摘要
本文采用三体制的SETAR模型对购买力平价理论框架下的人民币实际汇率均值回复过程的非线性调整问题进行研究,发现人民币实际汇率的均值回复过程具有典型非线性特征、强持续性和局部非平稳特征,验证了交易成本存在时基于购买力平价的实际汇率调整过程中Band of Inaction(BOI)区域存在。模型结果还显示人民币在均值回复过程中承受着较多的升值压力,但在升值体制中的均值回复速度较快,表明人民币升值的很大一部分压力来自外部并非完全是市场的意愿。
In this paper, we model the RMB exchange rate mean reverting process under the PPP framework with a three regime SETAR model to study the nonlinear adjustment of the issue, and find that the RMB exchange rate mean reverting process with a typical nonlinear characteristics and strong sustainability. And it is resulted that the RMB exchange rate mean reverting process presenting local non -stationary characteristics, which verify the presence Band of Inaction （BOI） area in the real exchange rate adjustment process based on PPP with the existence of transaction costs. Model results also show that the mean reverting process of RMB bears a greater pressure of appreciation, but in the regime of appreciation it has a faster speed in reverting, indicating that a large part of the pressure in RMB appreciation is not entirely from the market will but from the outside.
出处
《上海经济研究》
CSSCI
北大核心
2014年第9期19-30,共12页
Shanghai Journal of Economics
关键词
人民币汇率
购买力平价
均值回复
局部非平稳
RMB exchange rate
purchasing power parity
mean reversion
local non-stationary
