Does purchasing power parity hold sometimes? Regime switching in real exchange rates

Standard unit root tests are not very powerful in drawing conclusions regarding the validity of Purchasing Power Parity (PPP). Rather than asking whether PPP holds throughout the whole sample period, we examine, in this study, if PPP holds sometimes by employing Hamilton-type (1989) Markov regime switching models. When at least one of multiple regimes is stationary, PPP holds locally within the regime. There are indeed various reasons that we should expect that the persistence of real exchange rates changes over time. Employing five real exchange rates spanning more than 100 years, we find herein strong evidence that the strength of PPP varies during the sample periods and that there exist stationary regimes in which PPP holds. Throughout the article, we also make comparisons to previous Markov regime switching estimation results by Kanas (2006) on the same data series. The new Markov switching model selection criterion of Smith et al. (2006), which is devised especially for discriminating Markov regime switching models, unambiguously indicates a preference for the Hamilton-type Markov regime switching model employed in this study. We also find that the evidence for PPP is not much different across different nominal exchange rate arrangements.     

A Comparison of Purchasing Power Parity between China and Japan

In this paper, the difference of income and consumption levels between Chinese and Japanese town dwellers＇ is compared, based on the purchasing power parity of each currency. The results using a historical series of the data and cross section data of the two countries are shown. And whenever the classification of Chinese and Japanese data is inconsistent, we reclassify Chinese material according to the Japanese classification.     

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。     

FURTHER EVIDENCE ON MEAN REVERSION IN THE AUSTRALIAN EXCHANGE RATE

In this paper we re‐examine the purchasing power parity (PPP) in Australia for the period February 1970 to April 2005 using an alternative method relative to the previous studies. We underlined large shocks due to depreciations that affected the Australian exchange rate, using outlier methodology. Once we adjusted the data of these outliers that had large, but either temporary or permanent effects on the series, our results show that there is no tendency for PPP in Australia to hold in the long run during this period.     

The failure of the monetary model of exchange rate determination

In this article, we test three popular versions of the monetary model (flexible price, forward-looking and real interest differential models) for the OECD member countries by applying Johansen cointegration technique. Based on country-by-country analysis, we conclude that monetary models do not provide the expected results. We reveal several shortcomings of the models and examine the building blocks of the fundamental version. Although researchers always blame the deviations from purchasing power parity as the reason for the failure of the monetary model, our analysis indicates that invalidity of Keynesian money demand function is also responsible for unfavourable results.     

汇率传递：模型说明及文献综述

汇率是开放经济环境下的核心工具变量,在维持一国内部平衡和外部平衡时起着重要的作用。对于汇率传递问题的关注开始于世界由固定汇率体系向浮动汇率体系转变的时期,目前它仍然是关于外部调整研究的重要内容。本文分析了汇率传递与一价定律、依市场定价之间的关系,使用一个汇率传递模型阐明了汇率变动对价格体系的传导机制。汇率变动对商品出口价格和进口价格传递应该是一个连续的过程。当获知汇率发生变动时,出口商在不完全竞争的市场结构下,出于经营目的会调整其对价格的加成,这反应到进口国的进口价格上已经是一种“不完全”的传递;而进口商品由于存在分销过程,在最终销售价格上包含了相当程度的国内不可贸易的服务成本,这部分成本由于不受汇率变动的影响,因此汇率变动对进口价格的传递会进一步被削弱。     

A time‐series approach to the determination of savings rates

Time series analysis is used to study the savings rate and its determinants. The real effective exchange rate is introduced as a new independent variable in the savings function. Borrowing constraints, the current account balance, real rate of interest, macroeconomic stability, and age dependency are shown to be significant determinants of the savings rate. In addition, the real effective exchange rate is found to be significant across countries. Violations of Purchasing Power Parity are shown to explain some of the differences in savings rates between Canada, Japan, the United Kingdom and the United States.     

人民币汇率合理性判断--用平行数据单位根对人民币购买力平价的经验分析

本文讨论了人民币汇率是否合理、人民币是否应该升值的两个判断标准,采用四种新发展起来的平行数据单位根检验法,对1978年1月-2004年9月的人民币购买力平价进行了检验.检验的结果普遍支持了购买力平价,可以认为人民币汇率的长期基础是合理的.但我们认为由于汇率在当代存在着两重作用与二重性,现有汇率理论只能部分地解释汇率的决定.论文对汇率的两重作用与二重性进行了分析.     

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。     

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。     

Revisiting purchasing power parity for East Asian countries using the rank test for nonlinear cointegration

This study applies a simple and powerful nonlinear rank test, proposed by Breitung (2001) to test the validity of long-run Purchasing Power Parity (PPP) in a sample of East Asian countries over the period March 1985–September 2008. The empirical results indicate that PPP holds for all of East Asian countries studied and the nominal exchange rate, domestic Consumer Price Index (CPI) and the US CPI are all linearly interrelated with the exception of China. Our results have important policy implications for these East Asian countries under study.