中国实际利率平价的KSS非线性单位根检验  

Testing China RIP in the Nonlinear KSS Unit Root Framework

作　　者：刘柏[1] 赵振全[2] 

机构地区：[1]吉林大学商学院,吉林长春130012 [2]吉林大学数量经济研究中心,吉林长春130012

出　　处：《财经问题研究》2008年第7期61-65,共5页Research On Financial and Economic Issues

基　　金：吉林大学"985工程"经济分析与预测哲学社会科学创新基地项目(2004);教育部人文社会科学重点研究基地重大项目(05JJD790005);国家社会科学基金项目(05BJY100);国家自然科学基金项目(70573040)

摘　　要：中国一直在进行资本和金融项目的渐进改革,通常描述和刻画这一经济规律变化的是利率平价理论。由于近十几年限制我国利率平价的制度约束条件均得到缓解,所以,本文利用基于ESTAR结构的KSS非线性单位根检验分析法,并连同ADF和PP检验一起对我国实际利率平价进行了实证,检验结果表明,实际利率平价假说成立,并遵循非线性稳态过程,利率的非对称调整导致信贷市场和金融市场的信息不对称。这说明短期内实际利率的调整特征是平滑转移的,在长期内,双边国家均无法实施相对独立的货币政策。The reform on capital and finance has been exerted in China, and these economic changes are depicted by interest pari- ty theory. In recent years, the system restriction of interest parity has been relived, so this article tests real interest parity through nonlinear KSS unit root test based on ESTAR along with ADF and PP test. The result approves real interest parity hypothesis and process follows nonlinear stationary. Unsymmetrical information on credit and financial market is caused by unsymmetrical adjust- ment of interest. This shows that adjustment of real interest is smooth transition in short term, and in long term bilateral countries can not exert independent monetary policy.

关 键 词：实际利率平价 ESTAR KSS 单位根检验 

分 类 号：F830[经济管理—金融学]