两岸三地长期购买力平价研究:基于Caner & Hansen门限自回归模型的实证检验

Research on the Purchasing Power Parity of China Mainland,China HK SAR,China Macao and China Taiwan:Empirical Examination Based on Canner & Hansen TAR Model

购买力平价理论是基础性且应用广泛的汇率决定理论。以往研究主要是在线性或非线性模型的框架下,应用检验时间序列平稳性的传统检验方法验证购买力平价是否成立。作者尝试在非线性的研究框架下,基于Caner和Hansen的门限自回归模型,特别针对门限效应和非线性状态下的平稳性用Wald检验和非线性单位根检验对中国大陆和两岸三地的长期购买力平价进行实证研究。实证分析结果表明,人民币兑港币和澳门元的实际汇率呈非线性关系,而人民币兑台币的实际汇率不存在门限效应;此外,基于非线性关系的平稳性检验的结果显示,中国大陆与中国香港、中国澳门、中国台湾之间的长期购买力平价关系均不成立。

Purchasing power parity theory is a basic and wide applied exchange rate determination theory. Previous studies focus on whether the purchasing power parity is justified by using a traditional testing method of inspecting time sequence stability under the framework of linear or non-linear model. This paper, under the framework of non-linear study, based on Based on Canner ＆ Hansen TAR Model, tries to make an empirical study of the Purchasing Power Parity of China Mainland, China HK SAR, China Macao and China Taiwan, targeting at threshold effect and stationarity of non-linearity state by using Wald test and non-linearity unit root test. The main findings is that the real exchange rate of RMB against KH D and MOP is non-linear, while the real exchange rate of the RMB against NT$ does not have threshold effect. In addition, the result of stationarity test based on uon-linearity shows that the long-term Purchasing Power Parity may not hold among China Mainland, China HK SAR, China Macao and China Taiwan.