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頁籤選單縮合
題 名 | 以臺灣實質匯率驗證購買力平價學說--差分恆定單根檢定法的應用=Using the Taiwan Real Exchange Rates to Test Purchasing Power Parity Theory--The Application of Difference Stationary Unit Root Tests |
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作 者 | 蘇明俊; | 書刊名 | 國立中興大學臺中夜間部學報 |
卷 期 | 2 1996.11[民85.11] |
頁 次 | 頁223-241 |
分類號 | 563.24 |
關鍵詞 | 單根檢定; 購買力平價學說; 絕對的PPP; 實質匯率; 趨勢恆定; 差分恆定; ADF檢定統計量; DF檢定統計量; Unit root tests; Purchasing power parity theory; Absolute PPP; Real exchange rates; Trend stationarity; Difference stationarity; ADF-statistic; DF-statistic; |
語 文 | 中文(Chinese) |
中文摘要 | 本文利用行政院主計處的整體統計資料庫1981年1月至1994年12月的躉售物 價總指數、進口物價總指數、農產品躉焦物價指數及農產品進口物價指數等之月 資料,分別計算以貿易財及農產品表示的臺灣實質匯率,並用差分恆定單根檢定 法驗證臺灣實質匯率是否具有單根,以檢定PPP在臺灣是否成立﹖ADF檢定統計 量的驗證結果,顯示無論是以貿易財或是以農產品表示的臺灣實質匯率均不具有 單根而有確定趨勢,所以PPP在臺灣成立,即臺灣匯率會反映國內外商品價格(或 國內外物價)相對的比率;不過,若以DF檢定統計量的驗證結果,以貿易財表示 的臺灣實質匯率均具有單根而有隨機趨勢,所以PPP在臺灣不成立。但是,以農 產品表示的臺灣實質匯率是否具有單根,則須視驗證模型是否含有漂浮項、時間 項及遞延期數而決定。 |
英文摘要 | In this paper, the hypothesis of purchasing power parity (PPP) are tested for the real exchange rates in terms of tradeable goods and agricultural products calculated individually by the monthly data of wholesale price index, inport price index, agricultural wholesale price index and agricultural import price index of Statistical Data Bank of Directorate- General of Budget, Accounting and Statistics. Executive Yuan. The period covers January, 1981 to December, 1994. The difference stationary unit root tests examine whether the Taiwan real exchange rates have unit roots to reject or support the hypothesis of purchasing power parity in Taiwan. No matter what the Taiwan real exchange rates in terms of tradeable goods or agricultural products, The results of ADF-statistic show that they do not have unit roots with deterministic trends. Therefore, the PPP holds in Taiwan. However, the outcomes of DF-statistic indicates that the Taiwan real exchange rates in terms of tradeable goods have unit uoots with stochastic trends. Thus, the PPP doesn't exist in Taiwan. Whether the Taiwan real exchange rates in terms of agricultural products have unit roots depends the testing models have the driftterm, the time-trend and the lag length. |
本系統中英文摘要資訊取自各篇刊載內容。