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

URI http://harp.lib.hiroshima-u.ac.jp/hbg/metadata/8275
ファイル
タイトル
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
別タイトル
Empirical Study of Purchasing Power Parity Theory : In the Case of Yen v. Dollar Exchange Rate
著者
氏名 宮田 亘朗
ヨミ ミヤタ ノブオ
別名 Miyata Nobuo
キーワード
Purchasing power parity (購買力平価)
Industrial flow of money (貨幣の産業的流通)
Finanial flow of money (貨幣の金融的流通)
Interest rate differential (2国間金利差)
Short-term and long-term estimation (短期と長期の計測)
抄録

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.

掲載雑誌名
社会情報学研究
8
開始ページ
17
終了ページ
26
出版年月日
2002-12
出版者
呉大学社会情報学部
ISSN
1341-8459
NCID
AN10586239
本文言語
日本語
資料タイプ
紀要論文
著者版フラグ
出版社版
権利情報
この論文は国立情報学研究所の電子図書館事業により電子化されました。
旧URI
区分
hbg