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姓名 鍾岳霖(chung yueh lin)  查詢紙本館藏   畢業系所 經濟學系
論文名稱 生產力變動與實質匯率?產業別的實證研究
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摘要(中) Balassa (1964) 與 Samuelson (1964) 提出經濟快速發展的國家隨著生產力的提升會導致實質匯率升值 (簡稱巴拉薩-薩穆爾遜效果) ,並藉此解釋
各國非貿易財的生產力變動導致實質匯率升值。近年來, 韓國與日本崛起, 生產力亦隨著經濟發展提高而增加,是實證巴拉薩-薩穆爾遜效果合適的對象。
本文以韓-美與日-美的產業資料探討相對生產力提升是否是造成購買力平價說不成立的主因之一,並使得實質匯率升值。
由於跨產業間的追蹤資料存在橫斷面相依,本文有別於傳統文獻,而於共整合檢定及迴歸模型分析中,以共同相關效果加以控制。
我們發現不論是貿易財或是非貿易財的相對生產力進步皆會使實質匯率升值,且發現購買力平價說不成立的主因由相對生產力變動所致。
摘要(英) Balassa (1964) and Samuelson (1964) mentioned that the relative productivity growth in the rapid economic growth leads to the appreciation of the real exchange rate. And this can explain the nontraded goods productivity change will lead to real exchange rate appreciation. Recently, since the economic rise in Korea and Japan, the economic growth accompanies with the increase in relative productivity. Therefore, we consider this two countries as good example for re-examining Balassa-Samuelson effect. We ues the annual industrial the data of Korea-U.S. and Japan-U.S. to investigate whether the relative productivity change can result in the failure of purchasing power parity (PPP) , and leads to real exchange rate appreciation or not. However, due to the the presence of cross-sectional dependence in industrial panel data, we adopt cointegration test and regression analysis, which allowing for common correlated effects. The empirical results suggest that for not only traded goods but also nontraded goods, the improvement of the relative productivity makes real exchange rate to appreciate. Yet, this is consistent with prove the hypothesis that the change in relative productivity plays an important role for the failure of the PPP.
關鍵字(中) ★ 購買力平價說
★ 實質匯率
★ 巴拉薩-薩穆爾遜效果
★ 追蹤資料
★ 單根檢定
★ 共整合檢定
關鍵字(英) ★ Purchasing power parity
★ real exchange rate
★ Balassa-Samuelson effect
★ panel data
★ unit root test
★ cointegration test
論文目次 目錄
中文摘要
i
Abstract
ii
謝誌
i
目錄
ii
圖目錄
iv
表目錄
v
1 前言
1
2 經濟模型和實證分析方法
7
2.1
建構實質匯率和相對生產力 . . . . . . . . . . . . . . . . . . . . . . . .
7
2.2
追蹤資料共整合檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.2.1
IPS 單根檢定
. . . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.2.2
Pedroni 共整合檢定 . . . . . . . . . . . . . . . . . . . . . . . . 11
2.2.3
自我迴歸落後分佈模型 . . . . . . . . . . . . . . . . . . . . . . . 14
2.3
橫斷面相依 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.3.1
共同相關效果
. . . . . . . . . . . . . . . . . . . . . . . . . . . 16
2.3.2
橫斷面相依下長短期估計
. . . . . . . . . . . . . . . . . . . . . 18
2.3.3
橫斷面相依檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . 20
2.3.4
CIPS 單根檢定
. . . . . . . . . . . . . . . . . . . . . . . . . . 20
2.3.5
允許橫斷面相依下的 Hadri 單根檢定 . . . . . . . . . . . . . . . 21
2.3.6
PANIC 單根檢定
. . . . . . . . . . . . . . . . . . . . . . . . . 22
2.3.7
允許橫斷面相依的共整合檢定 . . . . . . . . . . . . . . . . . . . 24
3 資料
26
4 實證分析與討論
40
4.1
追蹤資料單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
4.2
追蹤資料共整合檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
4.3
橫斷面相依是否存在 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
4.4
允許橫斷面相依的單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . 50
4.5
控制橫斷面相依的長期關係檢定 . . . . . . . . . . . . . . . . . . . . . . 52
4.6
控制橫斷面相依下長短期關係的估計 . . . . . . . . . . . . . . . . . . . . 54
4.7
文獻比較與討論 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60
5 結論
61
參考文獻
63
圖目錄
1
韓-美貿易財實質匯率
. . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2
韓-美貿易財相對生產力 . . . . . . . . . . . . . . . . . . . . . . . . . . 32
3
韓-美非貿易財實質匯率 . . . . . . . . . . . . . . . . . . . . . . . . . . 33
4
韓-美非貿易財相對生產力 . . . . . . . . . . . . . . . . . . . . . . . . . 34
5
日-美貿易財實質匯率
. . . . . . . . . . . . . . . . . . . . . . . . . . . 35
6
日-美貿易財相對生產力 . . . . . . . . . . . . . . . . . . . . . . . . . . 36
7
日-美非貿易財實質匯率 . . . . . . . . . . . . . . . . . . . . . . . . . . 37
8
日-美非貿易財相對生產力 . . . . . . . . . . . . . . . . . . . . . . . . . 38
表目錄
1
產業資料 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
2
敘述統計 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3
單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
4
追蹤資料共整合檢定 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
5
整體產業長短期估計結果 . . . . . . . . . . . . . . . . . . . . . . . . . . 47
6
貿易財長短期估計結果 . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
7
非貿易財長短期估計結果 . . . . . . . . . . . . . . . . . . . . . . . . . . 48
8
追蹤資料橫斷面相依檢定
. . . . . . . . . . . . . . . . . . . . . . . . . 49
9
存在橫斷面相依之單根檢定 . . . . . . . . . . . . . . . . . . . . . . . . 51
10
允許橫斷面相依下的追蹤資料共整合檢定 . . . . . . . . . . . . . . . . . 53
11
共整合 PANIC 單根檢定
. . . . . . . . . . . . . . . . . . . . . . . . . 53
12
允許橫斷面相依下的整體產業長短期估計結果 . . . . . . . . . . . . . . . 57
13
允許橫斷面相依下的貿易財長短期估計結果 . . . . . . . . . . . . . . . . 58
14
允許橫斷面相依下的非貿易財長短期估計結果
. . . . . . . . . . . . . . 59
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指導教授 姚睿、林常青
(Yau ray、Lin chang ching)
審核日期 2013-7-22
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