【作者】 夏炎；

【导师】 吴骏；

【作者基本信息】 合肥工业大学 ， 管理科学与工程， 2006， 硕士

【摘要】 本文在重新审视购买力平价学说思想的基础上,提出了动态购买力平价理论:全球一体化的市场经济条件下,经济持续高增长的发展中国家,其汇率会逐步趋向于长期均衡汇率或者说货币的购买力;高收入国家的汇率围绕其货币的购买力上下波动。 我们首先从国际收支平衡的角度对该理论进行了证明,然后我们使用两类数据对其进行检验:1、基于国际比较项目组(TCP)提供的截面数据,结果表明随着人均国民收入的增加,相对价格水平逐渐降低,向1趋近;2、基于宾西法尼亚大学(Penn World Table)的时间序列数据,结果表明经济高增长的发展中国家实际汇率逐渐降低,向1趋近,高收入国家实际汇率围绕1上下波动。以上检验表明动态购买力平价是基本成立的。 最后分析了经济增长率同汇率变化之间的格朗杰因果关系,结论是无充分证据表明汇率的升值降低了经济增长率;相反平稳高速的经济增长率是货币升值的格朗杰原因非常显著:在对日本的分析中我们发现日本经济持续低迷源于投资的萎缩,由于中日在经济层面和发展阶段的差异,人民币的升值不会导致中国出现类似日本的情况。更多还原

【Abstract】 After pondering over the thinking of purchasing power parity (PPP), the paper advances dynamic purchasing power parity theory (DPPP): currency’s exchange rate will trend to its long-run equilibrium exchange rate (purchasing power) if this country has a high economic growth rate;while currency’s exchange rate of high-income country is fluctuating around its purchasing power.First we prove this theory based on the balance of international income and expenses. Then we test it empirically using two kinds of data: 1 、 Based on the section data given by international comparative project, the result is the comparative price has a downtrend to 1 with average national income increasing;2、 Based on the time-series data given by Penn World Table, the result shows currency’s real exchange rate of country with a continuously high GDP growth rate has a downtrend to 1, and real exchange rate of high-income country is fluctuating around 1. Tests above indicate DPPP is true basically.In the last part the Granger causality is analyzed between GDP growth rate and the change of exchange rate. There is no enough evidence to illustrate that appreciation lead to the decline of GDP growth rate, but it is significant that GDP growth rate Granger Cause the change of exchange rate for the counties with continuously high growth rates. In analysis of Japan, we find that Japanese depression is due to decline of investment. Given the differences in development stage between China and Japan, RBM appreciation could not lead to condition like Japan’s.更多还原