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首页> 外文期刊>Oxford Bulletin of Economics and Statistics >Further evidence on PPP adjustment speeds: the case of effective real exchange rates and the EMS
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Further evidence on PPP adjustment speeds: the case of effective real exchange rates and the EMS

机译：关于PPP调整速度的进一步证据：有效实际汇率和EMS的情况

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摘要

Two different approaches intend to resolve the 'puzzling' slow convergence to purchasing power parity (PPP) reported in the literature [see Rogoff (1996), Journal of Economic Literature, Vol. 34]. On the one hand, there are models that consider a non-linear adjustment of real exchange rate to PPP induced by transaction costs. Such costs imply the presence of a certain transaction band where adjustment is too costly to be undertaken. On the other hand, there are models that relax the 'classical' PPP assumption of constant equilibrium real exchange rates. A prominent theory put together by Balassa (1964, Journal of Political Economy, Vol. 72) and Samuelson (1964 Review of Economics and Statistics, Vol. 46), the BS effect, suggests that a non-constant real exchange rate equilibrium is induced by different productivity growth rates between countries. This paper reconciles those two approaches by considering an exponential smooth transition-in-deviation non-linear adjustment mechanism towards non-constant equilibrium real exchange rates within the EMS (European Monetary System) and effective rates. The equilibrium is proxied, in a theoretically appealing manner, using deterministic trends and the relative price of non-tradables to proxy for BS effects. The empirical results provide further support for the hypothesis that real exchange rates are well described by symmetric, nonlinear processes. Furthermore, the half-life of shocks in such models is found to be dramatically shorter than that obtained in linear models.
机译：两种不同的方法旨在解决文献中报道的“令人费解的”缓慢收敛到购买力平价（PPP）的问题[参见Rogoff（1996），《经济文学杂志》，第1卷。 34]。一方面，有些模型考虑了由交易成本引起的实际汇率对PPP的非线性调整。这样的费用意味着存在一定的交易范围，而调整费用太高而无法进行。另一方面，有些模型可以放宽恒定均衡实际汇率的“经典” PPP假设。 BS效应是Balassa（1964，政治经济学杂志，第72卷）和Samuelson（1964年经济与统计评论，第46卷）提出的一个著名理论，即非恒定汇率真实感均衡。各国之间的生产率增长率不同。本文通过考虑针对EMS（欧洲货币体系）中的非恒定均衡实际汇率和有效汇率的指数平滑的偏差中过渡非线性调节机制来调和这两种方法。使用确定性趋势和非交易品的相对价格来替代BS效应，以理论上吸引人的方式代之以平衡。实证结果为以下假设提供了进一步的支持：真实汇率由对称的非线性过程很好地描述。此外，发现在这种模型中电击的半衰期比在线性模型中获得的显着更短。

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