중국 위안환율의 일반화구매력평가관계에 관한 연구
Test for Long-Run Purchasing Power Parity of the China Exchange Rate
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이 논문은 중국의 주요교역 상대국인 미국, 일본, 유럽 및 한국에 대한 중국의 위안 환율을 대상으로 구매력평가(PPP)와 일반화된 구매력평가(Generalized PPP)가 성립하였는지를 살펴보고 있다. 변동환율제도로의 전환시기(2005년 7월)를 중심으로 표본기간을 전체 구간, 변동환율제 이전 및 변동환율제 이후로 구간을 나누어 위안화 환율의 장기적 균형관계를 살펴본 결과를 요약하면 다음과 같다. 단위근검정 결과, 전체 기간과 변동환율제도 이전과 이후 모두 모든 교역당사국과의 환율에 있어 구매력평가관계(PPP)가 성립하지 않는 것으로 나타났다. Engle and Granger(1987)의 공적분검정법을 사용해서 살펴본 결과 변동환율 이후에 위안환율이 주요 교역당사국과의 관계에 있어 단순한 구매력평가관계가 성립하지 않았다. 또한 금리차를 고려한 확장된 구매력평가관계도 성립하지 않는 것으로 조사되었다. 반면, Johansen (1995)의 공적분 검증법하에서는 일반화 구매력평가관계가 전체기간, 변동환율이전과 이후에 모두 성립하는 것으로 나타났다.
Abstract
This paper test for long-run equilibrium relationship of China Yuan using Augmented Dickey-Fuller(ADF) test, Engle and Granger cointegration test and Johansen's multi-equational cointegration technique. The validity of PPP and G-PPP are examined between United States, Euro, Japan, and the Korea during the flexible exchange rate period. Tests are conducted for three periods: total period (Jan 1994 to Nov 2007), pre-crawling peg period (Jan 1994 to Jul 2005) and post-crawling peg period (Aug 2005 to Nov 2007). In conclusion, it is found strong support for the PPP hypothesis between Euro, Japan, and Korea, but failed to support PPP hypothesis between United States and Korea after post-crawling peg period. Results from the total period and pre-crawling peg period failed to indicate the presence of PPP between these countries. Evidence of PPP during the post-crawling peg period might be a result of the increased link in the economic and exchange rate policies among these countries during the post-crawling peg period. And the results from the total period support for indicate the presence of G-PPP between these real exchange rates. Opposite results are obtained from the pre-crawling peg period. Also, present of G-PPP implies that a shock(s) in one real exchange rate might affect other rates.
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