| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 99 === In this paper, we use the real exchange rates of Latin America countries to reexamine the “purchasing power parity puzzle” by Rogoff in 1996. We refer to Cheung and Lai (2000) of unit root tests, and consider different testing conditions to examine the persistence of time series. This paper will use the autoregressive moving average (ARMA) model to simulate the dynamic processes of time series. Moreover, we also investigate the converge speed of real exchange rates by one unit shock. Our study uses the bilateral real exchange rates, US dollar and Japanese yen, of the developing countries in Latin America. Generally, the half-life is about 4.12 years, still in the period of 3 to 5 years. Moreover, we also find that the dynamic response patterns of these countries are non-monotonic hump-shaped, which may be caused by sticky-price.
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