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

2011-11-11

Are Asian real exchange rates stationary?

原文連結至
文獻來源：Venus Khim-sen Liewa, Ahmad Zubaidi Baharumshaha, Terence Tai-leung Chongb,*aDepartment of Economics, Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang,Selangor, MalaysiabDepartment of Economics, The Chinese University of Hong Kong, Shatin, N. T., Hong KongReceived 28 May 2003; accepted 21 October 2003

摘要和介紹
實質匯率的定態已經成為匯率研究主要的關心的事。非定態的實質匯率暗指在名目匯率和國內外的物價之間是沒有長期的關係。因此會使的PPP假說無效。這將會使PPP不能被使用來決定均衡匯率。而非定態的實質匯率的另一個含意是無限的獲利從在交易商品中套利是有可能的。而非定態的實質匯率的另一個含意是無限的獲利從在交易商品中套利是有可能的。有一個共識就是匯率的存在是非線性的，所以像是ADF傳統的檢定在檢測均值回復傾向有一個低的檢定力。在這研究之中，我們首要的目標是去決定亞洲的實質匯率是否為非線性的定態。最後，我們發現KSS檢定能夠去拒絕單根在許多研究下，而線性的ADF檢定則全部都沒有拒絕。
研究方法
主要以
在線性基礎下的ADF檢定
和非線性基礎下的KSS檢定
需要的資料
The real exchange rates of 11 Asian countries, namely India, Indonesia, Japan, Korea, Malaysia,Nepal, Pakistan, Philippines, Singapore, Sri Lanka and Thailand, are considered in this study.
Quarterly end-of-period nominal bilateral exchange rates over 1968Q1 to 2001Q2.
主要實證結果
ADF檢定失敗去拒絕所有單根的虛無假設，暗示了實質匯率為非定態。然而KSS的檢定結果，以美元為基準的實質匯率11個國家中有8個能夠去拒絕，暗示了大多數的實質匯率為定態，因此PPP的假說是有效的。
遭遇的問題
研究期間遇到1997年的金融危機，為了 避免結構性轉變，時間向前平移了7年，是否可行。
目前在軟體 Eviews 7.0中並沒有KSS的檢定，所以還要學如何跑方程式。
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== Posted on 2009.10.05 ==
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