汇率非线性因素在部分亚洲货币汇率中的特征——检验购买力平价论的新方法
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财经研究 2010 年 第 36 卷第 02 期, 页码：5 - 15
摘要
参考文献
摘要
当真实汇率运动实际上是非线性过程,而假设它为线性时,那么检验购买力评价理论的标准单位根检验通常是低效力的。文章运用带有单位根的门限自回归模型模拟了包括中国在内的6个亚洲主要新兴市场国家货币兑美元的真实汇率,发现它们都具有较强的非线性,说明了传统的线性方法不再具备模拟真实汇率的能力,且除人民币以外的其他5种货币的真实汇率都表现出了平稳非线性特征,在异动时期具有均值回归的趋势。周期性的金融危机是导致中国以外的其他5个国家货币的真实汇率出现异动的主要因素。人民币真实汇率的非线性行为则表现出了与其他国家不同的特点,导致它出现异动的主要因素为人民币对内和对外价格的相互背离,人民币真实汇率没有表现出向均值调整的趋势,甚至在异动时期呈现了向均值偏离的趋势。
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引用本文
丁剑平, 谌卫学. 汇率非线性因素在部分亚洲货币汇率中的特征——检验购买力平价论的新方法[J]. 财经研究, 2010, 36(2): 5–15.
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