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This paper investigates the purchasing power parity (PPP) hypothesis using panel data. Under PPP the real exchange rate is stationary around a constant mean. Recent panel data unit root tests are employed to test the PPP proposition where, under the conventional null hypothesis of a unit root, the real exchange rate is not stationary and PPP does not hold. In this case, as the time period t + n approaches infinity, its variance relative to period t will also approach infinity. The usual alternative in unit root tests is stationarity around a constant mean or a linear trend. The paper brings innovation into the PPP and panel unit root testing literature by allowing for possible nonlinear deterministic trends in the alternative hypothesis (as advanced by Cushman (2004)). If the null hypothesis is rejected in favour of the alternative of a non-linear trend, PPP still does not hold, but does at least revert back to a meaningful, stable long-run equilibrium. Given this non-linear trend, the variance of the real exchange rate as t + n approaches infinity, conditional on that trend, remains finite. Overall, evidence for stationarity in exchange rates is found in four out of six panels under consideration, including both support for stationary processes with no trend or a linear trend as well as for processes following a non-linear deterministic trend, in particular at time orders 5 and 6. The rejections are, in fact, most consistent at the nonlinear orders. Given nonlinear trends, PPP as usually defined does not hold, despite the rejection of unit roots. It is also found that stronger evidence for stable long-run equilibria in real exchange rates appears when the German Deutschmark is chosen as a base currency instead of the US Dollar. Finally, it appears that a very recent panel unit root test that takes account of cross-sectional dependencies delivers more consistent and sensible results.

Purchasing power parity (PPP) is considered as an important theory of explaining how exchange rate varies in the long run. Most of empirical studies in the past adapted linear cointegration method to test the purchasing power parity. However, there are papers point out that exchange rate exists non-linear cointegration and unexplainable bias might exist in testing the purchase power parity theory while using linear cointegration test. The methodology of this study is based on an application of ESTR ECM proposed by Kapetaniosetet al. to enhance the inadequate of linear cointegration test. We analyze the dynamic adjusting behavior of short-term nominal exchange rate with ESTR ECM model while the non-linear cointegratoin exists. The empirical result indicates that the purchase power parity between Taiwan and its major trading countries is confirmed. Among the trading countries, American, Japan and Hong Kong are suitable for using linear error correction model and non-linear error correction model for Singapore and Korea.

This paper applies both the Engle-Granger and Johansen cointegration test procedures to determine the existence of market linkage among high-valued ( Scomberomorus commerson, milkfish ) and low-valued (cod, Taiwan Tilapia ) fish species using monthly average wholesale price data recorded on the Taipei fisheries wholesale market. If the markets for high-valued and low-valued species are linked, say through commodities arbitrage, individual fish prices cannot diverge ¡§too far¡¨ from other fish prices before market forces to operate to restore equilibrium. From the empirical results, it indicates the existence of only one cointegrating vector involving the prices of these species in Taipei fisheries wholesale market, and that a long-run and stable substitute relationship may exist for the Scomberomorus commerson and other low-valued and high-valued species.

In the early years of human society, all natural resources such as agriculture, animals, forestry, and fisheries were considered to be public property and the treasure belonged to all people. One branch of these natural resources threatened by over-development is straddling and highly migratory fish species, like tuna, which cannot be protected by a single government. While discussing fishery management, we review the change in tuna catches of thirteen countries in Western and Central Pacific Fisheries Commission (WCPFC), as it represents the impacts from different policies and events during a specific period of time. We reference the method applied in economics science by testing for the existence of stochastic convergence and addressing these break points, which are the important targets due to external shocks or internal influence. The characteristic of the method is in testing both time series and panel data by following the traditional unit root tests methods and unit root tests while considering structural breaks. We are able to conclude in preliminary estimates that some serious historical fishery events happened at the break point time, and if we take these structural breaks into consideration, then the growth of tuna catches will be stationary. In other words, if shocks to relative tuna catches are temporary, then the series stochastically converges, meaning that the manager does not need to intervene in the development of tuna fishery, because temporary shocks do not affect the stationarity of tuna catches¡¦ levels. Once the structural breaks occurred in the past, it is not necessary for these government and international organizations to change fishery policies in order to respond to the breaks. They should realize the meaning of the stationary panel instead of enacting an over-intervening policy based on temporary shocks.

Because of economic globalization and prosperous growing international trade, the problem of international currency exchange derived from these situations becomes more serious. The exchange rate is the index for measuring the currency changing rate internationally, and the changing of exchange rate regime from fixed to floating will cause the volatility of exchange rate fluctuation. For Taiwan, a small open economy, and its exporting intensive policy, it is more difficult to avoid this impact. Therefore, it is meaningful to study the fluctuating of exchange rate. The study compares the sources of real exchange rate fluctuations between Taiwan and North America, Europe and Asia in the long run over the period 1981:1 to 2003:4. The theoretical model of Clarida and Gali (1994) is used to observe related output, real effective exchange rate, and domestic money supply which are variables of this study. In empirical, the unit root is used to confirm that the unit root is exist and through the cointegration test to make sure that there is no relation of cointergration. And then, make use of the way provided by Blanchard and Quah (1989), using the long run restriction to construct the structural VAR model, and impulse response function and variance decomposition is derived to analyze the problem. Through the empirical result, we can find that when Taiwan compare to North America and Europe, the source of long run real exchange rate fluctuation comes from demand shock, and this result is the same as Lastrapes (1992), Clarida and Gali (1994) and Chen and Wu (1997). For countries in Asia, which are developing countries mainly, the source of long run real exchange rate fluctuation comes from supply shock, and it explains the importance of effect of output .Besides, the long term monetary neutrality come into existence in each region, empirically.

The studies of exchange rate theory in international finance are divided into several schools. Purchasing Power Parity (PPP) is one important hypothesis in both the Monetary Exchange Rate theory and the main theory in the Open Macroeconomics Model. Although many models are found upon the existence of PPP, but it still has not been proved empirically. That is why it¡¦s important to examine the existence of PPP. In the past, the statistic analyzing processes are all made directly under the models since all variables have been assumed stationary. However, regressing two non-stationary variables may result in Spurious Regression. The Unit Roots Test and Cointegration Test are developed in order to avoid the problem of spurious regression. Therefore, Unit Roots Test and Cointegration Test should be applied to the variables before estimating during regression analyses. Concerning the power deficiency of Unit Roots Test and Cointegration Test, many researches have adopted the combination time-series and cross-section Panel Data Model in order to improve the power and limitation of small samples. The Panel-Unit Root Test and Panel-Cointegration Test have therefore been developed to avoid Spurious Regression. However, Panel-Unit Root Test and Panel-Cointegration Test are applied with long time-series and large cross-section. Nevertheless, obtaining the data has always been the toughest difficulty during empirical researches, let alone the need for long period and large unit data. These Panel Data Models can only be applied to studies for long period, but not to the short periods. In order to avoid these problems; Binder, Hsiao and Pesaran (2004) have developed the Short Panel Vector Autoregressions (sPVAR) Model, a Panel Data Model developed with short time-series and large cross-section. Therefore, this paper will focus on Purchasing Power Parity under the sPVAR Model with the examination of PPP for the 30 countries since the introduction of Euro (1998 to 2004).

Abstract Generally speaking, when dealing with some data, our analysis will be limited because of the given data was incompletely or hidden. And these kinds of errors in calculation will arrive at a statistics answer. This thesis adopts an analysis based on the Gibbs sampling trying to recover the part of hidden data. Since we found out whether time series is unit root or not, the effects of the simulated series will be similar to the true value. After observing the differences between the hidden data and the recovered data in unit root, we noticed that the hidden data has a bigger size and a weakened power over the recovered data. Finally, as an example, we give the unsecured loans at the Japanese money market to prove our issues by analyzing the data from January, 1999 to July, 2004. Since we found out that the numerical value of loan is zero at several months these past several years. In order to observe the Japanese money market, if we substitute the data of zero loan and use the traditional way to inspect unit root without taking model of average value into account, the result will be I(0). And if we simulate the hidden data with Gibbs sampling and substitute the data to inspect the Japanese money market without taking model of average value into account, the result will be I(0) also. But if we take model of average value into account, the of the Japanese Money Market will be I(1). And if we simulate the hidden data with Gibbs sampling and substitute the data to inspect the Japanese money market, the result will be I(I) also.

There should be more interpretations which are derived from data, presented by those professional analysts. The empirical rules and knowledge do help as making statistical inference in Econometrics. The approaches from classical statistical analysis make judges simply resulting from historical data. To be frank, the advantage of this analysis is the objectivity, but there is a fatal drawback. That is, it does not pay attention to some logically extra information. This paper is born for the applications of Bayesian, which has the essential characteristic of accepting subjective outlook, applying empirical rules to study unit root test on exchange rate market. Furthermore, the various distributions of data may have direct effect on the classical statistical inference we use, such as Dickey-Fuller and Phillips-Perron test. To take those defects into consideration, this paper tends not to take the assumption of disturbances in normal distribution as granted. For instance, it is quite common for us to confront the heavy-tailed distribution when studying some data of time series related to stocks and targets of investment. Hence, we will apply more generalized model to do research on Bayesian unit root test. Use the model of Schotman and Van Dijk (1991) and assuming disturbance shaped as independent student-t distribution to revise the unit root test, next, applying to exchange rate market. This is the motif of this paper.

The methodology is based on an application of nonlinear ESTR ECM by Kapetanios et al. (2006) to analyze the short-run dynamic adjustment to long-run equilibrium in Taiwan money demand function. We take consideration of Taiwan as a small open economy system, the exchange rate could be included in money demand function. The result indicate that using ESTR ECM to analyze the adjustment behavior of money demand function in Taiwan is better than linear ECM. Our findings point out that the public adjusts at any time for holding money and the speed of adjustment for real balances depends on the size of deviation.