購買力平價說(PPP) 一直被視為解釋長期匯率趨勢的重要理論。在1973年各國開始實施浮動
匯率後, 許多學者卻紛紛發現實質匯率為一非定態的時間序列, 因此, 本文利用可能的實質因素研究
其實質匯率受到的影響, 並以Wu et. al (2008) 及Lee (2010) 局部投射(Local Projection) 衝擊反
應函數新方法在非定態時間序列且存在共整合關係下的計量方法與其傳統VAR 估計衝擊反應函數
的計量方法探討為何日本在1973年至1996年之間其實質匯率為一非定態的時間序列。其中, 本文中
所使用的實證模型為Zhou (1995) 與Wang and Dunne (2003) 中所提出的模型設定, 資料處理則
以Wang and Dunne (2003) 為其準則。最後, 藉由比較其由局部投射與傳統VAR 所估計出來的衝
擊反應函數, 發現其兩種衝擊反應函數圖形的走勢起伏與Wu et. al (2008) 中的分析得到一致性的
推論。另外, 實證結果則與Zhou (1995) 與Wang and Dunne (2003) 中的結論具有一致性的結論。

Purchasing Power Parity (PPP) has been regarded as the most important theory to
explain the exchange rate movement based on relative price levels of two countries. After 1973,
more and more countries were taking the floating exchange rate system, and the real exchange
is testing out to be a non-stationary time seriess. This would be some real factors to have an
effect on the real exchange rate. In the article, We study how these possible factors change
the real exchange rate and make use of Wu et.al (2008) and Lee (2010)’s local projection to
estimate the impulse responses under the non-stationary time series which has cointegration
vectors, and then we compare the difference between the impulse response in conventional VAR
and the impulse response in Local Projection. The emprical model we use is the smae one as
in Zhou (1995) and Wang and Dunne (2003), and the rule of the data is the same as in Wang
and Dunne (2003). Finally, we get the consistent conclusion with Wu et.al (2008), Zhou (1995)
and Wang and Dunne (2003).

1 研究動機1
2 文獻回顧3
3 模型設定9
4 實證計量方法12
4.1 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
4.2 共整合檢定. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
4.3 衝擊反應函數-定態時間序列. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
4.4 局部投射之衝擊反應函數-非定態時間序列. . . . . . . . . . . . . . . . . . . . . . . 29
5 實證分析之結果32
5.1 實證資料來源與資料處理. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
5.2 單根檢定之結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
5.3 共整合檢定之結果. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
5.4 衝擊反應函數之討論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 39
6 結論與建議41
參考文獻48
6.1 實質匯率衝擊下的局部投射衝擊反應函數圖形. . . . . . . . . . . . . . . . . . . . . 42
6.2 實質匯率衝擊下的傳統VAR 衝擊反應函數圖形. . . . . . . . . . . . . . . . . . . . 43
6.3 生產力差異衝擊下的局部投射衝擊反應函數圖形. . . . . . . . . . . . . . . . . . . . 43
6.4 生產力差異衝擊下的傳統VAR 衝擊反應函數圖形. . . . . . . . . . . . . . . . . . . 44
6.5 國內政府支出衝擊下的局部投射衝擊反應函數圖形. . . . . . . . . . . . . . . . . . 44
6.6 國內政府支出衝擊下的傳統VAR 衝擊反應函數圖形. . . . . . . . . . . . . . . . . . 45
6.7 外國政府支出衝擊下的局部投射衝擊反應函數圖形. . . . . . . . . . . . . . . . . . 45
6.8 外國政府支出衝擊下的傳統VAR 衝擊反應函數圖形. . . . . . . . . . . . . . . . . . 46
6.9 世界實質石油價格衝擊下的局部投射衝擊反應函數圖形. . . . . . . . . . . . . . . . 46
6.10 世界實質石油價格衝擊下的傳統VAR 衝擊反應函數圖形. . . . . . . . . . . . . . . 47
6.11 實質匯率、生產力差異、國內外政府支出及世界實質石油價格趨勢圖. . . . . . . . . 48

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