購買力平價理論(PPP) 一直被視為解釋長期匯率趨勢的重要理論。在過去的實證研究對於購買
力平價說的檢定大多以線性共積檢定為主, 但有不少的文獻已證明匯率具有非線性的現象, 所以用線
性共積檢定去驗證購買力平價說可能會產生偏誤的現象。本研究使用Kapetanios et al. (2006) 的
ESTR ECM 模型共積檢定來彌補線性共積檢定的不足, 若有存在非線性共積, 就可以使用ESTR
ECM 模型來分析名目匯率短期動態調整行為。實證結果顯示, 台灣與貿易國的購買力平價說皆成立,
而美國、日本和香港的名目匯率適合使用線性誤差修正模型, 新加坡和韓國的名目匯率適合使用非線
性誤差修正模型。

Purchasing power parity (PPP) is considered as an important theory of explaining how
exchange rate varies in the long run. Most of empirical studies in the past adapted linear
cointegration method to test the purchasing power parity. However, there are papers point out
that exchange rate exists non-linear cointegration and unexplainable bias might exist in testing
the purchase power parity theory while using linear cointegration test. The methodology of
this study is based on an application of ESTR ECM proposed by Kapetaniosetet al. to enhance
the inadequate of linear cointegration test.
We analyze the dynamic adjusting behavior of short-term nominal exchange rate with ESTR
ECM model while the non-linear cointegratoin exists. The empirical result indicates that the
purchase power parity between Taiwan and its major trading countries is confirmed. Among the
trading countries, American, Japan and Hong Kong are suitable for using linear error correction
model and non-linear error correction model for Singapore and Korea.

1 緒論 . . . . . . . . . . . . . . . . . .1
1.1 研究動機. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 研究目的. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2 文獻回顧 . . . . . . . . . . . . . . . . . .4
2.1 理論背景. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.2 文獻回顧與探討. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
3 研究方法 . . . . . . . . . . . . . . . . . .11
3.1 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
3.1.1 Dickey-Fuller test(DF 檢定) . . . . . . . . . . . . . . . . . . . . . . . . 11
3.1.2 Augmented Dickey-Fuller test(ADF 檢定) . . . . . . . . . . . . . . . . 14
3.1.3 Phillips-Perron test(PP 檢定) . . . . . . . . . . . . . . . . . . . . . . . 17
3.1.4 Kwiatkowski, Phillips, Schmidt and Shin test(KPSS 檢定) . . . . . . . 19
3.1.5 DF-GLS test(DF-GLS 檢定) . . . . . . . . . . . . . . . . . . . . . . . 20
3.2 共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
3.2.1 Engle and Granger 共積檢定. . . . . . . . . . . . . . . . . . . . . . . 22
3.2.2 Johansen 共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
3.3 線性誤差修正模型之建立. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
3.3.1 VAR 模型選取最適落後期數. . . . . . . . . . . . . . . . . . . . . . . . 28
3.3.2 Johansen 共積向量檢定. . . . . . . . . . . . . . . . . . . . . . . . . . 28
3.3.3 弱外生變數檢定(Weakly Exogenous Test) . . . . . . . . . . . . . . . . 29
3.4 非線性平滑轉換誤差修正模型(Smooth Transition ECM) . . . . . . . . . . . . 30
3.4.1 ESTR ECM 模型. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
3.4.2 ESTR ECM 共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . 32
3.5 模型診斷性檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.5.1 Q 統計量檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.5.2 ARCH-LM 檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
3.5.3 Ramsey RESET 檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . 40
3.5.4 MAPE 預測力. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
4 實證分析 . . . . . . . . . . . . . . . . . .41
4.1 資料來源說明. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
4.2 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
4.3 Engle and Granger 共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . 46
4.4 Johansen 共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
4.4.1 最適落後期的選取. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
4.4.2 Johansen 共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47
4.4.3 弱外生變數檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
4.5 非線性誤差修正模型之共積檢定. . . . . . . . . . . . . . . . . . . . . . . . . . 50
4.6 建立誤差修正模型及估計與診斷. . . . . . . . . . . . . . . . . . . . . . . . . . 52
4.7 模型預測力. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
5 結論與建議 . . . . . . . . . . . . . . . . . .58
5.1 結論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
5.2 建議. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
參考文獻 . . . . . . . . . . . . . . . . . .60

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