Title page for etd-0626112-042209


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URN etd-0626112-042209
Author Ming-Chen Liu
Author's Email Address No Public.
Statistics This thesis had been viewed 5361 times. Download 1312 times.
Department Economics
Year 2011
Semester 2
Degree Master
Type of Document
Language zh-TW.Big5 Chinese
Title An Empirical Research of Long-run Purchasing Power Parity : The Case for Asian Countries
Date of Defense 2012-06-14
Page Count 55
Keyword
  • exchange rate
  • Cross-Correlation
  • Purchasing Power Parity
  • unit root test
  • panel data
  • Abstract Purchasing Power Parity (PPP) is an important theory of exchange rate determination. The documents probing into the PPP theory are voluminous nowadays; however, there hasn’t been an agreed conclusion yet.
    In this paper, we apply the Panel Lagrange Multiplier unit root
    test, a newly developed panel unit root test that allows for heterogeneous
    breaks, under both the null and the alternative, in both the
    level and trend of the series under investigation, addressed by Im, Lee
    and Tieslau (2010). The validity of PPP theory can be examined by testing the stationary of real exchange rates. We use the data chosen from the countries of Asia, including Taiwan, Japan, Korea, Tailand, Indonesia, Hong Kong and Singapore to proceed the positive analysis.
    The result shows that no matter we use CPI or WPI as the price index, both considering more about the structure breaks and using the panel unit root test strongly support the PPP theory. And it also shows that when using the WPI as the price index, there would be much more countries support the PPP theory.
    Advisory Committee
  • Yuan-Ho Hsu - chair
  • Ming-Jang Weng - co-chair
  • Ching-Nun Lee - advisor
  • Files
  • etd-0626112-042209.pdf
  • Indicate in-campus at 2 year and off-campus access at 3 year.
    Date of Submission 2012-06-26

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