論文摘要：
由於Frankel and Rose (1994)指出以總體的基本要素作為匯率的決定因子所建構的模型，並無法有效地解釋與預測匯率於短期或中期劇烈的波動行為。而根據Frankel and Rose的觀點，一些文獻亦在長期之下達到可解釋與預測匯率的行為。但是在短期的水平，研究學者仍無法發展出一個以總體基本要素所建構的模型來說明匯率高度波動的決定。
然而，在匯率決定的模型之中，購買力平價假說(purchasing power parity，以下簡稱PPP)一直是長期以來被用於解釋匯率行為較理想的理論之一。故透過 Rogoff (1996)定義的購買力平價之謎像(purchasing power parity puzzle)來說明：如何解釋短期實質匯率的劇烈變動與其緩慢的收斂速度間之關係。在實證文獻上，實質匯率會回復至PPP的水準，但是收斂的速度為緩慢的，半衰期(half-life)大約3年到5年之間。所以使得如今建立在實質衝擊基礎下的模型，還無法足夠的說明短期匯率的變動。故關於解決購買力平價之謎像的問題，現今尚無定論。
自從1973年布列頓森林制度(Brentton Woods System)崩潰，各國紛紛採取浮動匯率制度後，強調透過緩慢地價格調整來決定匯率的波動以及驅使其回復至PPP水準的價格僵固性模型，作為解釋PPP劇烈變動的主要模型。
故本篇試圖重新以價格僵固性作為一個影響短期PPP偏離的干擾因子，則建構以PPP為基礎的時間序列模型，並將價格僵固性的要素設定在不完全競爭市場的狀況下，探討價格僵固性與市場結構之要素是否為真正影響短期實質匯率的高度波動。接著，根據此價格僵固性及不完全競爭下模型觀察樣本外預測之準確性是否較實質匯率以隨機漫步波動(random walk)為佳，進而可以透過價格僵固性及不完全競爭的市場結構來解釋及預測短期或中期實質匯率的劇烈波動。
本篇以台灣為主，討探台灣與其他工業大國—選取美國、日本、英國、加拿大、德國以及法國之間的匯率變動要素。最後，本文模型於樣本內的估計得知，價格僵固性確實為實質匯率的干擾，即可解釋PPP之謎像的問題，確實造成短期實質匯率的劇烈變動，且以緩慢地速度收斂至均衡的影響要素。而且本文模型對於實質匯率樣本外之預測能力而言，亦表現出其預測能力優於隨機漫步模型之預測能力，尤其在有價格僵固性的PPP模型更加明顯的較佳，所以在本文模型的設定之下，對於台灣匯率短中期的預測能力是較佳的。

參考文獻
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