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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0705110-191807 |
| Date | 05 July 2010 |
| Creators | Chen, I-Hsiu |
| Contributors | Ming-Jang Weng, Chingnun Lee, Tzu-wei Wang |
| 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-0705110-191807 |
| Rights | not_available, Copyright information available at source archive |
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