PPP在中国的再检验--基于ESTAR和ARB-STR模型

The Re-examination of PPP in China——Based on ESTAR and ARB-STR Models

本文基于人民币兑美元1994年4月以来的实际汇率月度数据,运用包含二次多项式时间趋势作为B-S效应代理变量的ESTAR模型和ARB-STR模型,研究PPP向其长期均衡调整的非线性均值回复特征。模型中的B-S效应表明实际均衡汇率在1994至2000年间持续贬值而在2001年后持续升值,并且这种升值趋势在近期已经趋缓。脉冲响应分析显示,冲击越大实际汇率的均值回复速度越快,实际汇率对正负向冲击的调整行为具有非对称性,人民币被低估时的均值回复速度要比被高估时更快;另外,相对于西方发达国家而言,由于我国汇率形成机制的不同和央行的频繁干预,致使外部冲击对DY实际汇率的影响效应更加持久,因而其半生命周期较长。最后,我们简要地阐述了相应的政策建议。

Based on monthly Renminbi-Dollar real exchange rate data since Apr 1994, this paper studies the nonlinear mean reversion adjustment of PPP towards its long-run equilibrium employing ESTAR and ARB-STR models which contain the second polynomial time trends serves as the empirical proxy for B-S effects. The B-S effects in the models show that the real equilibrium exchange rate depreciated continuously during 1994- 2000, and appreciated continuously since 2001, but the appreciated tendency has been slow down recently. The impulse response function analysis shows that the bigger the shocks, the faster the mean reversion speed of the real exchange rate, and the adjustment behavior is unsymmetrical when faces to positive or negative different shocks, and the mean reversion speed is faster when Renminbi is undervalued than it be overvalued. Also, due to the different informative mechanism of Renminbi exchange rate and the frequent intervention of central bank, it has longer half lives of shocks compared with those in west developed countries. Lastly, some policy suggestions are proposed briefly.