On the Empirical Failure of Purchasing Power Parity Tests
从理论上证明，即使一价定律对贸易品成立，基于消费者价格指数的实际汇率也不会均值回归，因此单位根检验和平稳性检验都会拒绝其原假设，并通过模拟和实证验证了这一结论。
Summary Empirical research on the validity of the purchasing power parity (PPP) condition is generally based on real exchange rates built using the consumer price index (CPI), but fails to provide clear support to PPP. In this paper we show theoretically that, even if the law of one price (LOP) holds for traded goods, CPI‐based real exchange rates are not mean reverting, and are neither stationary nor integrated. Therefore, both unit root and stationarity tests should reject their null. Our theoretical results are validated both by simulations and an empirical application. Copyright © 2014 John Wiley & Sons, Ltd.