汇率非线性因素在部分亚洲货币汇率中的特征——检验购买力平价论的新方法

Nonlinear Characteristics of Real Exchange Rates of Some Asian Currencies:A New Way to Put the Theory of Purchasing Power Parity to the Proof

当真实汇率运动实际上是非线性过程,而假设它为线性时,那么检验购买力评价理论的标准单位根检验通常是低效力的。文章运用带有单位根的门限自回归模型模拟了包括中国在内的6个亚洲主要新兴市场国家货币兑美元的真实汇率,发现它们都具有较强的非线性,说明了传统的线性方法不再具备模拟真实汇率的能力,且除人民币以外的其他5种货币的真实汇率都表现出了平稳非线性特征,在异动时期具有均值回归的趋势。周期性的金融危机是导致中国以外的其他5个国家货币的真实汇率出现异动的主要因素。人民币真实汇率的非线性行为则表现出了与其他国家不同的特点,导致它出现异动的主要因素为人民币对内和对外价格的相互背离,人民币真实汇率没有表现出向均值调整的趋势,甚至在异动时期呈现了向均值偏离的趋势。

When the fluctuation of real exchange rate is actually a non- linear process and is assumed a linear process, the standard unit root test which is used for putting the theory of purchasing power parity to the proof is usually ineffective. The paper applies the Threshold autoregressive （TAR） model with a unit root to the simulation of real exchange rates of the currencies of six major Asian emerging market countries including China to U.S. dollar, and finds these real exchange rates fluctuations are significantly featured by nonlinearity. It indicates that the traditional linear models no longer have the ability to simulate the real exchange rates, and the real exchange rates of the other five currencies except RMB are featured by smooth nonlinearity and a trend of mean-reversion during abnormal periods. Periodic financial crises are the main factor causing the abnormal movements of the real exchange rates of the other five currencies except RMB. Compared with the real exchange rates of the other five currencies, the real exchange rate of RMB shows different nonlinear characteristics, which is mainly due to the difference between RMB＇s internal price and its external price. And the real exchange rate of RMB is not featured by a trend of mean-reversion, but deviates from the mean in its abnormal movements.