人民币购买力平价——1997—2005年数据的协整分析

Purchasing Power Parity of RMB vs USD:Co-integration Analysis of 1997—2005 Data

本文回顾了中外购买力平价(PPP)的实证研究,选择了三变量模型,运用1997年1月至2005年7月间人民币汇率及中美两国生产者价格指数(PPI)的数据展开实证研究。和以往的实证研究相比,本文有如下创新和结论:(1)采用近期PPI数据并得出结论,支持人民币PPP成立。(2)采取了非约束与约束的协整检验,得出一般条件下相对PPP成立,而作为特例的严格PPP不成立的差别化结论。(3)在PPP成立的基础上,采用误差修正模型、脉冲反映、方差分解技术等深入剖析了人民币汇率的变动规律。

We review the empirical evidence of Purchasing Power Parity （PPP） in China and overseas markets, followed by the employment of a three-factor model to test for PPP using exchange rates （RMB vs USD） and the Producer Price Index （PPI） for China ＆ USA. We used the monthly data set from January 1997 to July 2005, a relatively stable regime. In comparison with previous researches on a similar subject, this paper mainly contributes to the following： 1. PPP is valid when testing employs the latest PP1 although RMB is pegged against USD. 2. PPP is valid when employing unrestricted co-integration tests on the threefactor model. However, PPP is weak when using restricted co-integration tests. 3. We employ Vector Error Correction Model, Impulse Response and Variance Decomposition techniques to analyse further the real exchange rate of RMB. The volatility of RMB is not influenced by the single price index but by the high degree of co-integration between RMB, Chinese PPI and the US PPI.