摘要
由于存在交易成本 ,偏离购买力平价可能呈非线性的均值回复特性 .结果表明偏离购买力平价呈非线性的均值回复 ,指数平滑转换自回归 (ESTAR)模型描述了这种非线性特性 .
As the presence of transactions costs, deviations from purchase power parity(PPP) may follow a nonlinear process that is mean reverting. The results reveal that deviations from PPP is a nonlinear mean reversion, exponential smooth transition autoregression (ESTAR) model can describe this nonlinear nature.
出处
《系统工程学报》
CSCD
2002年第6期566-569,共4页
Journal of Systems Engineering
基金
国家自然科学基金资助项目 (79790 13 0 )
