Title page for etd-0612113-162446


[Back to Results | New Search]

URN etd-0612113-162446
Author Han-Ting Huang
Author's Email Address vovococovovo@yahoo.com.tw
Statistics This thesis had been viewed 5370 times. Download 1693 times.
Department Economics
Year 2012
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title Cointegration Analysis with GARCH : The Empirical Investigation of Long-Run Purchasing Power Parity Between Taiwan and United States
Date of Defense 2013-07-03
Page Count 52
Keyword
  • GARCH
  • purchasing power parity
  • cointegration test
  • unit root test
  • VECM
  • VAR
  • PPP
  • Abstract The main purpose of this paper is to examine the validity of theoritical purchasing power parity between Taiwan and United States by testing for long-run equilibrium relationships between nominal exchange rate and consumer price indices in cointegration model with GARCH. Many empirical literatures ignore GARCH effect, using reduced rank maximum likelihood (RRML) approach proposed by Johansen (1995) to estimate cointegrating vector. But Seo (2007) believes RRML estimator is not efficient when GARCH effect is considered. Therefore we use feasible generalized least squares (feasible GLS) approach proposed by Herwartz and Lutkepohl (2011) to estimate cointegrating vector instead.
    Cointegrating relationship empirically exists between Taiwan and United States by the use of trace test and maximum eigenvalue test proposed by Johansen (1988), and its FGLS estimates are very close to the cointegrating vector implied by purchasing power parity. Our empirical investigation supports the existence of purchasing power parity between Taiwan and United States as a long-run equilibrium.
    Advisory Committee
  • Tzu-Wei Wang - chair
  • Chun-Chieh Wang - co-chair
  • Ching-Nun Lee  - advisor
  • Files
  • etd-0612113-162446.pdf
  • indicate access worldwide
    Date of Submission 2013-07-12

    [Back to Results | New Search]


    Browse | Search All Available ETDs

    If you have more questions or technical problems, please contact eThesys