Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test
Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test
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实际汇率不稳定吗？
DOI：
10.2307/2077966
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发表时间：
1996
期刊：
影响因子：
--
通讯作者：
Yangru Wu
中科院分区：
文献类型：
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作者：
Yangru Wu
有据可查的是，后布雷顿森林体系时期美国与许多工业化国家之间的实际汇率是一体化的。这一结果意味着购买力平价（PPP）即使作为长期关系也不成立。本文证明，未能拒绝单位根假设可能是由于现有单变量检验程序的功效较低所致。我通过采用更强大的基于面板的程序来测试实际汇率的单位根。使用 CPI 和 WPI 实际美元汇率数据，我强烈拒绝单位根的零假设。我的结果为当前浮动利率下的长期 PPP 提供了压倒性的支持。版权所有 1996，俄亥俄州立大学出版社。
It is well documented that real exchange rates between the United States and many industrialized countries in the post-Bretton Woods period are integrated. This result implies that purchasing power parity (PPP) does not hold even as a long run relationship. This paper demonstrates that the failure to reject the unit-root hypothesis may result from the low power of existing univariate test procedures. I test for unit roots in real exchange rates by employing a more powerful panel-based procedure. Using both CPI and WPI real dollar exchange rate data, I strongly reject the null hypothesis of a unit root. My results provide overwhelming support for the long-run PPP under the current float. Copyright 1996 by Ohio State University Press.