A Nonparametric Measure of Convergence Toward Purchasing Power Parity ∗ Mototsugu Shintani
A Nonparametric Measure of Convergence Toward Purchasing Power Parity ∗ Mototsugu Shintani
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购买力平价收敛的非参数测量 * Mototsugu Shintani
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发表时间：
2004
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通讯作者：
Serena Ng
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作者：
M. Shintani;M. Fukushige;Ronald Gallant;Satoru Kanoh;Serena Ng
有人声称，在实际汇率线性调整的假设下，与购买力平价的偏离是高度持久的，并且有相当长的半衰期。然而，受贸易成本模型的启发，非线性调整在近年来的实证研究中被广泛采用。本文利用时间序列的最大李雅普诺夫指数，提出了一种简单的非参数方法来评估非线性情况下的调整速度。实证结果表明，收敛到长期价格水平的速度确实比以往线性限制研究中发现的要快。
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost models, nonlinear adjustment has been widely employed in recent empirical studies. This paper proposes a simple nonparametric procedure for evaluating the speed of adjustment in the presence of nonlinearity, using the largest Lyapunov exponent of the time series. The empirical result suggests that the speed of convergence to a long-run price level is indeed faster than what was found in previous studies with linear restrictions.