Balassa (1964) 與 Samuelson (1964) 提出經濟快速發展的國家隨著生產力的提升會導致實質匯率升值 (簡稱巴拉薩-薩穆爾遜效果) ,並藉此解釋 各國非貿易財的生產力變動導致實質匯率升值。近年來, 韓國與日本崛起, 生產力亦隨著經濟發展提高而增加，是實證巴拉薩-薩穆爾遜效果合適的對象。 本文以韓-美與日-美的產業資料探討相對生產力提升是否是造成購買力平價說不成立的主因之一,並使得實質匯率升值。 由於跨產業間的追蹤資料存在橫斷面相依,本文有別於傳統文獻,而於共整合檢定及迴歸模型分析中,以共同相關效果加以控制。 我們發現不論是貿易財或是非貿易財的相對生產力進步皆會使實質匯率升值,且發現購買力平價說不成立的主因由相對生產力變動所致。 Balassa (1964) and Samuelson (1964) mentioned that the relative productivity growth in the rapid economic growth leads to the appreciation of the real exchange rate. And this can explain the nontraded goods productivity change will lead to real exchange rate appreciation. Recently, since the economic rise in Korea and Japan, the economic growth accompanies with the increase in relative productivity. Therefore, we consider this two countries as good example for re-examining Balassa-Samuelson effect. We ues the annual industrial the data of Korea-U.S. and Japan-U.S. to investigate whether the relative productivity change can result in the failure of purchasing power parity (PPP) , and leads to real exchange rate appreciation or not. However, due to the the presence of cross-sectional dependence in industrial panel data, we adopt cointegration test and regression analysis, which allowing for common correlated effects. The empirical results suggest that for not only traded goods but also nontraded goods, the improvement of the relative productivity makes real exchange rate to appreciate. Yet, this is consistent with prove the hypothesis that the change in relative productivity plays an important role for the failure of the PPP.
