| 王磊,范超.购买力平价与汇率背离原因研究[J].数量经济技术经济研究,2013,30(11):125-143 |
| 购买力平价与汇率背离原因研究 |
| Revealing the Puzzle of PPP' s Departure from Exchange Rate - Empirical Research Based on the Panel Threshold Model |
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| DOI： |
| 中文关键词: 购买力平价 汇率 背离 门限回归模型 国际比较 |
| 英文关键词: Purchasing Power Parity Exchange Rates Departure Threshold Regression model International Comparison |
| 基金项目: |
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| 中文摘要: |
| 本文通过建立面板门限模型拓展了基于“宾效应”的PPP方法，并实证研究了富裕程度、经济自由程度、贸易成本及经济增长速度等因素对PPP与汇率背离的影响。研究表明：（1）富裕程度与贸易成本是解释背离之谜的关键因素。（2）PPP与汇率背离程度随人均GDP的增长存在显著的门限效应。（3）将“宾效应”描述为倾斜的“微笑曲线”能更好地刻画价格水平指数（PLI）与人均GDP关系的阶段性特征。（4）人民币汇率在2005年及以后的低估程度平均约为18%。 |
| 英文摘要: |
| This paper extended the PPP approach used to study real exchange rate by establishing a panel threshold model. This paper did empirical research on the influences of several factors such as wealth, the degree of economic freedom, trade cost, and economic growth rate on the degree of PPP's Departure from Exchange Rate. The study showed that: (1) the level of wealth and trade cost were the key factors to explain the puzzle. (2) Along with the growth of per capita GDP, the degree of PPP's Departure from Exchange Rate had significant threshold effects and can be divided into three stages. (3) Describing "Penn effect" as a "smile curve" can reflect the threshold effect relationship between PLI and per capita GDP better. (4) After 2005, the RMB exchange rate was underestimated about 18% on average. |
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