基于非线性均值回复模型对四国购买力平价的实证检验

发布时间：2018-03-10 01:12

本文选题：购买力平价理论　切入点：实际汇率　出处：《北京外国语大学》2017年硕士论文　论文类型：学位论文

【摘要】：购买力平价理论是描述汇率变化的基本理论之一。前期的实证检验主要致力于探讨购买力平价是否成立。基于线性单位根检验对实际汇率进行分析,学者们发现很难拒绝数据存在单位根的原假设。但通过采用长时间跨度数据和面板数据在一定程度上可以拒绝存在单位根的原假设,进而证明购买力平价的有效性。可是由此计算出的实际汇率趋近长期均衡的调整速度非常缓慢,半衰期震荡调整(half-life shock adjustment)大致需要三年到五年的时间。学者研究发现非线性模型能更有效的解释购买力平价之谜,因此近些年基于TAR和STAR非线性模型的购买力平价实证研究一直是学术界热议的话题。对于人民币是否符合购买力平价理论,学者们也是莫衷一是。早期的线性单位根检验和协整检验无法证实购买力平价理论的成立,甚至有学者认为我国目前的经济状况并不适用PPP理论。对此,许多学者试图探寻人民币汇率偏离PPP的原因,也有的学者通过构建非线性框架和模型来分析人民币汇率的波动。本文基于非线性均值回复模型ESTAR分析了英镑-美元、马克-美元、法郎-美元和人民币-美元的实际汇率月度数据,探讨并对比了其非线性均值回复的特征。通过研究人民币-美元实际汇率的变动进一步探讨了购买力平价在我国当前经济环境中的适用性,同时依据人民币实际汇率的实证检验结果提出了相应的政策建议。本文有以下创新点。首先,因为现有文献较少考虑到异方差,并基于残差的特征,本文将ESTAR模型进一步拓展为ESTAR-GARCH,同时还引入了虚拟变量来刻画汇率制度变更对实际汇率的影响。其次,本文补充了人民币汇率的相关的实证研究。因为基于人民币汇率的实证检验较少支持购买力平价理论,且基于ESTAR模型分析人民币汇率非线性特征的研究较少,因此希望可以通过本文补充相关的实证研究。再次,在进行样本外循环预测时,本文将英镑-美元、马克-美元、法郎-美元实际汇率的样本外预测期间扩展为整个后布雷顿森林体系时期,人民币-美元的实际汇率的样本外预测期间为2005年7月汇率制度改革至今。本文基于生成的预测值两两对比了随机游走模型、AR模型、ESTAR和ESTAR-GARCH模型对于实际汇率变动的预测能力。本文分析了英镑-美元、马克-美元、法郎-美元和人民币-美元实际汇率后,发现实际汇率的时间序列存在非线性。回归结果证实了用ESTAR和拓展后的ESTAR-GARCH模型来刻画实际汇率非线性动态过程的有效性。本文还通过模型预测精度检验(forecast accuracy test)和(forecast encompassing test)预测包容检验,两两对比了随机游走模型、线性AR模型、非线性ESTAR模型和ESTAR-GARCH模型的预测效果。检验结果表明非线性ESTAR和ESTAR-GARCH模型对于实际汇率变动的预测能力都要优于随机游走模型。具体就人民币汇率而言,本文基于从1987年至2016年的人民币-美元实际汇率实证检验结果表明购买力平价理论适用于当前的人民币实际汇率,且实际汇率呈现出非线性均值回复的特征。该特征的产生主要是由于我国对汇率变动的宏观干预和调整所致。虽然回归结果可以看出在四组时间序列数据中,人民币呈现的非线均值回复特征最典型,且实际汇率在受到冲击后趋向长期均衡的速度最快,反映出我国汇率制度改革成效显著。但是因为我国资本市场开放程度较低,且人民币国际化是我国中长期发展目标,汇率制度改革仍任重道远。因此要继续增强人民币汇率的弹性,逐步实现人民币汇率的自由浮动。同时,从短期人民币-美元汇率可以看出,人民币的确存在一定程度的高估,长期还是需要进一步深化汇率机制改革,推进人民币资本项目可兑换。最后还需要建立全面的宏观经济监测分析框架,以免发生恐慌性的资本外逃。通过稳定人民币的汇率,减少外部冲击带来的影响,进而推动人民币的国际化。
[Abstract]:The PPP theory is one of the basic theory to describe the changes in the exchange rate. The empirical test focused on the PPP. The linear unit root test to analyze the real exchange rate based on the scholars found it difficult to reject the null hypothesis of unit root data. But by using long time span and panel data in a certain the original extent can reject the unit root hypothesis, and then prove the validity of the PPP. But the real exchange rate to calculate the adjustment speed reaching long-term equilibrium is very slow, the half-life of the shock adjustment (half-life shock adjustment) takes roughly three years to five years. The researchers find that the nonlinear model can effectively explain the PPP puzzle, so in recent years, the empirical research on the TAR and STAR nonlinear model based on purchasing power parity has been the academic hot words For questions. Whether the RMB accords with the theory of purchasing power parity, scholars are unable to agree on which is right. Linear unit root test and cointegration test to early established theory of purchasing power parity, even some scholars believe that China's current economic situation does not apply PPP theory. In this regard, many scholars have tried to explore the reasons for the RMB exchange rate deviates from the PPP, also some scholars by constructing nonlinear framework and model to analyze the volatility of the RMB exchange rate. This paper analyzes the nonlinear mean reversion model ESTAR Sterling dollar based on Mark dollar real exchange rate, the monthly data of the dollar and the renminbi dollar - Franc, discussed and compared the characteristics of nonlinear mean reversion. Through the study of the real exchange rate of RMB to US dollars changes to further explore the applicability of PPP in China's current economic environment, at the same time on the basis of empirical real exchange rate of RMB The test results and puts forward some policy suggestions. This thesis has the following innovative points. First, because the existing literature less considering heteroskedasticity, and based on the residual characteristics, this paper will further expand the ESTAR model for ESTAR-GARCH, but also the introduction of dummy variables to describe the exchange rate change impact on the real exchange rate. Secondly, this paper adds Empirical Study on the RMB exchange rate. Because the empirical test of RMB exchange rate with less support based on PPP theory, and based on ESTAR model to analyze the nonlinear characteristics of RMB exchange rate is less, therefore the hope can supplement the relevant empirical study. Through this again, out of sample forecasts in the cycle, the sterling dollar, Mark dollars, francs - dollar real exchange rate for the entire sample forecast during the expansion of the post Bretton Woods period, the real exchange rate of RMB - dollar Out of sample forecast period is since the reform of exchange rate system in July 2005. The forecast based on the value of 22 compared to the random walk model, AR model, ESTAR model and ESTAR-GARCH model for predicting the ability of real exchange rate changes. This paper analyzes the sterling dollar, Mark - dollars, francs - dollar and Renminbi dollar real exchange rate after the discovery the time series of the real exchange rate is nonlinear. The regression results confirmed the effectiveness of ESTAR-GARCH model with ESTAR and expanded to describe the nonlinear dynamic process of the real exchange rate. This paper also through the accuracy test prediction model (forecast accuracy test) and (forecast encompassing test) 22 compared the forecast encompassing test, random walk model, linear AR model. The prediction effect of nonlinear ESTAR model and ESTAR-GARCH model. The test results show that the nonlinear ESTAR and ESTAR-GARCH models for the real exchange rate change The forecasting ability is better than the random walk model. The RMB exchange rate, this paper from 1987 to 2016 the RMB real exchange rate dollar - based on the empirical results show that PPP theory applies to the current real exchange rate of RMB real exchange rate, and showing the characteristics of nonlinear mean reversion. This feature is caused by me China due to exchange rate changes and the adjustment of macro intervention. Although the regression results can be seen in the four groups of time series data, the present RMB non line mean reverting the most typical characteristics, and the real exchange rate in the impact trend of long-term equilibrium is the fastest, reflecting the effectiveness of China's exchange rate system reform is significant. But because of the degree of openness China's capital market is relatively low, and the RMB internationalization is our long-term development goals, the reform of exchange rate system still has a long way to go. So it will continue to increase Strong RMB exchange rate flexibility, the progressive realization of the RMB exchange rate to float freely. At the same time, from the short-term RMB dollar exchange rate of RMB is overvalued can be seen, to some extent, the long-term or the need to further deepen the reform of exchange rate mechanism, and promote capital account convertibility. Finally, also need to establish a comprehensive framework to analyze the macroeconomic monitoring, in order to avoid panic capital flight. The stability of RMB exchange rate, reduce the impact of external shocks, thus promoting the internationalization of the RMB.

【学位授予单位】：北京外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

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