dates, and unknown form ; (3) considering possible asymmetric STAR adjustments under the alterative;(4) can be suitable for nonlinear variables. The data we adopted between 1973Q1 and 2014Q4 from International Financial Statistics ,includes developed countries and developing countries, for 32 countries. Our empirical results show that the CFF test has higher power than traditional univariate tests, through adding covariate to model, especially taking nominal exchange rate as covariate, the number of countries supports PPP is 15 ,and only 5 countries have mean-reverting real exchange rate.