购买力平价与人民币均衡汇率

发布时间：2018-05-16 10:01

本文选题：购买力平价 + 回归分析　；参考：《武汉大学》2004年硕士论文

【摘要】：本文从对购买力平价理论的起源和发展入手，讨论了购买力平价与均衡汇率的关系。文章的重点在于对检验购买力平价的各种实证研究方法的介绍以及在此基础上对人民币购买力平价的实证研究。根据实证研究的结果，本文将确定人民币的实际均衡汇率。为了研究人民币的购买力平价，我收集了从1980年到2002年间人民币的名义汇率值以及中国、美国、英国、德国和日本的国内消费物价指数值。本文的实证分析部分主要采用了简单回归分析、单位根检验、协整检验和群体单位根检验的研究方法对人民币的购买力平价做了实证研究，结果发现后三种实证检验方法都是支持人民币购买力平价成立的。在对实证部分采用的研究方法做了细致的比较和分析后，结合人民币汇率数据时期跨度短和人民币本身受到改革变化的影响这两个特点，本文最终选择群体单位根检验作为最适合人民币特点的实证研究方法。利用群体单位根检验，本文最终确定了人民币的实际均衡汇率值为1.11。在论文的未尾，本文还计算了2003年人民币实际汇率的值，并将其与之前确定的人民币均衡实际汇率的值做了比较，发现2003年人民币实际汇率的值相对于人民币均衡实际汇率的值有向下的偏移，这说明人民币的币值并没有被低估，国内外对人民币升值的要求是不合理的。在此基础上，，本文建议保持目前的人民币汇率值不变，因为其本身是以购买力平价为基础的且对于均衡实际汇率的值偏离不大。
[Abstract]:Starting with the origin and development of PPP theory, this paper discusses the relationship between PPP and equilibrium exchange rate. This paper focuses on the introduction of various empirical research methods to test purchasing power parity (PPP) and the empirical research on PPP of RMB on this basis. According to the results of empirical research, this paper will determine the real equilibrium exchange rate of RMB. To study the purchasing power parity of RMB, I collected the nominal exchange rate of RMB from 1980 to 2002, as well as the domestic consumer price index values of China, the United States, the United Kingdom, Germany and Japan. The empirical analysis of this paper mainly uses simple regression analysis, unit root test, cointegration test and group unit root test to do empirical research on the purchasing power parity of RMB. The results show that the latter three empirical methods support the establishment of RMB purchasing power parity (PPP). After making a detailed comparison and analysis of the research methods used in the empirical part, combining the characteristics of the short span of the RMB exchange rate data period and the impact of the reform changes on the RMB itself, This paper chooses the group unit root test as the most suitable empirical research method for the characteristics of RMB. By using the group unit root test, this paper finally determines that the real equilibrium exchange rate of RMB is 1. 11. At the end of the paper, we calculate the real exchange rate of RMB in 2003 and compare it with the equilibrium real exchange rate of RMB. It is found that the real exchange rate of RMB in 2003 has a downward deviation from that of the equilibrium real exchange rate of RMB, which indicates that the value of RMB is not undervalued, and the requirement of RMB appreciation at home and abroad is unreasonable. On this basis, this paper suggests keeping the current RMB exchange rate unchanged because it is based on purchasing power parity and does not deviate from the equilibrium real exchange rate.
【学位授予单位】：武汉大学
【学位级别】：硕士
【学位授予年份】：2004
【分类号】：F832.6

【引证文献】