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首页> 外文期刊>The Singapore economic review >HALF-LIFE DEVIATIONS FROM PURCHASING POWER PARITY: EVIDENCE FROM PACIFIC RIM COUNTRIES
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HALF-LIFE DEVIATIONS FROM PURCHASING POWER PARITY: EVIDENCE FROM PACIFIC RIM COUNTRIES

机译：购买力平价的半衰期：来自太平洋边缘国家的证据

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摘要

The study examines the half-life deviations from purchasing power parity (PPP) using both linear and nonlinear models for the sector specific real exchange rates of the Pacific Rim countries. By using a linear benchmark model, the estimated half-life deviations from PPP of about/or less than 3 years seemingly solve the PPP puzzle. After re-examining them using nonlinear forms, the PPP puzzle for most sectoral real exchange rates in the study still remains. More specifically, we find that deviations from PPP by TAR are persistent and take much more time for mean reversions especially for non-tradable sectors using logistic STAR / exponential STAR (LSTAR/ESTAR). The major reasons might be that conventional studies have failed to control the possible nonlinearity of real exchange rates, and have disregarded the possible bias of any single numeraire country. Finally, we also show the speed of mean reversion for real exchange rates by sectoral prices (tradable and non-tradable).
机译：该研究使用线性和非线性模型研究了环太平洋国家特定部门的实际汇率与购买力平价（PPP）的半衰期偏差。通过使用线性基准模型，估计的与PPP约/或小于3年的半衰期偏差似乎解决了PPP难题。在使用非线性形式对它们进行重新检验之后，研究中大多数部门实际汇率的PPP难题仍然存在。更具体地说，我们发现TAR与PPP的偏差是持续存在的，并且在均值回归上花费了更多时间，尤其是对于使用逻辑STAR /指数STAR（LSTAR / ESTAR）的非贸易部门。主要原因可能是常规研究未能控制实际汇率可能存在的非线性，而无视任何一个单子货币国家的可能偏差。最后，我们还显示了按部门价格（可交易和不可交易）对实际汇率进行均值回复的速度。

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