实际汇率
相对购买力平价可能克服这些问题,相对购买力平价是指两国之间的汇率的变动等于相对价格水平的变化,正式:协整技术最初提出的恩格尔格兰杰(1987)和扩大,提高了很多人。尽管长期购买力平价的概念意味着短期内汇率偏离均衡水平,只有当这种偏差(实际汇率)是静止不动的,长期购买力平价将举行。如果存在一系列固定显示两个时间序列之间的线性关系都是集成的一个,然后这两个时间序列之间存在协整关系。此时的non-stationarity系列可以完全抵消其他系列,所以这两个严重之间可以建立长期的合作关系。如果名义汇率和相对价格水平有一个静止不动的,可逆的,非确定ARMA表达式d时间的差异之后,我们可以说,他们是综合d,或者我(d)。如果实际汇率是随机漫步过程,然后是一个线性combinationis通常一个我(d)的过程。相反,如果购买力平价成立,那么存在参数使上述组合一个固定的过程。
当测试co-integrations,恩格尔格兰杰首次提出了两步方法:第一步是测试是否名义汇率和相对价格水平都是集成的一个。第二步,如果两个变量都是我(1)过程,然后测试是否回归的残差(3 – 5)是固定的。应该是我(0)和固定是否存在协整关系,然后购买力平价条件。
实际汇率
Relative purchasing power parity may overcome these problems, the relative purchasing power parity refers to the movements of exchange rate between the two countries are equal to the level of relative price changes, formally:Co-integration technique was originally proposed by Engel and Granger (1987) and expanded and improved by many people. Although the concept of long term PPP means that short term exchange rate can deviate from the equilibrium level, only when such deviation (the real exchange rate ) is stationary, the long-term PPP will hold. If there exists a stationary series indicating a linear relationship between two time series which are both integrated of order one, then there is co-integration relationship between the two time series. At this point the non-stationarity of one series can be fully offset by the other series, so the long-term relationship can be established between these two serious. If the nominal exchange rate and relative price levels have a stationary, invertible, non-deterministic ARMA expression after d time’s differentials, we can say that they are integrated of order d, or I (d). If the real exchange rate is random walk process, then there is a linear combinationis usually an I (d) process. Conversely, if PPP holds, then there exists parameter which makes the above combination a stationary process.
When testing co-integrations, Engel and Granger first proposed a two-step method: The first step is to test whether the nominal exchange rate and relative price level are both integrated of order one. The second step, if the two variables are both I (1) process, then test whether the residuals of regression (3-5) are stationary. should be I(0) and stationary if there is a co-integration relationship between and , and then PPP condition holds.
