Real exchange rate behaviour: evidence from black markets
利用八个亚洲发展中国家31年的黑市汇率月度数据，发现实际汇率并未在浮动汇率制下过度波动，且具有均值回归特性，支持购买力平价假说。
The behaviour of real exchange rates (relative to the US dollar) is examined using monthly data obtained from the black markets for foreign exchange of eight Asian developing countries. The data span is 31 years. The black market real exchange rates do not show excess volatility during the recent float which is in sharp contrast to the results reported elsewhere. Unit root tests in heterogeneous panels and variance ratio tests confirm their stationarity. Thus, we find support for PPP but not for the ‘survivorship’ bias (Froot and Rogoff, 1995). There is little evidence of segmented trends. Issues raised by Rogoff (1996)—of whether PPP would hold across countries with differing growth experience—and Lothian and Taylor (1996)—of whether the degree of relative price volatility may bias results in favour of mean reverting real exchange rates—are addressed. Copyright © 2000 John Wiley & Sons, Ltd.