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系統識別號 U0002-0106200916281400
中文論文名稱 購買力平價說之非線性平滑狀態轉換模型分析
英文論文名稱 Analysis for Purchasing Power Parity of nonlinear smooth transition switching model
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 97
學期 2
出版年 98
研究生中文姓名 王郁萍
研究生英文姓名 Wang Yu Ping
學號 696530657
學位類別 碩士
語文別 中文
口試日期 2009-05-13
論文頁數 67頁
口試委員 指導教授-莊武仁
委員-林筠
委員-劉邦典
委員-黃河泉
中文關鍵字 購買力平價說  線性檢定  非線性平滑狀態轉換模型 
英文關鍵字 Purchasing Power Parity  linear test  nonlinear smooth transition switching model 
學科別分類 學科別社會科學商學
中文摘要 本文應用Teräsvirta(1994)所提出的線性檢定方法,配適出最適當的非線性雙門檻平滑狀態轉換模型和顯著的雙門檻,再檢定轉換變數門檻值內、外的區間後發現,門檻內的購買力平價說不會成立,而在門檻外的購買力平價說會成立,我們認為是因為名目匯率存在中立區間而導致上述現象的存在,而阻礙PPP成立之障礙又為中立區間存在之原因,阻礙PPP成立之障礙包括市場中存在交易成本、關稅、投資人異質性預期和央行干預等,以經濟學角度可視其為一機會成本;當市場失衡且套利之利得大於套利之機會成本時,隱含其偏離PPP的程度夠大,此時若套利行為能正常運作,則套利行為將使失衡之經濟體重新回復至原均衡水準,使得PPP成立;而當市場失衡且套利之利得小於套利之機會成本時,隱含其偏離PPP的程度尚不夠大,套利者不會套利,使得PPP不會成立。本研究利用非線性平滑狀態轉換模型來檢驗日本購買力平價說,藉由非線性平滑狀態轉換模型與PPP的結合,對PPP的檢定提供了另一種解釋。
英文摘要 In this paper, we examine the Purchasing Power Parity(PPP) in Japan, applying linearity tests by Teräsvirta (1994). Our results clearly reject linear model in favor of the nonlinear smooth transition switching model with two thresholds of transition variables. We respectively examine whether the PPP will be hold or not in the band of two thresholds or out of the band of two thresholds. We find if data in the band, the PPP will not be hold. Instead, if data out of the band, the PPP will be hold. We think this phenomenon result in nominal exchange rates exist the neutral band. The obstacles which impede PPP hold is also the main reason for existing the neutral band of nominal exchange rates. These obstacles include in the presence of transaction costs, tariff, heterogeneous expectation and interference by central bank. These obstacles also are called opportunity costs if on the economic views. When market is out of the equilibrium, and the gains from arbitrage are greater than the costs from arbitrage. The activities of arbitrage can bring the market to the equilibrium if activities of arbitrage can normally work. In this case, PPP will hold. By the contraries, if the gains from arbitrage are less than the costs from arbitrage, arbitrager won’t make arbitrage. So the market is still out of the equilibrium, the PPP will not be hold. We use the non-linear smooth transition switching model to examine the PPP, offering another explanation for PPP.
論文目次 目錄:
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的與問題 2
第三節 論文章節安排 3
第貳章 文獻探討 5
第一節 匯率非線性(均值回復)之相關文獻探討 5
第二節 PPP不成立之相關文獻 9
一、交易成本的存在 10
二、其他影響因素 11
第三節 其他關於PPP之文獻 12
第參章 研究方法 16
第一節 線性模型之建立 16
第二節 單根檢定 18
一、ADF單根檢定法 (Augmented Dickey-Fuller Test) 19
二、PP單根檢定法(Phillips Perron Test) 21
三、WS單根檢定法(Weighted-Symmetric Test) 22
四、Dickey-Fuller GLS (DF-GLS)單根檢定法 23
五、 最適點估計之單根檢定(ERS) 25
六、 最適點之單根檢定 27
七、Kwiatkowski Phillips Schidt Shin (KPSS)單根檢定法 28
第三節 購買力平價說之模型建立及驗證 30
一、絕對購買力平價說 30
二、實證上購買力平價說模型 31
三、絕對購買力平價說之檢定 32
第四節 線性模型檢定 32
一、線性檢定 32
(一)一般線性檢定 33
(二)決定轉換變數和遞延參數 34
(三)決定轉換函數的模型—LM檢定 35
(四)最大概似法估計法(Max Likelihood Estimate) 38
二、轉換函數之模型介紹 39
(一)常見的兩種轉換函數 39
(二)二次式Logistic函數 40
三、轉換函數標準化 41
(一)轉換函數為單門檻Logistic函數: 41
(二)轉換函數為單門檻指數型函數: 41
(三)轉換函數為雙門檻二次式Logistic函數: 41
第四章 實證結果與分析 42
第一節 研究範圍 42
一、研究期間 42
二、研究變數 42
(一)名目匯率 42
(二)物價指數 43
第二節 單根檢定 43
第三節 檢定購買力平價說 46
一、線性模型下檢定購買力平價說 46
二、線性檢定 47
(一)決定模型 47
(二)非線性雙門檻之平滑狀態轉換模型之參數估計 49
三、檢定門檻值內、外之購買力平價說 52
(一)門檻內購買力平價說之檢定 52
(二)門檻外購買力平價說之檢定 54
一、第一次日本結構性改變 57
二、第二次日本結構性改變 58
第五章 結論與建議 59
參考文獻 61



表目錄:
[表 1] 日本個別變數原使序列之單根檢定 44
[表 2] 日本個別變數經一階差分後值之單根檢定 45
[表 3] PPP迴歸式之參數估計及檢定 47
[表 4] 日本PPP之非線性檢定 48
[表 5] 日本轉換變數之基本統計量 49
[表 6] 非線性雙門檻之平滑狀態轉換模型的起始值設定 50
[表 7] 非線性雙門檻之平滑狀態轉換模型之參數估計表 51
[表 8] 門檻內PPP迴歸式之參數估計及檢定 54
[表 9] 門檻外PPP迴歸式之參數估計及檢定 55
[表 10] 日本重大政經事件之年代表 56



圖目錄:
[圖 1] 研究流程圖 4
[圖 2] 線性檢定步驟之流程圖 37
[圖 3] 轉換函數和轉換變數圖 56
[圖 4] 轉換函數和時間橫軸圖 57

參考文獻 中文部分:
冷傳強(2008),拉丁美洲新興國家未拋補利率學說之非線性模型分析,中山大學經濟系碩士論文。

林冠汝(2000),「長期不景氣後日本對外投資政策及策略變化之研究」,主要國家經貿政策分析月刊十二月號。

鄭敏伶(2003),購買力平價關係的實證分析,世新大學經濟系碩士論文。

蘇顯揚(1999),「日本阪神大地震後的因應對策及效果」,主要國家經貿政策分析月刊十月號。


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