歐盟區之購買力平價再探討

Abstract

本文探討12個歐盟國家的購買力平價。將研究對象分為兩大群體，第一個群體為非歐元區七國：丹麥、瑞典、捷克、匈牙利、波蘭、克羅埃西亞、羅馬尼亞；第二個群體是新興歐元區五國：斯洛維尼亞、斯洛伐克、愛沙尼亞、拉脫維亞、立陶宛。此外，本文首度同時討論三大物價指數下的購買力平價，包括：調和消費者物價指數（Harmonised Index of Consumer Prices, HICP）、生產者物價指數（Producer Price Index, PPI）以及GDP平減指數（GDP deflator）。在實質匯率定態的研究流程上，本文在單根檢定事前進行殘差檢定與Bai and Perron結構性檢定，根據結果使用最適合的單根檢定。此外，本文納入DF-GLS單根檢定以及考慮結構性改變的Zivot & Andrews單根檢定。實證結果顯示：以HICP指數和PPI指數計算的實質匯率結構相似度較高，例如：捷克、匈牙利、羅馬尼亞、瑞典、斯洛維尼亞等五國的實質匯率結構改變發生次數和時間點在兩種指數計算下的結果相同。此外，非歐元區國家間的實質匯率結構比歐元區國家間的實質匯率結構更為相似，例如：在HICP指數下，丹麥、瑞典、匈牙利三國的結構改變點大致落在2009年的3月前後; 在PPI指數下，波蘭、瑞典、匈牙利三國的結構改變點亦發生在2009年的3月前後。在重大事件對於實質匯率的影響上，發現在2008～2009年的「金融海嘯」對歐盟國家實質匯率的結構造成較為顯著的改變，相較之下，「歐債危機爆發」和「歐洲央行啟動QE」等本土重大金融事件的影響力反而較不顯著。值得注意的是：「加入歐盟」並沒有對當事國的實質匯率結構產生顯著影響。實證結果顯示：立陶宛和斯洛伐克以HICP指數、愛沙尼亞和羅馬尼亞以PPI指數、瑞典以GDP Deflator指數計算下的實質匯率，其購買力平價成立。由此可知，不同物價指數下的購買力平價結果不一致。

This paper study examines the Purchasing Power Parity of 12 European Union countries. We divide our research objects into 2 categories, the first group includes 7 non-Euro countries—Denmark, Sweden, Czech Republic, Hungary, Poland , Croatia, and Romania; the second group comprises 5 new members of Eurozone—Slovenia, Slovak Republic, Estonia, Latvia, and Lithuania. Besides, this stuty first incorporates 3 main Price Indixes—Harmonised Index of Consumer Prices (HICP), Producer Price Index(PPI), and GDP deflator to the theory of Purchasing Power Parity. To reach a more complete research process of Real Exchange Rate series, we conduct residual analysis and Bai & Perron structural break test in advance of unit root tests so as to use appropriate unit root tests based on the prior test results. In addtion, this stuty also incorporates DF-GLS unit root test and Zivot & Andrews unit root test considering the structural breaks in the series. For the global big issues which may lead to significant structural changes of Real Exchange Rate series, the result shows that the 2008-2009 Financial Crisis cause a more significant impact than the European Debt Crisis and the Europe Quantitative Easing Programme. Another noteworthy finding is that joining the EU does not make a significant influence on the structure of Real Exchange Rate series. Our empirical results show that there is no consistent conclusions on the Purchasing Power Parity. Lithuania and Slovak Republic in the condition of HICP, Estonia and Romania in the condition of PPI, and Sweden in the condition of GDP Deflator can support the Purchasing Power parity. Consequently, we reach different conclusions on the Purchasing Power Parity when applying different Price Indexes.