一价法则、地区价格差异与面板单位根检验

Law of one price,regional price difference and panel unit root test

采用1995—2005年中国城市间33类生产资料价格数据来分析中国的产品市场一体化.根据Levin-Lin-Chu面板单位根方法来检验城市间产品价格差异的长期收敛性,得出如下结论:(1)十年间,大多数生产资料在地区间的价格差异越来越小,且各类生产资料在城市间的价格差异程度有所不同;(2)在设定的三类面板模型中,大多数检验都拒绝了面板单位根的假设,即城市间各类产品的价格差异大都是收敛的,且收敛的速度非常快.这说明中国地区间的市场一体化已具备较高水平.

This paper uses a panel of 33 prices of industrial materials from 18 cities in China to provide an es- timate of China＇ s internal product market integration. We first define an inter-city price disparity variable, and then use Levin-Lin-Chu Panel Unit Root Test to test if inter-city price difference is convergent in the long run. The results are ： （ 1 ） During the ten years, the price difference of most industrial materials became smaller and smaller, and six kinds of industrial materials have different price disparities; （2）In our specified panel models, most tests denied the panel unit root hypothesis. So the price disparity of most products is convergent and the rate of convergence is very high. These results suggest the internal product market integration in China has been fairly good and continue to make more progress.