交易成本与长期购买力平价:近代中国的经验证据

Transactions Costs and the Long-run PPP;Evidence from Late Qing Dynasty and Republic of China

关于中国购买力平价（PPP）的实证文献普遍存在两方面的不足：一是假定实际汇率向PPP的调整是线性过程，二是仅使用当代很短的样本期。这样传统单位根或者协整检验会倾向于得出否定PPP的结论。事实上，考虑到交易成本时，理论上实际汇率向PPP的调整应是非线性过程。中国晚清和民国跨度70年（1867—1936）数据的经验结果验证了实际汇率的非线性特征。偏离幅度越大，实际汇率向均衡值回复的动力就越强。尽管会长期偏离PPP，实际汇率仍然是整体平稳的均值自反过程。这提供了支持PPP的证据，也表明19世纪后半期中国与国际的市场整合进程已经开始。

The empirical literature on Purchasing Power Parity （PPP） in China generally suffers from two short- comings. One is the assumption of a linear adjustment process toward PPP; the other is using contemporary data with too short sample ranges. Thus, conventional unit root or conintegration tests may be biased against the long - run PPP hypothesis. However, the models of real exchange rate determination in the presence of transac- tions costs imply a nonlinear adjustment toward PPP. Using data spanning seventy years from Late Qing dynasty to Republic of China before Anti - Japanese War, we clearly reject the linear models. The estimates of ESTAR modds provides strong evidence of a nonlinear adjustment process in which the larger the deviation from PPP, the stronger the tendency to move back to equilibrium. Thus the dynamic process is global mean -reverting e- ven though highly persistent deviations from PPP are implied. This provides evidence in favor of PPP and China＇s integration into the world economy since latter half of the nineteenth Century.