A Nonlinear View of Long-Run PPP Using Cross-Sectionally Dependent Heterogeneous Panels_

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題名：	A Nonlinear View of Long-Run PPP Using Cross-Sectionally Dependent Heterogeneous Panels
書刊名：	經濟論文叢刊
作者：	陳奕奇／林常青／冼芻蕘
作者(外文)：	Chen, Yi-chi／Lin, Chang-ching／Sin, Chor-yiu
出版日期：	2019
卷期：	47:1
頁次：	頁1-40
主題關鍵詞：	不對稱調整；橫斷面相依性；長期購買力平價；實質匯率；門檻自我迴歸；Asymmetric adjustment；Cross-sectional dependence；Long-run PPP；Real exchange rate；Threshold autoregression；TAR
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:3

過去相當多研究長期購買力平價說（PPP）的文獻，在進行單根檢定時，俱使用追蹤資料以提升其檢定力。本文在橫斷面相依之追蹤資料架構下，採用非線性門檻自我迴歸（TAR）模型，並針對不同匯率狀態進行追蹤資料的單根檢定。我們提出一個嶄新檢定程序，結合兩種現有方法的優點：（一）單根下TAR模型的統計推論，以及（二）擴展的Dickey-Fuller追蹤資料迴歸式的單根檢定。本文分析資料包含17個OECD國家在近期浮動匯率期間的實質匯率。結果發現三個不同的匯率狀態，特別是在馬斯垂克條約（Maastricht Treaty）後期，支持長期購買力平價的證據較爲強烈；在馬斯垂克條約前期，當英鎊（兌美元）升值時，存在一些長期購買力平價的證據，然而在英鎊貶值時，證據較爲薄弱。即使將資料延長至2012年，這些實證結果仍具穩健性。

以文找文

Empirical studies have flourished on long-run PPP using panel unit root tests, which supposedly have high power. In this paper, we adopt, in a panel data context, a nonlinear multiple-regime model, namely Threshold Autoregression (TAR), and perform a panel unit root test for each regime in the TAR. This new procedure takes advantage of two existing approaches: the inference for a TAR model with a unit root, and the panel unit root tests with the augmented panel Dickey-Fuller regression. The real exchange rate dynamics in a panel of 17 OECD countries over the recent floating exchange rate period are investigated. Three distinct regimes are identified. In particular, the support for long-run PPP is much stronger in the post-Maastricht-Treaty period than the period before; in the pre- Maastricht-Treaty period, there is some evidence for long-run PPP when the sterling-dollar appreciated, while the evidence is weak when the sterling-dollar depreciated. Our results are robust to expanding the data set to 2012, using the euro foreign exchange reference rates.

以文找文

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研究報告
1.	Pesaran, M. Hashem(2004)。General Diagnostic Tests for Cross Section Dependence in Panels。

其他
1.	Cerrato, Mario，De Peretti, Christian，Larsson, Rolf，Sarantis, Nick(2011)。A nonlinear panel unit root test under cross section dependence，Department of Economics, University of Glasgow。

圖書論文
1.	Tong, Howell(1978)。On a Threshold Model。Pattern Recognition and Signal Processing。Sijthoff & Noordhoff。
2.	Eichengreen, Barry(2003)。The EMS Crisis in Retrospect。Capital flows and crises。MIT Press。
3.	Garber, Peter M.、Svensson, Lars E. O.(1995)。The operation and collapse of fixed exchange rate regimes。Handbook of International Economics。Amsterdam：Elsevier。

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