摘要
单位根检验下实际汇率通常的非平稳性与购买力平价相矛盾，然而考虑到国际套利交易成本，实际汇率可能遵循某种非线性均值回复行为。本文对近年来国际上对实际汇率的非线性均值回复领域的研究进行了回顾和总结，并选取带有约束的ESTAR模型对人民币实际汇率的非线性行为进行了实证分析，对其均值回复速度进行了估计，并给出了购买力平价下的均衡汇率。结果支持了人民币与美元的购买力平价关系。
The non-stationarity of the real exchange rate under conventional unit root test conflicts with the Purchasing Power Parity （PPP）. However, considering the transaction costs in international arbitrage, the real exchange rate may follow a kind of nonlinear mean- reversion. After reviewing the recent international research in this field, this paper performs an empirical analysis to discern the nonlinearity of the real exchange rate of RMB with a con- strained ESTAR model, and then estimates the mean-reversion speed, as well as the equilibrium exchange rate under PPP. The existence of the PPP relation between RMB and USD is confirmed by the empirical results.
出处
《经济学（季刊）》
2007年第4期1277-1296,共20页
China Economic Quarterly
作者简介
通讯地址：张卫平，北京大学畅春新园2号楼575室，100871；电话；（010）62754194；E-mail：zwp@pku．edu．cn。
