数据
如第二章中所述,由于相对文献使用单位根和协整技术来测试实际汇率主要是发表在1980年代,样品时间是15年(因为只有在1973实现浮动汇率)。尽管可以十年数据,测试精度只仅略有增加。由于统计软件的限制和限制数据源,具体的数据仅限于10年这一论文。因此,样本量不够大。蒙特卡洛实验还表明,我们不能避免效率低下的传统单位根测试通过增加观测频率。尽管扩大年度或季度的观察点数据月度数据可用示例数据的数量增加,它不能从根本上解决问题。从光谱的角度,我们检查的行为低频组件在实际汇率,这必然需要一个长时间的测试数据来提高效率低下。基本上,如果数据生成长的一段时间,测试的结果也许更有说服力的。在购买力平价假说的验证过程,价格指数主要有以下几点:消费者价格指数(CPI),生产者价格指数(PPI),批发价格指数(WPI)和生产总值平减物价指数。选择不同的价格指数可以导致不同的购买力平价的测试结果。正如在前面的章节中所讨论的,一个常见的观点是,汇率是可贸易商品的相对价格,因此价格指数应该只包括贸易商品。
由于统计方法有很大区别,国家统计局公布的物价指数不一致在不同的亚洲国家,在本文中,我们只能选择最普遍适用的价格指数¬-CPI而不是批发价格指数包括非贸易商品少。这有一定的对本文的实验测试结果的影响。
数据
As mentioned in chapter two, since the relative literature using unit root and cointegration technique to test the real exchange rate were mostly published in the 1980s, the sample period is just 15 years (that’s because only after 1973 the floating exchange rate is implemented). Even though the data can be 10 years more, the test accuracy only increases only slightly. Due to the limitation of statistical software and restriction of data source, the specific data is limited to 10 years in this dissertation. Hence the sample size is not big enough. The Monte Carlo experiments also show that we cannot avoid the inefficiencies in traditional unit root tests by increasing the observation frequency. Although expanding the observation point from the annual or quarterly data to monthly data increases the number of available sample data, it cannot fundamentally solve the problem. From the perspective of the spectrum, we examine the behavior of the low-frequency components in the real exchange rate, which necessarily requires a long period of test data to improve inefficiencies. Basically, if data is generated from longer time period, the test outcome maybe more convictive.In the verification process of purchasing power parity hypothesis, the main price indexes are the following: consumer price index (CPI), producer price index (PPI), wholesale price index (WPI) and GNP deflator. Choosing different price indexes can lead to different test result of purchasing power parity. As discussed in the previous chapter, one common view is that the exchange rate is the relative price of tradable goods so the price index should only include the tradable goods.
Since the statistical methods vary greatly and price indexes published by national statistical offices are inconsistent in different Asian countries, in this paper we can only select the most universally applicable price index¬—CPI rather than wholesale price index which includes less non-tradable goods. This has a certain impact on the empirical test results of this paper.
