實質匯率持續性的研究：以拉丁美洲國家為例

Abstract

本文運用拉丁美洲國家資料，重新檢視拉丁美洲等開發中國家的實質匯率半衰期是否仍然落入Rogoff (1996)所提出的「購買力平價謎團」。計量方法參考 Cheung and Lai (2000)的單根檢定法，同時考慮不同檢定方法檢視時間序列的恆定性，並採用自我迴歸移動平均模型模擬時間序列的動態過程。將估計模型加諸一單位外在衝擊後，觀察其實質匯率的收斂速度。本研究採用拉丁美洲等國兌美元與日圓的雙邊實質匯率，估計半衰期約為4.12年，仍落入過去學者所估計三至五年的期間。此外，研究中亦發現，樣本中的國家皆有非單調的鐘型衝擊反應路徑，其原因可能與物價僵固性有關。

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.