交易成本与长期购买力平价近代中国的经验证据-北京大学经济学院.PDFVIP

C-2013-005 2013 7 8 Transactions Costs and the Long-run PPP: Empirical Evidence from Late Qing dynasty and Republic of China * Zhao Liuyan School of Economics, Peking University Huang Guitian School of Economics, Peking University s * 100871Tel.: 86-10-6276-1085; Fax: 86-10-6275-4237; E-mail address: zhly@pku.edu.cn. Corresponding author: Zhao Liuyan, School of Economics, Peking University, Beijing, 100871. Tel.: 86-10-6276-1085; Fax: 86-10-6275-4237; E-mail address: zhly@pku.edu.cn. Transactions Costs and the Long-run PPP: Empirical Evidence from Late Qing dynasty and Republic of China (PPP) PPP PPPPPP 701867-1936 PPP PPP19 ESTAR JEL C22, F31, N15 Abstract: The empirical literature on purchasing power parity (PPP) in China generally suffers from two shortcomings. One is the assumption of a linear adjustment process toward PPP; the other is using contemporary data with too short sample ranges. Thus, conventional unit root or conintegration tests may be biased against the long-run PPP hypothesis. However, the models of real exchange rate determination in the presence of transactions costs imply a nonlinear adjustment toward PPP. Using data spanning seventy years from Late Qing dynasty to Republic of China before Anti-Japanese War, we clearly reject the line