購買力平價說在敘述各國匯率以及物價之間的平價關係，本研究透過不同類型的計量模型進行實證，包括OLS模型、ADF單根檢定以及考慮結構性改變的Zivot and Andrews(1992)單根檢定，資料選擇使用亞洲四小龍(臺灣、韓國、新加坡、香港)這四個國家。而透過本研究的實證結果，我們可以得知不同模型對於購買力平價說具有不同的解釋能力，若未來需要針對匯率做預測時，本研究之結果亦可做為判斷目前匯率處於高檔或低檔的參考依據。

　本文結果顯示不論採計消費者或者生產者物價指數，OLS模型部分的結果為：即使排除單根現象後的時間序列資料依然不支持購買力平價說的成立；使用ADF單根檢定時，資料結果亦不支持實質匯率符合購買力平價說。在考慮結構性變動的ZA模型時，大部分變項之間依然不支持購買力平價說，然而有少數變項支持購買力平價說的成立。

Purchasing power parity theory describes the parity relationship between exchange rates and price level in various countries. This paper uses different types of models for empirical analysis, including OLS model, ADF unit root test and ZA unit root test published by Zivot and Andrews in 1992; the model can take structure break into consideration. The data includes four Asian countries (Taiwan, South Korea, Singapore, and Hong Kong). Through the empirical results of this study, we can know that different models have different power of interpreting purchasing power parity theory. If we need to predict the exchange rate, the results of this study can also be used as a reference to tell whether the current exchange rate is high or low accordingly.

　The results of this paper show that regardless of the consumer or producer price index, the results of the OLS model part are: even if the time series data after excluding the unit root process still does not support the purchasing power parity; when using the ADF unit root test, the data results do not support the theory that the real exchange rate consistent with purchasing power parity. When considering the ZA model of structural breaks, most of the variables still do not support the theory of purchasing power parity, but a few variables support the theory of purchasing power parity.

第一章 前言………………………………………………………1
第一節 研究動機與目的…………………………………….1
第二節 研究架構…………………………………………….2

第二章 文獻探討…………………………………………………3
第一節 購買力平價說……………………………………….3
第二節 實證方法的演進…………………………………….4

第三章 研究方法…………………………………………………7
第一節 研究方法…………………………………………….7
第二節 資料描述…………………………………………….7
第三節 計量模型…………………………………………….8

第四章 資料分析…………………………………………………12

第五章 研究結果與限制…………………………………………19

參考文獻.....................................21

附錄 ........................................24
 

中文參考文獻
王怡雯 (2015)，美元-新台幣購買力平價關係實證研究

李建慧、蘇芳儀(2008)，APEC 八國長期購買力平價說：最小LM 單根檢定的驗證

吳佳穎(2006)，考量結構轉變的單根檢定之模擬與應用

陳美源、陳禮潭 (2009)，購買力平價說與結構性變動—美/台實質匯率之實證研究

黃志典(2018)，國際金融概論四版

劉明貞 (2012)，長期購買力平價說實證分析-以亞洲地區國家為例

蕭美珠 (1983): 「購買力-台灣之實証研究」, 國立政治大學國際貿易研究所碩士論文。


英文參考文獻
Bela Balassa(1964) “Journal of Political Economy” Vol. 72, No. 6, pp. 584-596

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Frankel, J. A (1986), “International Capital Mobility and Crowding Out in the US Economy: Imperfect Integration of Financial Markets or Goods Markets?” in Hafer, R. (ed.), How Open is the US Economy, Lexington: Lexington Books.

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