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:20050530:(1953),,,,,,(1963),,,,,2005.5吕德宗杜金柱(天津财经大学统计学系,天津300000):购买力平价作为其他汇率学说的理论基础和现实中汇率决定的重要依据,仍然备受关注特别是伴随着计量技术和数理经济的进步与发展,大量的实证研究文献不断累积购买力平价之谜便是其中的重要命题之一文章首先简要回顾了购买力平价的理论脉络和购买力平价之谜的内涵,然后采用中国日本和美国三国的数据,利用最小二乘法单位根协整和Granger因果关系检验等计量技术多角度验证了购买力平价之谜和购买力平价的有效性,并对购买力平价对我国的适用性进行了解释:购买力平价;购买力平价之谜;单位根;协整;Granger因果检验16Salamanca,19,Cassel,:;,;,,2030,,,2050,,,,Cassel,,,Dornbush(1987),,,CPI(meanreversion),:,,,,?Rogoff(1996)(PPPpuzzle),,!40!一购买力平价之谜及其解读,Rogoff(1996),,,3~5?Dornbush(1987),,(一)基本因素,,BalassaSamuelson,,,,,,,,,KravisLipsey(1983),,,,,,(forwardlooking),,(二)暂时性因素,,(Dornbush),,,,DixitStiglitz(1977),,,,,(三)随机性因素,,,,二购买力平价的类型及其实证检验的文献回顾(一)购买力平价的几种类型及其对应的实证检验形式,:(1)(AbsolutePPP),∀pi=E∀pi*,(CPI),,;!41!(2)(RelativePPP),,∀pit∀pit-1=(EtEt-1)(∀p*it∀pit-1*),t,(),:et=(pt-pt*)+ut(1)#et=(#pt-#pt*)+vt(2),=et-(pt-pt*)=(3),t(whitenoise),Frankel(1976)FrankelJohnson(1978)t,2080t,t,(二)购买力平价的实证检验:文献回顾,,,,:(1)(OLS),MeeseRogoff(1983),80,,(2)(UnitRootTest)q=e+p*-p(4)e,p*p∃q,(Culver&Papel,l1999)ADF(AugmentedDickeyFuller)#qt=%%+!qt-1+∀k1ci#qt-i+∀t(5)#qt,!=0,,(3)Johansen:p-p*,;sp*p,:,,!42!∃;,,1()Isard(1977)Kravis&Lipsey(1978)(1970~1975)MacDonald(1988)Richardson(1978)Michaeletal(1994)Froot&Rogoff(1995)14~20Edison(1987)1890~1978Hakkio(1984)4Frankel&Rose(1995)1948~1992,150Cheung&lai(1993)Dieboldetal(1991)19Montiel(1997)1964~1994,5ADFDornbush(1987)Rogoff(1996),FloodTaylor(1996),22(paneldata)(pooldata),:1973~19922R21#et=0.022-0.109(#pt-#p*t)+(0.007)(0.108)0.0034205#et=0.356-0.807(#pt-#p*t)+(0.742)(0.159)0.4328410#et=0.165-0.967(#pt-#p*t)+(0.772)(0.129)0.6932120#et=0.224-0.905(#pt-#p*t)+(0.911)(0.116)0.73521:Flood&Taylor(1996)2,,,1,3&,;5102043%69%73%10.109,10200.9670.905,1,三PPP有效性的实证检验:基于人民币日元与美元的计量分析,(2000)ADFPhillipPerron,//,,!43!,1979~20031961~2003,InternationalFinancialStatistics1980~2003∋1992(∋2003((一)经典的最小二乘法检验,,;,1.33(1)(2)(3)NER1=2.089)#p1-0.366(3.61)(-0.70)NER2=1.41)#p2-1.90(10.5)(-2.90)NER3=0.93)#p3+0.90(9.0)(14.05)R20.3720.830.66D.W.0.220.200.39:NER1,#p1CPICPI;NER2,#p2CPICPI121979~2003,24,31961~2003,4312,13,,,D.W.0.2,2.44(1)(2)(3)(1)NER1=0.96)Pusa+0.48)PC-5.18(2.11)(3.20)(-3.98)NER2=-0.52)Pusa-1.365)Pj+13.5(-0.77)(-0.83)(2.95)NER3=-0.27*Pusa+1.25*PC-2.4(-4.14)(1734)(-16.5)(2)NER1=1.03)PC-0.8)Pusa(15.35)(-10.85)NER2=-2.40*Pusa+3.45Pj(-9.26)(3.45)NER3=-0.48)Pusa+0.84)PC(-2.7)(4.51)R2(1)0.960.820.95(2)0.940.640.59D.W.(1)0.970.610.65(2)0.730.380.074CPI,,,,,,,,,(二)实际汇率平稳性的检验q=e+p*-pq(Culver&Papel,l1999)51CPI2CPI,,CPI!44!1CPI2CPI12,,EG,CPI(5)5E-GADFMackinoon-1.311%-3.7667-1.8725%-3.0038E-G∃()-1.8510%-2.6417E-G()-1.55ADF,,E-G,,ADF6ADF()ADFCPI-2.2591%-3.7557CPI-1.5225%-3.008CPI-1.1510%-2.642CPI-1.6931%-2.682CPI-2.3865%-1.958CPI-2.3210%-1.62ADF,CPI(),ADFCPI,CPICPI,10%,CPI5%(三)三变量的协整关系检验(JohansonCointegrationTest)!45!∃,,,E-G,JohansonCPI7CPICPI()5%1%0.6436.9729.6835.65**0.3314.2515.4120.0410.225.503.766.652*:*(**)5%(1%)78,71979~2003,81961~2003,CPICPI,NER1=-0.77)cpichina-0.93)cpiusa+6.53,loglikelihood=128.998CPICPI()5%1%0.4434.329.6835.65*0.15810.815.4120.040.873.753.766.65:*(**)5%(1%)1961~2003,Johanson5%,CPICPI:lgerofchina=0.615lgcpiusa-1.538lgcpichina+2.11(0.1278)(0.140)loglikelihood=230.65,,,cpichinaNER1,,∃,1979~2002,,,,,1979~2003,CPICPI9CPICPI5%1%0.5628.6929.6835.650.3610.5915.4120.0410.040.913.766.652(四)因果关系检验,,,,,,Granger,Granger!46!∃(2000),,;,Granger,(10)10FProbability1.750.200.390.683.140.073.140.071020%,68%,,7%,,10%,四结论分析与PPP对我国的适用性问题,WPICPICPI,,,(),,,3(),,,1994,,19942002,,,,,,CPI,,,,,,3,,,!47!23,,,,1979~2000/,/,,,CPI,,,,,,,,CPI:[1].[J].,2000(9).[2]CheungYW,KSLa.iLongrunPurchasingPowerParityduringtheRecentFloat[J].JournalofInternationalEconomics,1993,34:181~192.[3]CulverSE,DHPapel.lLongrunPurchasingPowerParitywithShort-runData:EvidencewithaNullHypothesisofStationarity[J].JournalofInternationalMoneyandFinance,1999,18:751~768.[4]FrankelJR.MeanReversionwithinandbetweenCountries:APanelDataTestofPurchasingPowerParity[J].JournalofInternationalEconomics,1996:209~224.[5]MarkN.ExchangeRatesandFundamentalEvidenceonLong-horizonPredictability[J].AmericanEconomicReview,1995:201~218.[6]PapellDH.SearchingforStationarity:PurchasingPowerParityundertheCurrentFloat[J].JournalofInternationalEconomics,1997,43:313~332.[7]PaulG,JO∗Connel.lTheOvervaluationofPurchasingPowerParity[J].JournalofInternationalEconomics,1998,44:1~19.[8]RogoffK.ThePurchasingPowerParityPuzzle[J].JournalofEconomicLiterature,199634,June:647~668.TheNewDevelopmentandEmpiricalStudyofPPPPuzzleTheoryLDezongDUJinzhu(StatisticsDepartmentofTianjinUniversityofFinanceandEconomics,Tianjin300000)Abstract:Asthefoundationofotherexchangeratedeterminationtheoriesandstandardruletoadjustthelevelofexchangerate,PurchasingPowerParityhasreceivedspecialattention,especiallywiththecompanyofrapidtechnicalprogressofEconometricanddevelopmentofmathematicseconomicsandtheaccumulationofdocumentations.ThePPPpuzzleisoneofthemostimportantissues.ThisarticlefirstlyreviewsthedevelopmentofPPPtheoryanditsimplications.ThenthewritercarriesouttestontheitsviabilitybymakinguseofsuchtoolsasOLS,Unitroots,CointegrationandGrangerc