中国实际利率平价的KSS非线性单位根检验

中国一直在进行资本和金融项目的渐进改革,通常描述和刻画这一经济规律变化的是利率平价理论。由于近十几年限制我国利率平价的制度约束条件均得到缓解,所以,本文利用基于ESTAR结构的KSS非线性单位根检验分析法,并连同ADF和PP检验一起对我国实际利率平价进行了实证,检验结果表明,实际利率平价假说成立,并遵循非线性稳态过程,利率的非对称调整导致信贷市场和金融市场的信息不对称。这说明短期内实际利率的调整特征是平滑转移的,在长期内,双边国家均无法实施相对独立的货币政策。

Testing China RIP in the Nonlinear KSS Unit Root Framework

The reform on capital and finance has been exerted in China,and these economic changes are depicted by interest parity theory.In recent years,the system restriction of interest parity has been relived,so this article tests real interest parity through nonlinear KSS unit root test based on ESTAR along with ADF and PP test.The result approves real interest parity hypothesis and process follows nonlinear stationary.Unsymmetrical information on credit and financial market is caused by unsymmetrical adjustment of interest.This shows that adjustment of real interest is smooth transition in short term,and in long term bilateral countries can not exert independent monetary policy.