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.     

基于购买力平价的中国商业银行生产效率的国际比较

本文首次以购买力平价作为贷币换算系数,利用数据包络分析方法对我国商业银行与欧美发达国家的商业银行的生产效率进行了比较研究,精确计量了我国商业银行与发达国家商业银行的效率差距.研究结果证明:现阶段我国商业银行的生产效率平均只有欧美发达国家的最好的商业银行的四分之一,差距很大,存在着比较严重的投入过剩.     

PPP: Further evidence from Japanese regional data

This paper empirically analyzes Purchasing Power Parity (PPP) among Japanese municipalities from 1990 to 2003. Using panel unit root tests including one that considers cross-sectional dependence in the data (e.g., [Moon, H. R. and Perron, B. (2004). Testing for a unit root in panels with dynamic factors. Journal of Econometrics, 112, 81–126.]), we find evidence in favor of PPP, confirming the stationarity of relative prices in Japan and thus the long-run co-movement of municipal prices. Furthermore, the half-life of a shock is found to be about 2 years, which is faster than that of the international PPP. As in the European and US studies, short-term deviations from PPP can be explained by income differentials and distance between cities.     

Examining the evidence of purchasing power parity by recursive mean adjustment

This paper revisits the empirical evidence of purchasing power parity under the current float by recursive mean adjustment (RMA) proposed by So and Shin (1999). We first report superior power of the RMA-based unit root test in finite samples relative to the conventional augmented Dickey–Fuller (ADF) test via Monte Carlo experiments for 16 linear and nonlinear autoregressive data generating processes. We find that the more powerful RMA-based unit root test rejects the null hypothesis of a unit root for 16 out of 20 current float real exchange rates relative to the US dollar, while the ADF test rejects only 5 at the 10% significance level. We also find that the computationally simple RMA-based asymptotic confidence interval can provide useful information regarding the half-life of the real exchange rate.     

国际购买力平价和简化净出口函数:中国实证

文章从国际交换价值的角度研究了一价定律的内涵,提出了国际购买力平价理论,并且证明了国际购买力平价是严格意义上的均衡汇率。2009年人民币贸易品购买力平价为6.70元人民币/美元,而国际购买力为5.49元人民币/美元,后者可作为确定人民币汇率处于均衡水平的参考。文章还简化了净出口函数,得出如下主要结论:(1)近年我国的贸易顺差大幅增长,主要是因为价格贸易条件恶化,其次是因为J曲线效应;(2)当前的首要任务是改善我国的价格贸易条件以提高国际购买力平价,而不是调整人民币汇率。     

Inflation-targeting and real interest rate parity: A bias correction approach

This paper investigates whether inflation-targeting influences real interest rate parity (RIP) by a bias correction approach under cross-sectional dependence. The recursive mean adjustment (RMA) method proposed by So and Shin (1999) and Shin and So (2001) is employed to correct the downward bias in the panel unit root tests and in the half-life estimates of real interest rate differentials for traded and non-traded goods. The empirical findings differ depending on whether we apply the RMA. More importantly, the empirical results show that as more homogeneous economies become involved in terms of inflation-targeting regime, stronger mean reversion and much a tighter confidence interval are present. Thus, inflation-targeting plays an important role in providing favorable evidence for long-run RIP.     

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

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。     

Purchasing Power Parity and Price Fluctuations in China before July 1937

In this paper, we provide an empirical investigation of the purchasing power parity (PPP) hypothesis for China before July 1937. Using the monthly data from 1922 to 1937, we find clear and consistent evidence in favor of the purchasing power parity relationship. This naturally leads to the conclusion that the degree of Chinese market integration with the West was substantial before July 1937. These findings offer an empirical interpretation of the rise and fall of the Chinese price level during the Great Depression. It also has further implications of the impact of the American Silver Purchase Act of 1934 and the assessment of the 1935 currency reform on the Chinese economy.     

Purchasing Power Parity and aggregation bias for a developing country: The case of Mexico

This paper investigates long-run Purchasing Power Parity (PPP) between the US and Mexico. We use a panel of disaggregated price data between the US and Mexico with a long time series to look at two types of aggregation bias. The first is examined in Imbs et al. — which we refer to as estimator aggregation bias — and the second is put forth by Broda and Weinstein — hereafter, data aggregation bias. The findings indicate substantial estimator aggregation bias and data aggregation bias. Although estimates using aggregate data and imposing homogeneous coefficients provide little evidence of PPP, findings with disaggregated data and heterogeneous coefficient estimators offer strong support. The results also suggest the presence of small-sample bias as examined in Chen and Engel, but with little effect on the qualitative results. Tradable goods and non-tradable goods show little distinction in convergence rates. Estimated half-lives are lower under flexible than fixed exchange rates and indicate rapid convergence during the Mexican peso crisis.     

Quantile unit root test and the PPP in Africa

In this study, we apply the Quantile unit root test and revisit the Purchasing Power Parity (PPP) in 20 African countries using real effective exchange rates over the period 1971Q1 to 2012Q4. While traditional unit root tests fail to reject unit root hypothesis in most of the countries, results from Quantile unit root test reject unit root null hypothesis in Ghana, Mauritius, Niger, South Africa, and Togo, providing support for the PPP at least in these five countries. We further estimate the half-life based on Quantile autoregressive (QAR) model to be about 4.57–7.96 quarters (1–2 year).     

Estimating Purchasing Power Parities from Household Expenditure Data Using Complete Demand Systems with Application to Living Standards Comparison: India and Vietnam

This study departs from the previous literature on purchasing power parity (PPP) by proposing a demand system based methodology for calculating the PPP that takes account of consumer preferences and allows for the substitution effect of price changes. The methodology is used to calculate the PPP between the Indian Rupee and the Vietnamese Dong. The study allows for regional variation in preferences and price changes both inside the country and between countries. It proposes and applies a methodology for constructing prices from unit values after adjusting them for quality and demographic effects. The adjusted unit values are used as prices in the demand estimations, and the demand parameter estimates are used to calculate both spatial prices within each country and the PPP between the two countries within a consistent framework. The study illustrates the usefulness of preference consistent methods to calculate the PPP by applying the PPPs to compare living standards between India and Vietnam. The significance of the results follows from the fact that the levels of living comparisons are quite sensitive to the PPP used in converting the Rupee expenditure into Vietnamese Dong. The present results on food PPPs question the relevance of the PPPs from the ICP project in cross‐country welfare comparisons especially in a period of high food inflation.     

The Impact of Power Equality,Income, and the Environment on Human Health: Some Inter‐Country Comparisons

Economic studies on environmental degradation generally have a narrow focus on per capita income as an explanatory variable, and often fail to distinguish among the various types of environmental quality or damage. This paper addresses both problems by examining the effect of relative equality in the distribution of power on environmental outcomes, and making a clear distinction between health‐related environmental outcomes and so‐called ‘environmental amenities,’ only the latter of which should correlate strongly with income. This paper introduces a national index of power equality that is derived from related socioeconomic variables, and studies its effects on individual country achievement in addressing environmental quality and population health. This model is applied to a data set of 180 countries, as well as to subgroups of the entire country set. Employing disability‐adjusted life expectancy and the population child mortality rate as two health proxies, this paper finds that power equality in most cases positively influences population health, and that power equality is in every case no worse and in some cases better than per capita income at explaining population health.     

Localized technological change, new information technology and the knowledge-based economy: The European evidence

This work analyzes the co-evolution of new information and communication technologies and the knowledge-intensive business industry. New information technology affects the actual conditions of information, its basic characteristics of appropriation and tradability, favouring the role of business services as forces of interaction between knowledge components in the generation of new technology. Empirical analyses, based on input/output statistics of the European economy in the second half of 1980's, demonstrate the existence of a correlation between the usage of business and communication services and confirm their high output elasticity.     

Questioning the empirical basis of the environmental Kuznets curve for CO2: New evidence from a panel stationarity test robust to multiple breaks and cross-dependence

This paper investigates the time series properties of per capita CO₂ emissions and per capita GDP levels for a sample of 86 countries over the period 1960-2000. For that purpose, we employ a state-of-the-art panel stationarity test which incorporates multiple shifts in level and slope, thereby controlling for cross-sectional dependence through bootstrap methods. Our analysis renders clear-cut evidence that per capita GDP levels are nonstationary for the world as a whole while per capita CO₂ is found to be regime-wise trend stationary. The analysis of country-groups shows that for Africa and Asia, per capita CO₂ is best described as nonstationary, while per capita GDP appears stationary around a broken trend. In addition, we find evidence of regime-wise trend stationarity in both variables for the country-groups consisting of America, Europe and Oceania. The results of our analysis carry important implications for the statistical modelling of the Environmental Kuznets curve for CO₂, since the differing order of integration in both variables for the world as a whole and for Africa and Asia calls into question the validity of panel cointegration techniques which assume that both variables are nonstationary and cointegrated with one another. Cointegration techniques would not be appropriate either for the case of America, Europe and Oceania which are characterised by per capita GDP and CO₂ emissions being stationary around a broken trend. Similar conclusions are reached when we analyse country-groups based on levels of development. Failure to properly characterise the time series properties of the data by not controlling for an unknown number of structural breaks and for cross-sectional dependence could be responsible for the fragility and lack of robustness surrounding the estimation of environmental Kuznets curves.     

Natural capital, subjective well-being, and the new welfare economics of sustainability: Some evidence from cross-country regressions

The measurement of natural capital and its management during the economic development process are important aspects of the capital approach to sustainable development. However, the assessment of social welfare in terms of genuine savings (or changes in total wealth per capita) is arguably too limited. This paper tries to make a case for the incorporation of subjective well-being measures in debates about sustainable development by exploring the macro-level relationship between subjective well-being and natural capital in a cross-country setting. It is tested whether natural capital per capita is correlated with subjective well-being in a sample of fifty-eight developed and developing countries, using natural capital data from the World Bank's Millennium Capital Assessment. Bivariate regressions indicate that it is. When multiple regression models are estimated that include (a) major country-level determinants of subjective well-being (GNI per capita, social capital, income distribution, unemployment, inflation), and (b) regional dummy variables for ex-Soviet Union and Latin American countries, the positive correlation remains. The role of data outliers is carefully explored, and the sensitivity of the results to the use of alternative subjective well-being measures (i.e. life satisfaction, happiness, and a combined life satisfaction and happiness index) is investigated. This does not change the nature of the results. The findings arguably strengthen the case for a ‘new welfare economics of sustainability’ that takes subjective well-being measures into account.