人民币汇率与购买力平价的互动关系:——一个VEC模型分析
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财经研究 2007 年 第 33 卷第 08 期, 页码：5 - 17
摘要
参考文献
摘要
文章基于Johansen协整检验和向量误差修正模型估计,研究了人民币汇率与购买力平价的长期互动关系。结论显示,人民币汇率取决于购买力平价,也反过来影响购买力平价,汇率变动对价格来说具有显著的渠道效应。因此,购买力平价可以作为确定人民币均衡汇率的一种参照,但在确定人民币汇率调整路径时,应该考虑汇率对国际相对价格、尤其是本国价格的潜在影响。
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[2]Clark P B,R McDonald.Exchange rate and economic fundamentals:A methodologocalcomparison of BEERs and FEERs[R].IMF Working Paper 67,1998.
[3]Edwards S.Real exchange rate in the developing countries:Concept and measurement[R].NBER Working Paper No.2950,1989.
[4]Edwards S.Real and monetary determinants of real exchange rate behavior:Theory andevidence from developing countries[A].John Williamson.Estimating equilibrium ex-change rates[C].Washington,D.C.:Institute for International Economics,1994.
[5]Elbadawi I A.Estmating long-run equilibrium exchange rates[A].John Williamson.Es-timating equilibrium exchange rates[C].Washington,D.C.:Institute for InternationalEconomics,1994.
[6]Engel Charles.Expenditure switching and exchange rate policy[R].NBER WorkingPaper 9016,2002.http://www.nber.org/papers/w9016.
[7]Engle Robert F,C W J Granger.Co-integration and error correction:Representation,es-timation,and testing[J].Econometrica,1987,55:251~276.
[8]Faruqee Hamid.Exchange rate pass-through in the Euro area:The role of asymmetricpricing behavior[R].IMF Working Paper 14,2004.
[9]Friedman Milton.The case for flexible exchange rates[Z].Essays in Positive Economics(Chicago:University of Chicago Press),1953.
[10]Hinkle Lawrence E,Montiel Peter J.Exchange rate misalignment:Concepts and meas-urement for developing countries[R].A World Bank Publication.Oxford:Oxford Uni-versity Press,1999.
[11]Johansen S.Estimation and hypothesis testing of cointegration vectors in gaussian vec-tor autoregressive models[J].Econometrica,1991,59:1551~1580.
[12]Johansen S.Likelihood-based inference in cointegrated vector autoregressive models[M].Oxford:Oxford University Press,1995.
[13]MacKinnon,James G,Alfred A Haug,Leo Michelis.Numerical distribution functionsof likelihood ratio tests for cointegration[J].Journal of Applied Econometrics,1999,14:563~577.
[14]Obstfeld M.Exchange rates and adjustment:Perspectives from the new open economymacroecnomics[R].NBER Working Paper 9118,2000.
[15]Williamson J.The exchange rate system[M].Washington,D.C.:Institute for Interna-tional Economics,1985.
[16]Williamson J.Estimates of FEERs[A].John Williamson.Estimating equilibrium ex-change rates[C].Washington,D.C.:Institute for International Economics,1994.
[17]Zhichao Zhang.Real exchange rate misalignment in China:An empirical investigation[J].Journal of Comparative Economics,2001,29:80~94.
[18]胡援成.人民币实际汇率与购买力平价[J].当代财经,2003,2:40~45.
[19]孙立坚,李心安,吴刚.开放经济中的价格传递效应:中国的例证[J].经济学季刊,2003,10:126~146.
[20]王志强,齐佩金,孙刚.人民币汇率购买力平价的界限检验[J].数量经济技术经济研究,2004,2:116~124.
[21]易丹辉.数据分析与EViews应用[M].北京:中国统计出版社,2002.
[22]张道政.从购买力平价理论看人民币汇率的决定[J].世界经济与政治论坛,2005,2:52~57.
[23]张晓朴.购买力平价思想的最新演变及其在人民币汇率中的应用[J].世界经济,2000,9:10~18.
[24]张志超.人民币汇率政策的制度迁跃:历史的视角[D].经济发展论坛工作论文,2005.
引用本文
吴信如. 人民币汇率与购买力平价的互动关系:——一个VEC模型分析[J]. 财经研究, 2007, 33(8): 5–17.
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