文档介绍：山西财经大学
硕士学位论文
购买力平价理论与结构突变—中美实际汇率的实证研究
姓名:杨云帆
申请学位级别:硕士
专业:统计学
指导教师:王建华
2010-05-24
摘要
购买力平价学说是汇率决定理论的基石,因此,不断有文章对购买力平价的相关问题进
行探讨。本文拟应用新近发展的结构突变技术,再次验证人民币购买力平价,并进一步分析
中美实际汇率序列的动态行为。
研究内容包括检验人民币汇率序列是否满足传统购买力平价学说( Cassel),是否满足包
含巴拉萨——萨缪尔森效应的修正购买力平价学说;检验是否存在结构突变点,并估计发生
结构突变的时点。
本文根据 Papell、Prodan(2006)的分类方法,将传统购买力平价学说与修正购买力平
价学说分成四种不同的理论形式加以验证。在实证方法上,为了对应验证四种不同的理论形
式,除了应用传统的单位根检验,还使用了国内尚不多见的包含结构突变的单位根检验,对
汇率序列是否包含结构突变的检测,采用了 Vogelsang(1997)检验方法。
本文使用了2001年1月到2009年4月间人民币汇率及中美两国消费者价格指数(CPI)的数
据展开实证分析。结果发现, 中美之间传统购买力平价与修正购买力平价均不成立。中美实
际汇率序列为不平稳序列,并且包含有一个结构突变点。结构突变时间点为 2006年7月,与近
些年人民币币值的表现相吻合。分析结果表明自2005年7月以来实行的汇率制度改革产生了明
显影响。说明我国央行成功的增加了汇率的灵活性。
关键词:购买力平价实际汇率结构突变单位根 Vogelsang检验 Perron检验
1
Abstract
Purchasing Power Parity (PPP) is the basic building-block of exchange rate determination
theory. It is not surprising, therefore, that a large literature on PPP has evolved. With the use of
newly developed structural breaks techniques, I re-test the validity of PPP between China and the
United States and analyze the dynamic behavior of exchange rate.
I have tested the validity of Cassel's PPP and the modified version of PPP which takes into
account of the Balassa-Samuelson effect. In addition, I have examined the timing of the structural
changes in real exchange rate between China and the United States and have estimated the timing of
the structural breaks.
Using the methods developed by Papell、Prodan(2006), I have distinguished Cassel's PPP and
the modified version of PPP into four different concepts. Moreover, I have used unit root test and
unit root test allowing for structural breaks to test these concepts and have taken the method of
Vogelsang(1997)to estimate the structural breaks point.
This paper has used a sample of monthly time series of exchange rate over the period -
(100 observations). CPI has been used as the measurement of price level. Based on the
analysis, I have not found any evidence of PPP bet