长期购买力平价：来自东亚的证据

Long Run Purchasing Power Parity:Evidence from East Asia

单一时间序列单位根检验表明,东亚与东南亚诸国或地区中几乎任一国的货币与美元之间的真实汇率在1970～2003年这一时期内都不是稳定的;而单一时间序列协整关系检验表明,这些国家或地区中几乎任一国的货币与美元之间的名义汇率与相应的相对价格水平之间在所考察的时期内均不存在协整关联性。另一方面,面板数据单位根检验实证分析结果表明,东亚诸国甚至于东亚与东南亚诸国或地区作为一个整体,其货币与美元之间的真实汇率在所考察的时期内并非是稳定的;而考虑到相关宏观经济变量之间的样本关联性的面板数据协整关系检验实证分析结果则表明,东亚诸国甚至于东亚与东南亚诸国或地区作为一个整体,其货币与美元之间的名义汇率与相应的相对价格水平之间在所考察的时期内并不存在稳定的协整关联性。由此推知,时间序列变量的相对跨度并非检验购买力平价的一个决定性因素,而长期购买力平价本质上可以被视为内生经济收敛的一种结果。实证分析还表明,时间趋势并非相关名义宏观经济变量之间的长期内在关系中的一个关键因素。由此可知,若时间趋势构成了某一特定宏观经济变量的长期走势的一个显著因素,则此变量必定包含有某种真实的成分。

Single time series unit root tests reveal that almost none of the real exchange rates between the currencies of East and Southeast Asian countries and the U.S.dollar is stationary during the 1970-2003 period,while single time se- ries cointegration tests report that there is no long run cointegrating relationship be- tween almost any of the nominal exchange rates between the currencies of East and Southeast Asian countries and the U.S.dollar and any of the relevant relative price levels during the period considered.On the other hand,panel unit root tests reveal that as to East Asian countries as a group and even East and Southeast Asian coun- tries as a group are concerned,the real exchange rate between their currencies and the U.S.dollar is not stationary during the period under consideration,while panel cointegration tests accounting for the underlying sample variable correlation report consistent results,i.e,as to East Asian countries as a group and even East and Southeast Asian countries as a group are concerned,the nominal exchange rate between their currencies and the U.S.dollar is not cointegrated with the rele- vant relative price level in the long run.Accordingly,the span of time series data does not seem to be the crucial factor in testing purchasing power parity theory, and long run purchasing power parity can be fundamentally viewed as a result of endogenous economic convergence.Furthermore,empirical analyses reveal that time trend is not a key factor in the long run relationship between relevant nominal economic variables.Hence,if time trend constitutes a significant component in the long run movement of a specific economic variable,the variable must embody something real.