重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
請務必參見 課程網頁維護重要事項 Import Notes
Registered students MUST see the Import Notes

2009-10-13

Increasing evidence of purchasing power parity over the current float

Papell, David H.; Theodoridis(1998) HristosJournal of International Money and Finance pp. 41-50

[原文連至日期]



1.基本理論
本論文在探討以實際匯率方式進行單根檢定,以美元和馬克為基準貨幣.利用增加樣本資料的方式,證明購買力平價的加強,馬克為基準貨幣.
2.研究方法與邏輯
使用Univariate ADF及Panel unit root進行檢定
3.需要的統計數據
1.實質匯率
2.消費者物價指數
4.主要實證結果
1.證據證明拒絕單根,因此增加更多的購買力平價,並且增加更多的時空數據.
2.購買力平價是用panel method
3.購買力平價證據為一致性強烈時,是以德國馬克作為基準貨幣,而不是美元.
4.拒絕單根而未增加樣本大小,購買力平價的證據會成為弱性。反映出美元在80年代中期
的升值.
5.困難或遭遇的問題
1.第一次閱讀英文paper,有種吃力感.以及翻譯成中文後,必須有良好的表達方式.
2.而在大學非商學科系,所以在觀看paper時,直覺及敏銳度較薄弱.
3.本篇文章主要以panel unit root作為檢定,此資料有跨時與跨空間的特型,所以可能會有資料完整性的問題,以及其複雜度較unit root複雜
6.有用的參考文獻
1.楊亦農,2009,時間序列分析-經濟與財務上之應用
2.Copeland,2008,Exahange Rate and International Finace
3.謝京叡,2005,總體經濟學
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PO 文注意事項 (Notes about your posts required for this course)

每位同學必需建立與維護 2 個網頁: (updated on 2010.9.19)
Every registered student MUST post and maintain TWO pages at this site.

1. 你的期末報告想要仿照的原始 paper 重點摘要頁, 見 [範例]
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2. 你的學習紀錄頁, 見 [範例]
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3. 記得每一頁要在頁尾處輸入你的「標籤」, 包含學號後5碼, 名字或暱稱, 和 其它你自訂的關鍵字, 例 ADF、共整合、PPP、等
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5. 在你的 學習紀錄頁加上標籤:「學習記事」
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== Posted on 2009.10.05 ==
請同學在你所選的 paper 加上標籤:「已選」
在你的 學習紀錄頁加上標籤:「學習記事」