中、日、韩长期购买力平价的非线性检验——基于1994-2009年的经验分析

The Nonlinear Test of Long-term PPP in China,Japan and Korea——An Empirical Analysis Based on 1994-2009

购买力平价理论是一种基本的汇率决定理论,主要是检验实际汇率是否稳定。以往的研究主要是在线性模型的框架下,应用ADF和PP检验考察购买力平价是否成立。尝试在非线性的研究框架下,基于ESTAR模型应用KPSS检验方法对中、日、韩三国的长期购买力平价进行检验。实证分析结果表明,基于非线性的KPSS检验方法发现日本的实际汇率为非平稳时间序列,而中国和韩国的实际汇率为平稳序列。这说明长期中日本的购买力平价不成立,而中国和韩国的购买力平价成立。

Purchasing power parity（PPP） was a basic exchange rate determinant theory.It mainly tested the stability of the real exchange rate.Previous empirical researches were mainly applied ADF and PP tests examining PPP in the framework of linear models.This paper attempted to applied KPSS test based on the ESTAR model to test the long-term purchasing power parity in East Asian countries in non-linear framework.The results of KPSS test show that the real exchange rate in China and Korea accords with long-term PPP,while Japan＇ real exchange rate can described by a random walk.