Purchasing Power Parity and Real Exchange Rates Revisited
本文检验了购买力平价的长期和有效市场版本，通过趋势分析拒绝长期PPP，方差比检验拒绝随机游走假说，发现实际汇率增量存在正序列自相关，对汇率风险定价有启示。
This article examines both the long-run and the efficient market versions of Purchasing Power Parity. Results of a trend analysis of the level of real exchange rates confirm the existence of a stochastic secular trend in the series, therby rejecting long-run PPP. Evidence from the more powerful variance ratio test rejects the random walk hypothesis in most of the currencies, in contrast with results found in previous studies, and thus the efficient market version of PPP is also rejected. Positive serial autocorrelations are found in the increments of real exchange rates. It implies that increments of real exchange rate should be incorporated in pricing the foreign exchange risk premium.