Purchasing Power Parity (PPP) has been regarded as the most important theory to explain the exchange rate movement based on relative price levels of two countries. After 1973, more and more countries were taking the floating exchange rate system, and the real exchange is testing out to be a non-stationary time seriess. This would be some real factors to have an effect on the real exchange rate. In the article, We study how these possible factors change the real exchange rate and make use of Wu et.al (2008) and Lee (2010)¡¦s local projection to estimate the impulse responses under the non-stationary time series which has cointegration vectors, and then we compare the difference between the impulse response in conventional VAR and the impulse response in Local Projection. The emprical model we use is the smae one as in Zhou (1995) and Wang and Dunne (2003), and the rule of the data is the same as in Wang and Dunne (2003). Finally, we get the consistent conclusion with Wu et.al (2008), Zhou (1995) and Wang and Dunne (2003).

Jorda (2005) proposed the new method to estimate impulse response functions by local projection. The new method, local projection, can avoid the misspecification problem. That is, local projections are robust to misspecification of the data generating process (DGP). Wu, Lee, and Wang (2008) extended the Jorda¡¦s local projection from stationary time series I(0) to non-stationary time series I(1). It makes the local projection be a more generally applicative method for the Macroeconomic. In the article, I relax the cointegration vector which assumed to be known in the Wu, Lee, and Wang (2008) and Lee(2010). From the inference of Johansen (1995) I can get the property of super-consistent between £] and ˆ £] in the cointegration vector. I use the above condition and OLS to estimate impulse response functions, and in the asymptotic theorem, the cointegration vectors which assumed to be known or estimated by Johansen MLE are both get the consistent coefficients of impulse responses.

This study mainly explores the effect of market states (price and returns) on the relationship between spot and futures oil prices and targets three important issues: long-run cointegration, causalities, and market efficiency. Based on previous studies exhibiting bi-directional causality between spot and futures oil prices, this study employs quantile regressions to examine the possible feedback effect in their long-run cointegration and their causalities. In particular, it allows for exploring the possible asymmetric responses between spot and futures markets. The empirical results herein find that the long-run cointegrated relationship between contemporaneous spot and futures prices is impacted by the states of the spot markets. Similarly, whether futures oil prices lead spot oil prices is relevant with the states of the futures markets. This study also examines the efficiency of crude oil markets and shows that the efficiency is related to the length of futures contracts. These findings offer some implicative suggestions and strategies.

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.

Japan, South Korea, and Taiwan have similar economic backgrounds, as they have undergone the aftermath of destruction and restructuring from the World Wars, and they are all situated in important locations in the East Asia region. Since there have been abundant research studies about competition in economic growth, international trade, and technology advances, however, there competition might also be competition between these countries in the fishery industry. Resulted of Western and the Central Pacific Ocean (WCPO) has been one of the most valuable fishery areas in the world, we use the tuna capture data from the Western and Central Pacific Fisheries Commission (WCPFC) and utilize a cointegration test and error correction model in a time series analysis to analyze the competitive relationship in the three countries. In our study, we found that if the Japanese captures increase, the Taiwanese captures also increase and the same cases occur in the contrasting cases. But the relationships with South Korea and Japan or with South Korea and Taiwan are negative. It represents that the capture in the three countries impact each other. We also try to find the reasons for impact and long-run and short-run competitive relationships.

This study examines the non-linear cointegrated relationship between capture production and the El Nino/La Nina index using the quantile technique proposed by Xiao (2009). According to the annual sample data of 6 Major Fishing Areas in the Pacific Ocean from 1950 to 2008, our empirical findings provide strong evidence that the cointegrating coefficients follow a time-varying process. They also imply that most of these long-run relationships are influenced by potential shocks over time rather than from maintaining a constant effect consistently. Overall, the contributions of this study not only stresses the importance of the quantile property in cointegrated models, but also provides a viewpoint on the long-run approach that the overall El Nino and La Nina act as engines for capture production.

Abstract Education investment is recognized as a main factor of the economic growth at all times. The paper estimates the contribution concerning Taiwan¡¦s public education investment to economic growth, based on Lucas¡¦s endogenous economic growth theory and Johansen¡¦s statistic analysis of cointegration vector. There are 37 annual data from 1964 to 2000, measuring the price index in 1996 base year. The conclusion shows having a set of cointegration vector and long run positive equilibrium relation between education investment and economic growth. The mentioned contribution reaches up to 38¢Mhigh. Therefore, education is the most important investment for countries, also being the best choice on individual investment.

There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency and whether future spot rates could be predicted by forward rates are worthy of investigate. Hakkio and Rush (1989) demonstrated that cointegration is a necessary condition for market efficiency hypothesis, so that the examination of cointegration to investigate the long-run relationship between the spot rates and forward rates is important. We consider a new method -- stochastic coinegration which contains heteroscedastic and stationary cointegration, to re-examine the relationships between spot and forward rates. The feature of stochastic cointegraion is that the cointegrating residuals contain the integrated of order one process and heteroscedastic integrated process. However the special residuals would stochastically trendless over time, so that the spot rates and forward rates has long run equilibrium relationship. Conclusively, the future spot rates empirically are stochastic (and conventional) coinegrated with forward rates in Taiwan, Japan, and Singapore.

Keynes (1936) first brought up the relationship between consumption and national income, but Kuznets¡¦observation about the U.S. data was not supported by the Keynes consumption function form. So there are many macroeconomic theories trying to explain the phenomenon observed by Kuznets. This paper uses the way developed by Campbell (1987) to test the permanent income hypothesis suggested by Friedman with Taiwan data. In addition, this paper uses the stochastic cointegration developed by Harris, McCabe, and Leybourne (2002) to re-examine the relationship between consum-ption and national income because the traditional non-stochastic cointegration assumes that the error term is linear and homogeneous, which may be too strong to fit the real world. Besides, this paper compares the nonstochastic cointegration with the stochastic cointegration, and the evidence founded is that the permanent income hypothesis is not supported by Taiwan data with these two methods.

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.