关于中国与OECD国家购买力平价比较研究结果及其评价

本文分析了中国购买力平价研究的背景，简要介绍了购买力平价测算的基本方法。在国家统计局以部分城市参加OECD1999年一轮购买力平价项目试验性合作研究的基础上，应用国际通用的方法，测算了1999年中国与OECD国家购买力平价比较的结果，即1美元=4．67元人民币。相当于当年汇率的57％；同时，介绍了国内外关于中国购买力平价研究的主要结果。分析它们之间存在差异的原因。通过对比分析认为，本研究结果基本合理，反映中国购买力平价研究的共同趋势。     

人民币均衡汇率的理论与模型

一、引言1997年下半年以来,各界对人民币汇率的关注骤然升温,人民币汇率是否存在高估成为学术界争论的焦点。要判断人民币汇率是否合理,首要的是确定一个参照系,即要回答什么样的人民币汇率是“适当”的———也就是测算出经济学上所说的人民币均衡汇率水平。我国学术界曾利用绝对购买力平价、相对购买力平价等理论对人民币均衡汇率进行研究,如易纲(1997)、陈学彬(1999)等。但国内外大量的理论和实证研究表明,购买力平价理论存在的最大缺陷是它忽略了基本经济要素如劳动生产率、贸易条件等对汇率的影响,同时平价成立的假设较为严格,这些假设…     

人民币升值背景下再谈购买力平价

中国人民银行于近日宣布人民币对美元汇率升值2%.在这一背景下,本文简要回顾了购买力平价理论（PPP）,并总结了国际上对中国购买力的测算方法,同时针对人民币汇率与我国PPP之间的较大差异,提出产生偏差的具体原因.最后得出结论：必须结合我国自身的改革进程和现实经济的运行特点来分析购买力平价,才能确定人民币汇率的合理水平.     

“全球第一”的高帽中国戴不起

9月27日出版的《瑞典日报》称:根据世界银行的估算,9月29日全球经济权力将实现引人注目的交接,按照购买力平价计算,中国国内生产总值(GDP)将超过美国,荣升为世界最大经济体. 不同于以往听到中国经济排名提升后的激动和炒作,时下的中国对于诸如此类戴给中国的高帽更多了一份理性和警惕.对于这次报道,传统媒体以及新兴媒体,都几乎以调侃的心态对待.我们注意到,这个排名是按照购买力平价测算的.购买力平价理论尽管可以消除各种人为操纵汇率的情况,但这种测算方法和现实情况相距甚远.     

多边比较下的中国制造业国际竞争力研究:1980—2004

本文首次以1997年购买力平价为基础,利用多边比较方法从相对价格水平、劳动生产率、单位劳动成本和国际价格等方面对中国制造业1980—2004年的国际竞争力进行研究。经测算得出:1997年中国制造业各类PPP(购买力平价)接近于3·7元/国际美元。20世纪80年代中期以后,相对价格水平是参与比较的五国中最小的,且逐年下降;单位劳动成本一直在波动过程中下降。80年代,劳动生产率呈现了“没有追赶趋势的快速增长”。但在1992年后,表现出明显的追赶趋势。     

购买力平价理论对人民币汇率升值的适用性分析

在人民币升值的外在压力中,有一种理由认为人民币汇率已大幅偏离了购买力平价。但是偏离购买力平价的汇率需要调整这一命题的真伪取决于购买力平价理论对一国的适用性,这种适用性的常用检验方法有两种:实际汇率的平稳性检验和名义汇率与国内外价格水平的协整检验,虽然分析结论认为前者的严谨性优于后者,但这两种方法均不支持购买力平价对于人民币汇率的适用性。原因除了购买力平价自身的局限外,更重要的在于中国的汇率-价格传导机制不够通畅。既然购买力平价在中国并不完全成立,那么人民币汇率对购买力平价的偏离就不能构成人民币升值的理由。     

亚洲经济自由增长

2007～2012年之间,发达经济体的经济增长2％,中国增长56％,印度增长43％,亚洲发展中国家均增长50％（均以购买力平价为基准测算）。     

购买力平价偏离理论综述

购买力平价说是一种基本的汇率决定理论,但影响购买力平价关系成立的短期或长期经济因素众多,从而使得实际汇率经常偏离平价关系.本文对有关文献中各种购买力平价偏离模型进行了综合分析,阐明了生产率、政府支出、货币供给、偏好需求和定价策略等基本因素作用于实际汇率的经济机制.     

人民币汇率与购买力平价

本文基于购买力平价理论,通过实证分析的方法,对1980-2008年的人民币兑美元汇率与中美消费物价指数的数据进行研究分析,以探究购买力平价理论与人民币汇率之间存在的关系。     

基于购买力平价的江苏省区域经济分异

利用购买力平价理论进行江苏省地区间购买力平价,采用基尼系数、Mann-Kendall法和聚类分析的方法对1985—2012年江苏"名义"和"实际"区域经济差异变化和格局进行分析,研究结果表明:1通过地区间购买力平价,江苏省"实际"区域经济差异呈现缓慢上升状况;2通过地区间购买力平价,江苏省地区经济差异的变化可分为四个阶段:1985—1992年、1993—2000年、2001—2008年、2009—2012年;3地区间购买力平价不会改变经济差异变化的表现形式,江苏地级市间的经济差异主要表现为三大地带的差异;4地区间购买力平价表现为对于较为发达地区的经济发展水平测度影响较大。     

Long‐Run PPP under the Presence of Near‐to‐Unit Roots: The Case of the British Pound–US Dollar Rate*

Empirical tests typically provide evidence that the British pound–US dollar exchange rate and the relative wholesale price index contain exact unit roots and exhibit cointegration. However, the cointegrating vector is significantly different from [1, ?1], thus raising doubts on the validity of the purchasing power parity (PPP) hypothesis. Following Elliott (1998 ), we show that if the exchange rate and relative price series contain near‐to‐unit roots in the context of a bivariate system, then any inference on the “cointegrating” vector and consequently on PPP, which is based on standard cointegration estimation methods, will be misleading. We then argue that the existing evidence against the PPP hypothesis in the British pound–US dollar market can be attributed to the finite sample bias of the standard cointegration estimators, arising from an endogenous and “nearly” nonstationary regressor. We also show that when robust procedures are employed the evidence favors the PPP hypothesis.     

Testing the relative purchasing power parity hypothesis: the case of Korea

This study examines the relative purchasing power parity (PPP) hypothesis using the data from the Korean won–US dollar and the Korean won–Japanese yen foreign exchange markets. We extract proxies for inflation from stock market returns of Korea, the United States and Japan based on the method used by Chowdhry, Roll and Xia in 2005. We explicitly test the relative PPP hypothesis in light of the short-run price volatility using monthly, bimonthly and quarterly data from 1 January 1998 to 31 December 2012. Our findings suggest that the empirical test results from the entire sample period do not support the relative PPP hypothesis. However, the results from the sample period excluding the Asian Financial Crisis period show that the relative PPP hypothesis holds for the Korean won–US dollar market with a moderate magnitude of inflation impact, but not for the Korean won–Japanese yen market. Abrupt changes in exchange rates during the crisis period may have affected the relationship between inflation and exchange rates. This result also suggests that factors other than inflation might have affected the Korean won–Japanese yen exchange rate.     

Purchasing power parity and country characteristics: Evidence from panel data tests

We examine long-run purchasing power parity (PPP) using panel data methods to test for unit roots in US dollar real exchange rates of 84 countries. We find stronger evidence of PPP in countries more open to trade, closer to the United States, with lower inflation and moderate nominal exchange rate volatility, and with similar economic growth rates as the United States. We also show that PPP holds for panels of European and Latin American countries, but not for African and Asian countries. Our findings demonstrate that country characteristics can help explain both adherence to and deviations from long-run PPP.     

Further evidence on purchasing power parity and country characteristics

Using data from 76 countries, this paper investigates the relationship between country characteristics and the validity of purchasing power parity (PPP). Several interesting results are obtained based on dollar-based exchange rates. First, PPP holds for Africa and Latin America. Further, PPP tends to be supported for countries with high or moderate openness, low growth rates, high inflation rates and high nominal exchange rate volatility, respectively. Second, a single country characteristic seems inadequate to account for the validity of PPP. Third, PPP is supported if countries satisfy at least two characteristics of supporting PPP simultaneously. Finally, the main results of the paper are robust when the numeraire currency changes from the US dollar to Japanese yen.     

Purchasing power parity in the short and long run: a reappraisal of the post-1973 evidence

In this paper, an attempt is made to separate the short-run and long-run aspects of the purchasing power parity (PPP) relationship, using the techniques of band-spectral regression and cointegration for eight industrialized countries. The long-run PPP is first tested for all the eight countries, with reference to their nominal bilateral exchange rates vis-à-visthe US dollar. For five European currencies, the analysis is repeated with respect to the Deutschmark, with a separate consideration of the post-EMS period. In the concluding sections, possible reasons for PPP deviations are examined.     

Purchasing Power Parity and the European single currency: Some new evidence

The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro. Standard as well as nonlinear unit root tests are employed on the time series dimension. Unit root tests reject PPP and the highest half-lives are observed after the introduction of the single currency. Panel unit root (Pesaran, 2007) and stationarity tests (Hadri and Kurozumi, 2008) that take into account cross-sectional dependence are also estimated. The results remain inconclusive as panel stationarity tests fail to support PPP whereas panel unit root tests fail to reject PPP for the whole sample and for the period before the introduction of the single currency.     

美元、石油和金属价格——基于VAR模型的实证研究

近年来,美元贬值以及石油价格上涨一直被认为是造成有色金属价格上涨的两个可能的原因。在这一背景下,笔者采用VAR模型分析了美元价值和石油价格变化对我国铜、黄金、白银等金属价格的冲击影响,以及在此冲击下三种金属价格间的相互影响关系。结果表明:美元价值以及黄金和白银二者之间的相互影响关系在很大程度上决定了我国黄金和白银的价格行为;而美元、石油、黄金以及白银价格的变化对于我国铜金属价格的冲击尽管是显著的,但是四者均不是铜金属价格上涨的主要原因。     

Parity reversion in the Asian real exchange rates: new evidence from the local-persistent model

This article investigates the time-series properties of 13 Asian real exchange rates (RERs) vis-à-vis the US dollar. The half-life point estimates drawn from the local-persistent model are all less than 2 years, with a finite upper bound. There is no evidence to indicate that the Asian financial crisis has altered the speed of the purchasing power parity (PPP) adjustments. We find that the persistence of RERs over the last three decades remains unchanged in majority of the cases. Given the fairly rapid speed of adjustments and their corresponding confidence intervals, we conclude that the PPP puzzle does not exist in these countries.     

The persistence in real exchange rate: Evidence from East Asian countries

In this article, we examine the degree of persistence in monthly real exchange rate of six East Asian countries in relation to their two major trading partners, the United States and Japan, to study the validity of PPP for the 1976:01–2009:03 period. To investigate the persistency in real exchange rate series, we use sum of the autoregressive (AR) coefficients and the confidence interval for it using grid-bootstrap procedure recently developed by Hansen (1999). We have two findings: first, we find evidence for high persistency in real exchange rate in terms of the Japanese yen for five countries and for four countries in terms of the US dollar the for the full and pre-crisis sample periods. Second, for the post-crisis period, the presence of low persistency in real exchange rate supports PPP for three countries in terms of the Japanese yen and five countries in terms of the US dollar. These findings indicate that real exchange rate series of five East Asian countries are mean-revert based on their exchange rate policies and East Asian countries can form a currency union.     

An empirical examination of long-run purchasing power parity as theory of international commodity arbitrage

An empirical analysis of long-run purchasing power parity (PPP) as a theory of international commodity arbitrage between UK and US prices and the sterling/US dollar exchange rate for the period 1975–1980 is presented. Econometric techniques concerning the cointegration of economic time series are applied to a sample of 35 manufactured commodities which in 1977 constituted approximately a quarter of the net output of all manufacturing industry in Great Britain. Our results are extremely unfavourable to the PPP hypothesis as a stable long-run proportionality between exchange rates and disaggregated prices.