購買力平価からの乖離分析再考 : 暦年別・四半期別データによる乖離要因比較
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概要
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According to J.M.Keynes' theory，monetary flow in an economy is devided in two kinds; industrial flow and financial flow. It is often said that the Purchasing Power Parity Theory is concerned only with industrial flow of money. And then financial flow is neglected. The purpose of this paper is to study empirically the purchasing power parity theory under the system of floating exchange rate from a viewpoint of monetary flow. In the following sections，we will use two kinds of data (quarterly and yearly). The estimates using quarterly data are called short-term results，and the estimates using yearly data are long-term results. Our main conclusions of this paper are: (a) In the first section，we set up the definition of the deviation (of exchange rate) from purchasing power parity and find that the deviation depicts empirically decreasing trend. (b) In the following two sections，we conclude that the change of the deviation from purchasinng power parity comes from the change of the intermediate variables. (e.g. the relative price or the international price differential of tradable goods) and that the change of latter variables depends on the changes of deviation factors (e.g. technical progress，market openness，govemment expenditure share，and interest rate differential). (c) We used interest rate differential as a representative variable (deviation factor) of financial flow-of-money. Calculation of regression equation concerning with interest rate differential shows a significant result，in applying to quarterly data. In the case of using yearly data，we could not have any significant resut. Therefore，financial flow of money affects only short-term results. The short-term and long-term results of estimation are summirized in the following Table 4.
- 広島文化学園大学の論文
- 2002-12-26