購買力平價理論與結(jié)構(gòu)突變—中美實際匯率的實證研究.pdf

1、山西財經(jīng)大學碩士學位論文購買力平價理論與結(jié)構(gòu)突變—中美實際匯率的實證研究姓名：楊云帆申請學位級別：碩士專業(yè)：統(tǒng)計學指導教師：王建華201005242AbstractAbstractPurchasingPowerParity(PPP)isthebasicbuildingblockofexchangeratedeterminationthey.ItisnotsurprisingtherefethatalargeliteratureonPPP

2、hasevolved.WiththeuseofnewlydevelopedstructuralbreakstechniquesIretestthevalidityofPPPbetweenChinatheUnitedStatesanalyzethedynamicbehaviofexchangerate.IhavetestedthevalidityofCasselsPPPthemodifiedversionofPPPwhichtakesin

3、toaccountoftheBalassaSamuelsoneffect.InadditionIhaveexaminedthetimingofthestructuralchangesinrealexchangeratebetweenChinatheUnitedStateshaveestimatedthetimingofthestructuralbreaks.UsingthemethodsdevelopedbyPapell、Prodan（

4、2006）IhavedistinguishedCasselsPPPthemodifiedversionofPPPintofourdifferentconcepts.MeoverIhaveusedunitroottestunitroottestallowingfstructuralbreakstotesttheseconceptshavetakenthemethodofVogelsang(1997)toestimatethestructu

5、ralbreakspoint.Thispaperhasusedasampleofmonthlytimeseriesofexchangerateovertheperiod2001.12009.4(100observations).CPIhasbeenusedasthemeasurementofpricelevel.BasedontheanalysisIhavenotfoundanyevidenceofPPPbetweenChinatheU

6、nitedStateshaveconcludedthattherealexchangeratefollowsnonstationaryprocesshasonestructuralbreak.FurthermethebreakpointtimehasbeenfoundinJuly2006whichimplieswehaveaddedexchangerateflexibilitysuccessfully.KeyKeyKeyKeyWdsWd