购买力平价非线性检验方法的进展回顾及其对人民币实际汇率的应用

被引：20

作者：

张卫平

机构：

[1] 北京大学经济学院

来源：

经济学(季刊) | 2007年 / 04期

关键词：

购买力平价; 人民币实际汇率; 均值回复;

D O I：

10.13821/j.cnki.ceq.2007.04.003

中图分类号：

F832.6 [汇兑、对外金融关系]; F224 [经济数学方法];

学科分类号：

1201 ; 020204 ; 0701 ; 070104 ;

摘要：

单位根检验下实际汇率通常的非平稳性与购买力平价相矛盾,然而考虑到国际套利交易成本,实际汇率可能遵循某种非线性均值回复行为。本文对近年来国际上对实际汇率的非线性均值回复领域的研究进行了回顾和总结,并选取带有约束的ESTAR模型对人民币实际汇率的非线性行为进行了实证分析,对其均值回复速度进行了估计,并给出了购买力平价下的均衡汇率。结果支持了人民币与美元的购买力平价关系。

引用

页码：1277 / 1296

页数：20

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