A Test of Long-Run Purchase Power Parity-Evidence for China against the US

摘要：

This paper aims to re-examines the validity of the PPF hypothesis for China and US from the relative stable period 1997-2006,by employing ADF unit root test,.lohansen cointegration procedure and Conditional Parsimonious Vector Error Correction Model.The PPP theory is also tested with restrictions.The causality among the variables is further assessed with the aid of weak exogeneity test.The results show that the PPP is validity without any restriction,but rejected when imposing proportionality and symmetry restrictions.The China price is weakly exogenous with the system.The RMB exchange rate has a tendency towards equilibrium,while the effectiveness of short-run adjustment is bigger than the one in the long-run.

关键词： PPP ADF test Cointegration Exchange rate Restriction Conditional Parsimonious VECM

作者: Shan Shan

作者单位: Economic department Shandong Jiaotong University Jinan,China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 774-777

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）