購買力平價檢驗及非線性均值回復特性.pdf

1、復旦大學碩士學位論文購買力平價檢驗及非線性均值回復特性姓名：張弢申請學位級別：碩士專業(yè)：數(shù)量經(jīng)濟指導教師：唐國興徐劍剛2002.5.22ABSTRACTThefluctuationoftheexchangeratehasbecomefrequentlyandunpredictableafterthebreakdownoftheBrettonWoodsSystem，whichcastingthedoubtonvariousexchange

2、theoriesThePurchasingPowerParity，onemostimportantsuchtheories，hasbeeninevitablydoubtedArmingwithempiricalresultfromthecommonunitroottest，suchasADFandPPsomeholdtheopinionthatthePPPdonotholdforthepost—BrettonWoodsperiodW色C

3、allsolvetheproblemoflOWpowerinthesetraditionalunitrootteststhroughtwomethodsFirst，wemakesomemodificationstothesetraditionalunittestsandsuchwaywillenhancethetestpowerdramaticallyTheKPSS，DFGLSandNParethemodifiedtestsSecond

4、，weincludethecrosssectiondataintothetime—seriesdata，largeningthewholesampledataThepanelunit—testandpanelcointegration—testfollowtheideasBothresultsfromthetwomethodssupportthePPPAfterwemakesurethemean—revertingpropertyoft

5、hePPPwecomparethelinearmodelwiththenonlinearmodelandfindthatthenonlinearoneholdsincomparableadvantagesConsideringtheconsiderableinferiorcharacteristicsoftheTARmodel，wefinallychoosetheSTARmodelasthesuitablebaseandtheempir