Cointegration Analysis with GARCH : The Empirical Investigation of Long-Run Purchasing Power Parity Between Taiwan and United States
| Autor: | Han-Ting Huang, 黃瀚霆 |
|---|---|
| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 The main purpose of this paper is to examine the validity of theoritical purchasing power parity between Taiwan and United States by testing for long-run equilibrium relationships between nominal exchange rate and consumer price indices in cointegration model with GARCH. Many empirical literatures ignore GARCH effect, using reduced rank maximum likelihood (RRML) approach proposed by Johansen (1995) to estimate cointegrating vector. But Seo (2007) believes RRML estimator is not efficient when GARCH effect is considered. Therefore we use feasible generalized least squares (feasible GLS) approach proposed by Herwartz and Lutkepohl (2011) to estimate cointegrating vector instead. Cointegrating relationship empirically exists between Taiwan and United States by the use of trace test and maximum eigenvalue test proposed by Johansen (1988), and its FGLS estimates are very close to the cointegrating vector implied by purchasing power parity. Our empirical investigation supports the existence of purchasing power parity between Taiwan and United States as a long-run equilibrium. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|