中国购买力平价的STAR非线性单位根检验

Testing China PPP in the Nonlinear STAR Unit Root Framework

汇率问题是我国金融国际化的枢纽之一,而购买力平价理论构成了货币主义汇率决定模型的基础。购买力平价假说之谜的实证表象是均值回归时间较长,致使购买力平价理论在短期内不成立。由于在标准的线性ARMA框架下汇率稳态过程的单位根检验方法越来越受到人们的质疑,所以文章介绍了基于ESTAR结构的KSS非线性单位根检验分析法,并连同ADF和PP检验一起对我国实际汇率进行了实证,KSS检验结果表明,我国汇率符合购买力平价理论,这说明现有的参考一揽子货币进行调节的有管理的浮动汇率制度正逐步达到市场有效性,下一步应该继续发挥市场供求在人民币汇率形成中的基础性作用,增强浮动弹性,保持人民币汇率在合理均衡水平上的基本稳定。

Exchange rate is one of hinges in financial internationalization, and purchasing power parity （ PPP ） theory is the basis of exchange rate determination model in monetarism. The empirical data of PPP enigma are that time for mean conversion is long and that PPP theory is untenable in short time. Because exchange rate stationary unit root tests based on standard linear ARMA are oppugned, this article presents nonlinear unit root test KSS based on ESTAR, and uses KSS, ADF and PP tests to test real exchange rate in China. The results of KSS show that the real exchange rate in China accords with PPP. This illuminates that managed float exchange rate system in reference to a basket of currencies is approaching market effectiveness. Furthermore, we should make better use of the role of market supply and demand in the setting of RMB exchange rate, strengthen the float elasticity and keep exchange rate stabilization at a rational equilibrium level.