Purchasing Power Parity and Nonlinear Real Exchange Rate Adjustment: Evidence from High-Growth Countries_

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題名：	Purchasing Power Parity and Nonlinear Real Exchange Rate Adjustment: Evidence from High-Growth Countries
書刊名：	經濟論文叢刊
作者：	陳鳳琴
作者(外文)：	Chen, Feng-chin
出版日期：	2017
卷期：	45:2
頁次：	頁195-224
主題關鍵詞：	購買力平價；非線性單根檢定；非對稱；AESTAR檢定；高成長國家；Purchasing power parity；Nonlinear unit root test；Asymmetric；AESTAR test；High-growth countries
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:1 共同引用:0 點閱:2

本文利用非線性KSS 單根檢定及Sollis (2009) 提出的非對稱指數平滑移轉自我迴歸(簡稱AESTAR) 單根檢定，檢測六個高成長國家(巴西、中國、印尼、印度、墨西哥和南韓)在1990年1月至2012年7月間長期購買力平價是否成立。實證結果顯示，採用KSS 單根檢定，除了印度外，巴西、中國、印尼、墨西哥和南韓長期PPP 成立。進一步，利用Sollis (2009) 提出的AESTAR 單根檢定，結果發現，印尼盾和韓圜對美元購買力平價具非線性和非對稱特性，巴西、中國和墨西哥兌美元匯率則具非線性和對稱性質。印尼盾升值時修正至均衡值速度，較貶值時均數復歸速度緩慢;韓圜則是貶值時修正至均衡值速度，較升值時均數復歸速度緩慢。當國內外通膨率有所差異時，這五國政府可以利用購買力平價預測匯率是否過高或過低，此結果對新興成長國家財政政策決策者具有重要意涵。

以文找文

This study applies nonlinear KSS unit root test (Kapetanios, Shinb, and Snell, 2003) and an Asymmetric Exponential Smooth Transition Auto-Regressive (AESTAR) unit root test, proposed by Sollis (2009), to investigate the validity of long-run Purchasing Power Parity (PPP) for six high-growth countries. The empirical results indicate that PPP holds for five of the six high-growth countries studied, namely Brazil, China, Indonesia, Mexico and South Korea, using the KSS test. Furthermore, using Sollis (2009) AESTAR unit root test reveals that real appreciations in the value of the Indonesia Rupiah-U.S. and Korea Won-U.S. dollar exchange rate are slower to revert do the mean (nonlinearly) than depreciations of the same proportionate amount, and the adjustment toward PPP is found to be nonlinear and asymmetric. On the other hand, Brazil/USD, China/USD and Mexico/USD adjustments are found to be nonlinear and symmetric. The governments of these five countries can use PPP to determine whether a currency is overvalued or undervalued, as well as if the country is experiencing differences between domestic and foreign inflation rates. These results have important policy implications for the emerging high-growth economies in this study.

以文找文

期刊論文
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會議論文
1.	Liew, Venus Khim-sen、Baharumshah, Ahmad Zubaidi、Lau, E. P. H.(2002)。Nonlinear Adjustment to Purchasing Power Parity: Empirical Evidence from Asian Exchange Rates。Sarawak：University PutraMalaysia Press。902-910。

研究報告
1.	Park, Joon Y.、Shintani, Mototsugu(2005)。Testing for a Unit Root Against Transitional Auto-Regressive Models。

圖書論文
1.	Perron, Pierre(2006)。Dealing with Structural Breaks。Handbook of Econometrics: Econometric Theory。London：Palgrave Macmillan。

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