汇率非线性因素在部分亚洲货币汇率中的特征——检验购买力平价论的新方法

发布时间：2018-01-04 17:12

本文关键词：汇率非线性因素在部分亚洲货币汇率中的特征——检验购买力平价论的新方法　出处：《财经研究》2010年02期 　论文类型：期刊论文

【摘要】：当真实汇率运动实际上是非线性过程,而假设它为线性时,那么检验购买力评价理论的标准单位根检验通常是低效力的。文章运用带有单位根的门限自回归模型模拟了包括中国在内的6个亚洲主要新兴市场国家货币兑美元的真实汇率,发现它们都具有较强的非线性,说明了传统的线性方法不再具备模拟真实汇率的能力,且除人民币以外的其他5种货币的真实汇率都表现出了平稳非线性特征,在异动时期具有均值回归的趋势。周期性的金融危机是导致中国以外的其他5个国家货币的真实汇率出现异动的主要因素。人民币真实汇率的非线性行为则表现出了与其他国家不同的特点,导致它出现异动的主要因素为人民币对内和对外价格的相互背离,人民币真实汇率没有表现出向均值调整的趋势,甚至在异动时期呈现了向均值偏离的趋势。
[Abstract]:When the real exchange rate movement is actually a nonlinear process, and assume that it is linear, then the test of PPP standard unit root test theory is usually low effectiveness. Using the unit root with the threshold autoregressive model to simulate the China, including 6 major Asian emerging market currencies against the dollar real exchange rate, found they all have strong nonlinearity, the traditional linear method no longer have the ability to simulate the real exchange rate of RMB, and in addition to the other 5 kinds of currency of the real exchange rate has shown a stable nonlinear characteristic, in the transaction period has mean reversion tendency. Periodic financial crisis is the result of the real exchange rate of 5 other countries the currency Chinese outside the main factors of transaction. The nonlinear behavior of the real exchange rate of RMB is showing characteristics different from other countries, leading to The main reason for its emergence is the divergence between RMB and internal and external prices. The real exchange rate of RMB does not show a trend of adjustment to the mean, and even deviates from the mean in the abnormal period.

【作者单位】：上海财经大学现代金融研究中心;
【基金】：国家社科基金(07BJY155) 国家社会科学基金重大项目(08Q2D036) 上海财经大学研究生创新基金(CXJJ-2008-319)的资助
【分类号】：F823;F224
【正文快照】： 一、引言购买力平价(Purchasing Power Parity,PPP)理论是最主要的汇率决定理论之一,它为各国货币之间均衡汇率的确定奠定了基础。长期以来,检验真实汇率的平稳性是一种被广泛用于检验PPP的方法,其运用线性的扩展的迪基—富勒(Augmented Dicky-Fuller,ADF)检验方法对真实汇率

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