可贸易品和不可贸易品的分解和韩元兑美元实际汇率的购买力平价(PPP)假设

IF 1 Q3 ECONOMICS
Deockhyun Ryu, Hee-Chae Ko
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引用次数: 0

摘要

本文的目的是利用韩元-美元实际汇率检验购买力平价(PPP)假设,并分析可贸易和不可贸易的分解对韩元-美元实际汇率变化的影响。根据Engel(1999)的理论,本文将基于cpi的实际汇率分为两部分;一个是国家间贸易商品的相对价格,另一个是每个国家非贸易商品相对价格与贸易商品价格的加权差异。我们通过比较CPI中的组件子权重来构建此模型。本文的实证分析分为以下两部分。首先,我们分别对实际汇率、可贸易部分和不可贸易部分进行了传统的时间序列分析,从而检验了PPP假设和其他重要假设。其次,采用均方误差(Mean Squared Error, MSE)分析,评价可交易部分和不可交易部分对实际汇率变动的相对贡献。从时间序列分析来看,并不能保证购买力平价的变化。本文的目的是利用韩元-美元实际汇率来检验购买力平价(PPP)假设,并分析分解为可贸易和不可贸易对韩元-美元实际汇率变化的影响。根据Engel(1999)的理论,本文将基于cpi的实际汇率分为两部分;一个是国家间贸易商品的相对价格,另一个是每个国家非贸易商品相对价格与贸易商品价格的加权差异。我们通过比较CPI中的组件子权重来构建此模型。本文的实证分析分为以下两部分。首先,我们分别对实际汇率、可贸易部分和不可贸易部分进行了传统的时间序列分析,从而检验了PPP假设和其他重要假设。其次,采用均方误差(Mean Squared Error, MSE)分析,评价可交易部分和不可交易部分对实际汇率变动的相对贡献。从时间序列分析来看,不能保证PPP假设在长期内成立。巴拉萨-萨缪尔森假设也不是,因为样本量太小,无法避免“功率问题”。此外,均方误差(Mean Squared Error)分析结果显示,在解释韩元兑美元实际汇率变动时,可贸易商品比不可贸易商品更重要。总而言之,这一实证分析的结果与长期PPP假设不成立的解释形成了对比,这主要是由交易成本和非贸易品造成的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Decomposition into Tradables and Nontradables and the Purchasing Power Parity (PPP) Hypothesis of the Real Won-dollar Exchange Rate
The purpose of this paper is to test the purchasing power parity (PPP) hypothesis using the won-dollar real exchange rate and analyze the effect of the decomposition into tradables and non-tradables on the change of the won-dollar real exchange rate. This paper decomposes the CPI-based real exchange rate into two parts according to Engel (1999); one is the relative price of traded goods between the countries, the other is a component that is a weighted difference of the relative price of nontraded-to traded-goods prices in each country. We construct this by comparing the component subsection weights in CPI. The empirical analysis of this paper consists of two parts as follows. First, we conducted a traditional time series analyses of the real exchange rate, tradable and non-tradable parts respectively, thereby testing the PPP hypothesis and other important hypotheses. Secondly, this paper conducted a Mean Squared Error (MSE) analysis to evaluate the relative contribution of tradable and non-tradable parts to the change of real exchange rate. From the time series analysis, it is not guaranteed that the PPP hyThe purpose of this paper is to test the purchasing power parity (PPP) hypothesis using the won-dollar real exchange rate and analyze the effect of the decomposition into tradables and non-tradables on the change of the won-dollar real exchange rate. This paper decomposes the CPI-based real exchange rate into two parts according to Engel (1999); one is the relative price of traded goods between the countries, the other is a component that is a weighted difference of the relative price of nontraded-to traded-goods prices in each country. We construct this by comparing the component subsection weights in CPI. The empirical analysis of this paper consists of two parts as follows. First, we conducted a traditional time series analyses of the real exchange rate, tradable and non-tradable parts respectively, thereby testing the PPP hypothesis and other important hypotheses. Secondly, this paper conducted a Mean Squared Error (MSE) analysis to evaluate the relative contribution of tradable and non-tradable parts to the change of real exchange rate. From the time series analysis, it is not guaranteed that the PPP hypothesis hold in the long run. The Balassa-Samuelson hypothesis is not either, since the sample size is too small to avoid the 'power problem.' In addition, the result of the Mean Squared Error analyses show that tradable goods are more important in explaining the won-dollar real exchange rate dynamics than that of the non-tradable goods. All in all, the results of this empirical analysis are in contrast with the explanation that if the long-run PPP hypothesis does not hold, it is mainly caused by the transaction cost and the non-tradable goods.
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