臺灣博碩士論文加值系統

由於大部分之文獻皆專注於研究進口物價總指數之不對稱匯率轉嫁的現象，然而，不同的商品類別其所估計出來的結果可能與進口物價總指數所估計出來的結果會有所差異，因此，本研究主要著重於分析各商品類別之轉嫁效果與門檻效應，並藉由門檻迴歸模型檢測，其實證結果顯示不同的商品確實有各自的門檻值，除此之外，所有的類別均有顯著的門檻效應。

Most of researches focused on the asymmetry in exchange rate pass-through (ERPT) to general import price. However, the result of regression for different categories of commodity may diverge from the general products. Therefore, the main purpose of this thesis is to investigate different categorized commodity would bring about different threshold value and threshold effect or not. Using the threshold regression model, the empirical results shows that different categorized commodity has respective threshold value and all of them have threshold effect.

Title Page………………………………………………………………………………i
Letter of Approval……………………………………………………………………..ii
Letter of Authority………………………………………………………...……….…iii
Chinese Abstract ………………………………………………………………...…....iv
English Abstract…………………………………….………………………………....v
Acknowledgements…………………………………………………………………...vi
Contents……………………………………………………………………………vii
List of Tables………………………………………………………………………viii
List of Figures……………………………………………………………………….viii

1. Introduction………………………………………………………………..01
1.1 Motivation…………………………………………………………….…….……02
2. Literature Review……………………………………………………...….08
2.1 Influence of Exchange Rate Fluctuation……………………………….………...08
2.2 Degree of ERPT to Import Price…………………………………………….…...10
2.3 Oil Price and Pass-Through Effect…………………………………………..…...13
2.4 Inflation and Pass-Through Effect…………………………………………….....15
2.5 ERPT Effect in Short Term and Long Term……………………………………...17
2.6 Asymmetric ERPT and Related Model…………………………………………..19
3. Model and Data Collection…………………………………...………….22
3.1 Model…………………………………………………………………………….22
3.2 Data Collection……………………………...……………………………………27
3.3 Unit Root Test…………………………………………………………………….30
3.4 Q Statistic………………………………………………………………………...32
3.5 Estimated Model and Threshold Variable Setting………………………………..33
4. Empirical Results…………………………………………………………..36
4.1 Unit Root Test…………………………………………………………………….36
4.2 Threshold Regression Evaluation………………………………………………...37
4.3 Transition of Degree of ERPT……………………………………………………48
5. Conclusion………………………………………………………..………….61
6. Reference………………………………………………………………….....64
7. Appendix A………………………………………………………….….……72
8. Appendix B………………………………………………..…………………76
9. Appendix C………………………………..……………...…………………81

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