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題 名 | 臺灣購買力平價說之實證模型與分數共整合分析=Empirical Models and Fractional Cointegration Analysis of Taiwan's Purchasing Power Parity Relationships with Its Major Trading Partners |
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作 者 | 劉曦敏; 林曉芬; | 書刊名 | 經社法制論叢 |
卷 期 | 26 2000.07[民89.07] |
頁 次 | 頁309-345 |
分類號 | 552.33 |
關鍵詞 | 購買力平價說; 分數共整合; Purchasing power parity; Fractional cointegration; |
語 文 | 中文(Chinese) |
中文摘要 | 本文發現以國內物價為被解釋變數、經匯率轉換的(以臺幣幣值表示的)國外物價和時間趨勢為解釋變數的實證模型最適宜用來測試臺灣的購買力平價說。在1987年到1995年間,臺灣與其貿易關係密切的十三個國家與地區中,相對購買力平價說在美、港、德、新、馬、荷、泰、法等八國成立,而在日、韓、英、印、加等五國不成立。因真實匯率均為非定態,國內物價與國外物價多國現多呈趨勢相關。而我們的結果亦隱含,對我國物價影響程度最大的為美國和大陸(由香港與新加反應),其次為歐盟(荷蘭、法國與德國)和東南亞(泰國與馬來西亞)。此外,一般化的分數共整合分析是得到這些結論的關鍵因素。 |
英文摘要 | This paper finds that the most appropriate empirical model to investigate relative PPP relationships for Taiwan is one using domestic price as dependent variable and transferred foreign price and time trend as independent variables. The PPP relationships between Taiwan and its eight major trading partners: America, Hong Kong, Germany, Singapore Malaysia, the Netherlands, Thailand and France, are valid during the period of 1987 to 1995. In contrast, the PPP relationships between Taiwan and Japan, Korea the United Kingdom, Indonesia and Canada are invalid. Due to nonstationary series of real foreign exchange rates, Taiwan's, and most of its trading partner's prices are cointegrated with a linear time trend. It is also implied that our domestic price is influenced most severely by the US and mainland China (through Hong Kong and Singapore), the by EC (the Netherlands, France and Germany) and South-East Asian (Thailand and Malaysia) countries. Moreover, these significant results are obtained using a general method of fractional cointegration analysis. |
本系統中英文摘要資訊取自各篇刊載內容。