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題名：購買力平價及其迷思之非線性實證分析
作者：陳佩芬
作者(外文)：Pei-Fen Chen
校院名稱：國立中正大學
系所名稱：國際經濟所
指導教授：吳致寧
學位類別：博士
出版日期：2006
主題關鍵詞：購買力平價；門檻向量誤差修正模型；實質匯率；門檻自我迴歸；非線性均數迴歸；半衰期；Half-life；Nonlinear mean reversion；Threshold autoregression；Real exchange rate；Purchasing power parity；Threshold vector error correction model
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本文共分五章。第一章說明本文的研究動機，包含了各章節的概述。第二章整理了購買力平價(purchasing power parity)在理論與實證上的重要文獻。第三章是本文所包含之三篇實證研究的第一篇。在市場存在著交易成本的考量下，本研究以對稱的區間門檻迴歸模型(Band-TAR)來檢驗長期購買力平價假說是否成立。實證結果發現當以TPI做為物價指數時，長期購買力平價假說才成立，以CPI或PPI做為物價指數皆不支持購買力平價假說。此外，本研究還以三個體制的門檻向量誤差修正模型(threshold VECM)去分析實質匯率偏離均衡值時之主要調整變數。而以一般化的衝擊反應函數去估計實質匯率遇到外生衝擊時的半衰期(half-life)，發現在非線性架構下所估計的半衰期大約在一年以內。
第四章是第二篇實證研究。本研究以對稱的區間門檻迴歸模型去檢驗1885年到2003年英鎊對美元實質匯率之非線性調整特性。由於資料期間橫跨了不同體制之匯率制度，因此其均衡值可能不是常數。在以Balassa-Samuelson效果去除了具有時間趨勢的均衡值後，區間門檻迴歸模型的實證結果仍支持長期購買力平價假說。而以一般化的衝擊反應函數去估計的半衰期較短，與理論上所認為的相符，可以說解決了有名的購買力平價之迷思(PPP puzzle)。
第五章以門檻向量誤差修正模型將實質匯率偏離均衡值時之主要調整變數分解為名目匯率與兩國相對物價兩者，實證對象分別是以馬克與美元計價之六個國家的實質匯率。實證結果發現主要的調整變數是名目匯率而非傳統上認為的相對物價。這個結果與Cheung, et al. (2004)的結論相符，不同的是在非線性架構下所估計的半衰期較短，約在2.5年以內，此點與理論所主張的較為接近。
Chapter 1 introduces the motivations for this dissertation and provides a brief review of each chapter. Chapter 2 presents a brief review of the PPP-related literature. Chapter 3 consists of the first essay on PPP. It considers the existence of market frictions or transactions costs which may impede the goods’ arbitrage. A symmetric band-TAR model is applied in examining the validity of PPP. The empirical evidence finds that nonlinear adjustments of long-run PPP are supported by TPI-based, but not PPI-based or CPI-based, real exchange rates. In addition, with a three-regime threshold VECM, the sources of real exchange rate adjustment toward PPP are revealed. By engaging in generalized impulse response analysis, the estimated half-lives implied by the band–TAR model are found to be within one year for various sizes of shock.
Chapter 4 provides the second essay on PPP. This paper applies a symmetric band-TAR model to investigate the nonlinear adjustment of the real pound-dollar rate over the period 1885-2003. The data covering more than one century may possess a non-constant equilibrium since they contain pre-float observations. The empirical evidence supports the nonlinear mean reversion of pound rates that are conditional upon the existence of a non-constant equilibrium in order to reflect the Balassa-Samuelson effect. The estimated half-life is less than two years with large shocks, which partly resolves the PPP puzzle.
The essay in Chapter 5 focuses on dissecting the sources of PPP convergence using a bivariate threshold VECM with Deutschmark- and US-based exchange rates respectively. The empirical results show that PPP convergence is mainly attributed to nominal exchange rate adjustment, which is consistent with the findings of Cheung et al. (2004, Journal of International Economics 64, 135-150). The estimated half-lives in the nonlinear framework are at most 2.5 years. In addition, the estimated half-life of nominal exchange rates is longer than that of prices facing a specific shock.
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