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).
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0726110-145827 |
| Date | 26 July 2010 |
| Creators | Liu, Ya-chun |
| Contributors | Ching-nun Lee, none, none |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0726110-145827 |
| Rights | not_available, Copyright information available at source archive |
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