数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2010年
4期
48~61
,共null页
购买力平价 LM检验 Gregory—Hansen协整 向量误差修正
購買力平價 LM檢驗 Gregory—Hansen協整 嚮量誤差脩正
구매력평개 LM검험 Gregory—Hansen협정 향량오차수정
Purchasing Power Parity; LM Test; Gregory- Hansen Cointegration; Vector Error Correct Model
本文应用LM结构突变检验以及Gregory—Hansen等变结构协整方法,对人民币汇率购买力平价问题进行了重新研究。研究发现样本期内人民币汇率发生了两次结构突变,第一次发生在2005年7月,第二次发生在2006年12月。LM检验显示,发生了结构突变的汇率数据生成过程仍为单位根过程,意味着某些经济冲击确实对数据生成过程(DGP)产生了实质影响。进一步对比研究发现,在未考虑结构突变情况下,样本期内购买力平价不成立;但在考虑结构突变情况下,两种变结构协整方法都支持购买力平价成立。
本文應用LM結構突變檢驗以及Gregory—Hansen等變結構協整方法,對人民幣彙率購買力平價問題進行瞭重新研究。研究髮現樣本期內人民幣彙率髮生瞭兩次結構突變,第一次髮生在2005年7月,第二次髮生在2006年12月。LM檢驗顯示,髮生瞭結構突變的彙率數據生成過程仍為單位根過程,意味著某些經濟遲擊確實對數據生成過程(DGP)產生瞭實質影響。進一步對比研究髮現,在未攷慮結構突變情況下,樣本期內購買力平價不成立;但在攷慮結構突變情況下,兩種變結構協整方法都支持購買力平價成立。
본문응용LM결구돌변검험이급Gregory—Hansen등변결구협정방법,대인민폐회솔구매력평개문제진행료중신연구。연구발현양본기내인민폐회솔발생료량차결구돌변,제일차발생재2005년7월,제이차발생재2006년12월。LM검험현시,발생료결구돌변적회솔수거생성과정잉위단위근과정,의미착모사경제충격학실대수거생성과정(DGP)산생료실질영향。진일보대비연구발현,재미고필결구돌변정황하,양본기내구매력평개불성립;단재고필결구돌변정황하,량충변결구협정방법도지지구매력평개성립。
Based on LM structural change test and other eointegration tests such as the cointegration test of Gregory- Hansen, this thesis makes a re - research on RMB purchasing power parity and discovers that within the sample period from January 2000 to December 2008 the RMB exchange rate gets two structure changes, one taking place in July 2005 and the other in December 2006. The further comparative study shows that without the consideration of the structural change, the purchasing power parity between China and America doesn't hold during the sample periodl however, with the consideration of the structural change, both the cointegration with structural change of Gregory- Hansen and the cointegration of Johansen which introduces the virtual variables of structural change prove the existence of the purchasing power parity between China and America.