论文部分内容阅读
将PPP和UIP纳入同一个理论分析框架,采用1999年1月至2015年1月的月度数据,构建长期和短期动态调整的向量误差修正模型,进而通过Johansen协整检验、结构性假设检验来验证PPP和UIP在中国的适用性。研究结果表明,Johansen协整检验及信息准则共同判定模型中存在两个协整关系。进一步,在PPP和UIP条件相一致的结构性假设下,进而对协整向量进行了三类检验。上述实证结论的政策意涵是汇率政策的制定应该将商品市场和资本市场间的互动考虑在内,否则政策效果是不可持续的。
The PPP and UIP are integrated into the same theoretical framework. Monthly data from January 1999 to January 2015 are used to construct a vector error correction model for long-term and short-term dynamic adjustment, which is verified by Johansen cointegration test and structural hypothesis test Applicability of PPP and UIP in China. The results show that there are two cointegration relations in Johansen co-integration test and information criterion co-determination model. Further, under the structural assumption that PPP and UIP conditions are consistent, three types of cointegration vectors are tested. The policy conclusion of the above empirical conclusion is that the formulation of exchange rate policy should take into account the interaction between the commodity market and the capital market, otherwise, the policy effect will be unsustainable.