Reexaming the Purchasing Power Parity---An Application of the Sequential Panel Selection Method

• Main Authors: Zeng-Jhih Wang, 王增智
• Other Authors: Ching-Chng Tsong
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/ka2n28

碩士 === 國立暨南國際大學 === 經濟學系 === 98 === Exchange rate has always been an important indicator of international finance. One of the most important theories on the exchange rate is the purchasing power parity hypothesis. The purchasing power parity hypothesis is valid and the real exchange rate has an unit root have been long debated. When we employ the traditional unit root test, it would be a dilemma to choose between the high power and the series properties. When the series have highly consistence, the conventional general unit root test do not have enough power. Furthermore, it would be a problem to identify which one is mean reversion even through we use panel unit root test which has high power. This problem is solved by Chortareas and Kapetanios (2009) , which promote the sequential panel selection method (SPSM) . 　　This study follows the method of Chortareas and Kapetanios (2009) and we provide empirical evidence by using 73 countries data contain almost all country of America, Asia and Europe. To provide different results, we classify the countries into the developing countries and the developed countries, and then reexaming the purchasing power parity hypothesis. In the end of this study, we have a conclusion that the purchasing power parity hypothesis is valid.