2007쓪뗚5웚죋쏱뇒뫏틢짽횵럹뛈뗄튻훖쯣램3췵ꆡꆡ닅맺캰ꆡꆡ쓚죝쳡튪:놾컄뛔죋쏱뇒뻹뫢믣싊퇐뺿랽램뷸탐쇋뷏쿪쾸뗄움싛,헢폐훺폚헽좷샭뷢쪵볊믣싊룅쓮벰뻹뫢믣싊퇐뺿랽램ꆣ컒쏇랢쿖,펦폃쿖폐뗄뻹뫢믣싊랽램살퇐뺿죋쏱뇒뚨볛컊쳢,짐듦퓚훮뛠늻ퟣ횮뒦ꆣ폐본폚듋,놾컄틔믣싊듭캻쿂뗄뻹뫢믣싊믘뢴믺훆ퟷ캪샭싛믹뒡,춨맽샭탔풤웚벼쫵틔샻폃풶웚췢믣쫐뎡냼몬뗄탅쾢,쳡돶쇋튻훖에뛏뫍볆쯣믣싊듭캻뗄탂쯣램ꆣퟷ캪탂쯣램뗄펦폃,컒쏇뮹릹퓬돶죋쏱뇒췢쿲쪵볊폐킧믣싊횸쫽,샻폃NDF풶웚죋쏱뇒믣싊쫽뻝,볆쯣쇋죋쏱뇒믣싊듭캻쮮욽ꆣ뷡맻뇭쏷,튪믖뢴떽뻹뫢믣싊쮮욽,죋쏱뇒퓚2005쓪6퓂쒩펦짽횵4139%,듯떽7191죋쏱뇒Π쏀풪ꆣ맘볼듊:죋쏱뇒ꆡ뫏틢짽횵럹뛈ꆡ쯣램ꆡ뻹뫢믣싊ퟔ퇇훞뷰죚캣믺틔살,죋쏱뇒믣싊뎤쪱볤캬돖퓚81277죋쏱뇒Π쏀풪뗄쮮욽짏ꆣ2003쓪평폚컒맺쎳틗돖탸돶뎬,틔벰쏀풪뇡횵뗈틲쯘,맺볊짏웕뇩듦퓚죋쏱뇒짽횵풤웚ꆣ2004쓪틔뫳,맺볊짏튪쟳죋쏱뇒짽횵뗄톹솦훰붥퓶잿ꆣ2005쓪7퓂21죕,죋쏱뇒듓풭살뗄떥튻뚢힡쏀풪,룄캪닎뾼튻삺ퟓ믵뇒뚨볛,떱죕죋쏱뇒뛔쏀풪벴짽횵2%ꆣ횮뫳,죋쏱뇒믣싊쯤폐랴뢴,떫ퟜ뗄짽횵쟷쫆틑뚨ꆣ헢뻍듦퓚죋쏱뇒뗄뫏틢짽횵럹뛈컊쳢ꆣ뛔듋,튻킩맺볊뷰죚릫쮾룸돶쇋쿠맘뺭퇩맀볆,떫평폚웤맀볆뗄훷맛탔,틲뛸닮뇰뷏듳ꆣꋙ죧뫎듓샭싛짏퇐뺿헢룶컊쳢,뇊헟쒿잰짐캴볻떽쿠맘컄쿗ꆣ폐본폚듋,놾컄뎢쫔쳡돶튻훖믹폚샭싛뗄볆쯣뫏틢죋쏱뇒짽횵럹뛈뗄쯣램ꆣ쿂컄쫗쿈쏷좷볆쯣뇒횵뇤뚯럹뛈뗄뇪ힼ뫍랽램,늢훘뗣움쫶뻹뫢믣싊랽램펦폃폚죋쏱뇒뚨볛뗄뫏샭탔뫍뿉탐탔;뷓ퟅ쳡돶튻훖탂쯣램,살볆쯣죋쏱뇒뗄뫏틢짽횵럹뛈ꆣ튻ꆢ볆쯣뇒횵뇤뚯럹뛈뗄랽램ꆪꆪꆪ볦움죋쏱뇒뻹뫢믣싊퇐뺿랽램퓚맜샭믣싊훆뛈쿂,믣싊뇤뚯컊쳢맩룹뷡뗗쫇헾닟떱뻖뗄믣싊헾닟닙ퟷ컊쳢ꆣ틲듋,믣싊뗄뇤뚯럹뛈뇘좻튪럻뫏헾닟떱뻖뗄쒿뇪ꆣ맣틥뗘붲,헾닟떱뻖뗄쒿뇪쫇짧믡뢣샻ퟮ듳뮯ꆣ떫헢룶쒿뇪맽폚뿭랺,좱랦뿉닢탔,틲뛸닙ퟷ탔늻잿,춨뎣늻놻닉폃ꆣ룼볓뻟쳥뗄쒿뇪튻냣뚨캻폚맺쏱뺭볃쯄듳쒿뇪,벴뺭볃퓶뎤ꆢ돤럖뻍튵ꆢ컯볛컈뚨뫍맺볊쫕횧욽뫢ꆣ틔맺쏱뺭볃쯄듳쒿뇪캪믹ힼ쳖싛믣싊뇤뚯컊쳢,뎣폃뗄랽램쫇쿈좷뚨뻹뫢믣싊(equilibriumexchangerate)ꆪꆪꆪ쓜릻쪹뺭볃춬쪱뒦폚쓚늿뻹뫢(뺭볃뷡릹컈뚨ꆢ뗍춨헍뗄돤럖뻍튵퓶뎤)뫍췢늿뻹뫢(맺볊쫕횧욽뫢믲뚯첬욽뫢)쪱뗄쪵볊믣싊ꋚ(realexchangerate),좻뫳틔쪵쿖뻹뫢믣싊쮮욽캪쒿뇪살럖컶쪵볊믣싊폫뻹뫢믣싊뗄듭캻(misalignment),뷸뛸좷뚨뇡횵믲짽횵럹뛈ꆣ평폚맺볊짏듦퓚훚뛠늻춬뗄쪵볊믣싊룅쓮,늢쟒헢킩룅쓮퓚튻킩컄쿗훐뺭뎣놻믬쿽,헢샯폐뇘3ꆡ췵,훐즽듳톧쇫쓏톧풺뷰죚쾵,폊헾뇠싫:510275,뗧ퟓ탅쿤:lnswx@;닅맺캰,훐즽듳톧쇫쓏톧풺늩쪿짺,폊헾뇠싫:510275,뗧ퟓ탅쿤:zsucai@ꆣ놾퇐뺿뗃떽쇋맺볒짧뿆믹뷰쿮쒿(06BJY115)ꆰ죋쏱뇒뚨볛ꆢ믣싊헾닟폫믣싊훆뛈죴룉컊쳢퇐뺿ꆱ뫍좫맺폅탣늩쪿톧캻싛컄ퟷ헟쿮뷰훺쿮쒿(200504)뗄훺ꆣퟷ헟룐킻솽캻쓤쏻짳룥죋뗄놦맳틢볻,룐킻뚫뺩듳톧쇵뺩뻼늩쪿ꆢ훐즽듳톧돂욽뷌쫚뗄폐틦움싛,틔벰훐맺뷰죚톧쓪믡짏훮캻춬죊뗄붨틩ꆣꋙꆡ룟쪢횤좯풤웚죋쏱뇒퓚2005쓪쓚짽횵6%,뮨웬쏀냮풤웚짽횵3%,쏀쇖풤웚쓪쓚짽횵11%ꆣꋚꆡ뮹폐튻훖ꆰ뻹뫢믣싊ꆱ뗄뚨틥,쫇횸릩쟳솦솿ퟷ폃쿂뗄뻹뫢쫐뎡쿖쪱쏻틥믣싊,쿠맘뗄맺쓚퇐뺿볻돂욽뫍췵(2002)ꆣ놾컄뗄ꆰ뻹뫢믣싊ꆱ쫇헫뛔뺭볃뗄쓚췢뻹뫢뛸퇔ꆣ27' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
췵ꆡꆢ닅맺캰:죋쏱뇒뫏틢짽횵럹뛈뗄튻훖쯣램튪쿈뷸탐튻킩돎쟥릤ퟷ,틔쏢쿝죫늻뇘튪뗄헹싛ꆣꋙ쿞폚욪럹,튻킩쾸뷚늻퓙햹뾪ꆣ(튻)쪵볊믣싊뗄룅쓮퇐뺿훐,쪵볊믣싊뿉럖캪솽훖:췢쿲(external)쪵볊믣싊뫍쓚쿲(internal)쪵볊믣싊ꆣ11췢쿲쪵볊믣싊룃룅쓮웰풴폚Cassel뗄릺싲솦욽볛(PPP)볙쮵,믹뒡쫇튻볛뚨싉ꆣ횮뫳,PPP볙쮵퇝뮯캪솽훖탎쪽:뻸뛔PPP뫍쿠뛔PPPꆣ뻸뛔PPP볙뚨늻듦퓚쎳틗뇚생,잿뗷뺭쏻틥믣싊헛쯣뫳룷맺짌욷볛룱뗄뻸뛔쿠뗈,릫쪽쫇:RER뻸뛔PPP=ERꆤPfΠPd;쿠뛔PPP잿뗷쏻틥믣싊뗄뇤뚯폫볛룱뇤뚯돉뇈싊,벴RER쿠뛔PPP=ꛁERꆤPfΠPdꆣ웤훐,ER뫍P럖뇰쫇쏻틥믣싊뫍볛룱쮮욽;짏뇪ꆰfꆱ뫍ꆰdꆱ럖뇰듺뇭췢맺뫍놾맺;ꛁ캪튻헽뎣쫽ꋚꋛꆣ죧맻냑RERPPP뇪ힼ뮯캪튻훖횸쫽,퓲솽룶룅쓮늻퓙폐닮뇰ꆣ룹뻝볆쯣뿚뺶뗄늻춬,췢쿲쪵볊믣싊폖럖캪쮫뇟(bilateral)쪵볊믣싊뫍뛠뇟(multilateral)쪵볊믣싊ꆣ잰헟횸놾맺뫍튻룶쎳틗믯냩맺믲뺺헹맺횮볤볆쯣뗄쪵볊믣싊,뫳헟횸놾맺폫쯹폐훘튪뗄쎳틗믯냩맺뫍뺺헹맺볓좨볆쯣뗄쪵볊믣싊ꆣ폫쮫뇟쪵볊믣싊쿠뇈,뛠뇟쪵볊믣싊퓚뫢솿튻맺쪵볊믣싊쮮욽짏튪룼볓좫쏦,쯹틔쯼폖놻돆캪쪵볊폐킧믣싊(REER,realeffectiveexchangerateꋜ)ꆣ쪵볊폐킧믣싊쫇뛠뇟볓좨욽뻹뗄췢쿲쪵볊믣싊,내헕볓좨랽램뗄늻춬폖럖캪쯣쫵욽뻹쪵볊폐킧믣싊(AREER:arithmetic2averageREER;Edwards,1989)뫍벸뫎욽뻹쪵볊폐킧믣싊(GREER:geometric2averageREER;Gan,1994),릫쪽럖뇰쫇:nnm1AREERt=ꇆ[ꛘjERjtPfjt]ꆤ1뫍GREERt=Pdꇇ[ERjtꆤPfꛘjt]jꆤPd,싺ퟣꇆꛘj=1j=1tj=1tj=1ꆡꆡ웤훐,j(j=1,ꆭ,n)듺뇭쎳틗믯냩Π뺺헹맺,ꛘ캪좨훘ꆣ뿉틔횤쏷(놸쯷),퓚뛈솿쪵볊폐킧믣싊뗄짽횵믲뇡횵맽돌훐,AREER뇤뚯폫믹웚뗄톡퓱폐맘,뛸GREER뇤뚯폫믹웚컞맘,틲듋GREER놻죏캪뻟폐ꆰ뛔돆탔ꆱ(symmetry)뛸폅폚AREERꆣ퓚볆쯣췢쿲쪵볊믣싊쪱,뮹튪폃떽맺쓚췢볛룱횸쫽ꆣ룹뻝뺭볃톧믹뒡뫍볛룱횸쫽뗄늻춬,맺볊짏폖폐죽훖쪵볊믣싊룅쓮:(1)횧돶PPP(expenditurePPP)췢쿲쪵볊믣싊,톡폃CPIퟷ캪볛룱횸쫽ꆣ평폚CPI폫쿻럑헟횱뷓쿠맘,틲듋튻냣죏캪헢룶쪵볊믣싊훷튪랴펳쇋릺싲솦뗄뇤뚯ꆣ(2)ퟜ짺닺돉놾췢쿲쪵볊믣싊,쪹폃GDP쯵복횸쫽ꆣ헢훖ퟷ램쿠떱폚볙뚨뺭볃훐횻짺닺튻훖짌욷,틲듋랴펳쇋ퟜ짺닺돉놾뗄뇤뚯ꆣ(3)떥캻돉놾(unitcost)췢쿲쪵볊믣싊,뚨틥캪쎳틗욷믲훆돉욷뗄쿠뛔짺닺돉놾,쪹폃뗄볛룱횸쫽냼삨엺랢컯볛횸쫽ꆢ쎳틗욷믲훆돉욷뗄떥캻샍뚯돉놾ꆢ훆돉욷쯵복횸쫽뗈ꆣ퓚맺쓚ꆰ,돶뿚뮻믣돉놾ꆱ룅쓮뇈뷏뷓뷼헢룶뿚뺶뗄쪵볊믣싊ꆣ웤훐,뫳솽훖룅쓮럖뇰쫇듓Mundell2Flemming쒣탍뫍쎳틗욷뺺헹ힴ뿶뗄뷇뛈뚨틥뗄(Hinkle뫍Nsengiyumva,1999)ꆣ21쓚쿲쪵볊믣싊뚨틥캪쎳틗욷(tradable,틔T듺뇭)뛔럇쎳틗욷(non2tradable,틔N듺뇭)뗄쿠뛔볛룱,벴쓚쿲RERt=PTtΠPNtꆣ헢룶룅쓮볻폚Dornbusch(1980)뗄틀듦(dependent)뺭볃쒣탍ꆣ룃쒣탍뛏퇔,퓚킡맺뾪럅뺭볃ꆢ튪쯘ퟔ평쇷뚯ꆢ볛룱뿉뇤뫍닺욷쫐뎡ퟔ평뺺헹뗈볙뚨쳵볾쿂,듦퓚튻룶쪹뗃뺭볃춬쪱뒦폚쓚췢뻹뫢뗄쓚쿲쪵볊믣싊쮮욽ꆣ죴럇쎳틗욷볛룱뫍쎳틗욷뗄맺볊볛룱쫇췢짺뗄,캪쇋돶쟥럇쎳틗욷쫐뎡늢춬쪱쪵쿖쎳틗쫕횧욽뫢,쓚쿲쪵볊믣싊탨뷸탐뗷헻횱훁솽룶쫐뎡춬쪱듯떽뻹뫢ꆣ듓웤샭싛믹뒡살뾴,쓚쿲쪵볊믣싊뗄맘힢튪뗣쫇맺쓚풴퓚쎳틗뫍럇쎳틗욷늿쏅횮볤뗄쇷뚯뫍엤훃ꆣꋙ쫂쪵짏,죧돂붨솺(2000)뛔돂톧뇲(1999)뗄엺움뗈,훷튪평폚뛔쪵볊믣싊룅쓮뗄늻춬샭뷢퓬돉뗄ꆣꋚ놾컄쯹폐믣싊뻹닉폃횱뷓뇪볛램ꆣꋛ놾컄쯹폐럻뫅뗄잰뫳몬틥튻훂ꆣ캪뷚쪡욪럹,뛔폚틑뺭폐쯹쮵쏷뗄럻뫅,쿂컄늻퓙ힸ쫶ꆣꋜ튲폐톧헟(Sadoulet뫍Janvry,1995)냑뷸돶뿚쮰싊뗄펰쿬뾼싇떽폐킧믣싊훐,떫헢훖ퟶ램뇈뷏짙볻ꆣ28' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2007쓪뗚5웚폫쓚쿲쪵볊믣싊폐맘뗄튻룶훘튪샭싛쫇BS킧펦(Balassa,1964;Samuelson,1964),죏캪뎤웚쓚쎳틗욷쿠뛔뷏뿬뗄짺닺싊짏짽믡쪹쎳틗욷뛔럇쎳틗욷뗄쿠뛔볛룱쿂붵,듓뛸떼훂쓚쿲쪵볊믣싊뗄짽횵ꆣ떫FrootꆢRogoff(1995)뫍Rogoff(1996)랢쿖,돽쇋쏀풪Π죕풪틔췢,늢쎻폐돤럖뗄횤뻝횤쏷BS킧펦듦퓚(Edwards뫍Savastano,1999)ꆣ늻짙톧헟죏캪,뛔폚랢햹훐맺볒뛸퇔,쓚늿풴뗄엤훃컊쳢룼볓훘튪,틲듋쓚쿲쪵볊믣싊룼폐퇐뺿볛횵ꆣ떫퓚쪵횤뛈솿맽돌훐,평폚듦퓚(럇)쎳틗욷뮮럖뫍쫽뻝뿉믱탔뗈쓑쳢,쪹뗃쓚쿲쪵볊믣싊뗄퓋폃쫜떽뻖쿞,릹퓬횸뇪튲듦퓚ퟅ뫜듳헹틩ꆣ컄쿗훐돶쿖쇋죽훖뛈솿랽램:튻쫇죋캪뗘붫뺭볃럖돉쎳틗욷늿쏅뫍럇쎳틗욷늿쏅,퓙볓좨돶쎳틗욷뫍럇쎳틗욷뗄볛룱횸쫽(Daquila,1989);뛾쫇쪹폃튻룶닎헕맺뗄엺랢볛룱횸쫽믲짺닺헟볛룱횸쫽살듺샭놾맺쎳틗욷볛룱횸쫽,쪹폃놾맺CPI살듺샭럇쎳틗욷볛룱횸쫽(Husted뫍MacDonald,1999;Edwards,1994);죽쫇쫗쿈퓚튻뚨뗄볙뚨쿂횤쏷PTtΠPdt폫PTtΠPNt돉헽뇈,좻뫳폃뷸돶뿚짌욷볛룱횸쫽볆쯣PTt,폃CPI듺샭Pd(tSjaastad,1998)ꆣ31췢쿲뫍쓚쿲쪵볊믣싊뗄맘쾵퓚쫽톧짏뿉틔횤쏷(놸쯷),죧맻볛룱횸쫽쫇쎳틗욷뫍럇쎳틗욷볛룱뗄벸뫎볓좨욽뻹,늢쟒맺볊쎳틗욷럻뫏PPP볙쮵,퓲쮫뇟췢쿲쪵볊믣싊(볇캪BERER)쫇놾맺뫍쎳틗맺쓚쿲쪵볊믣싊(볇캪IRER)뗄몯쫽ꆣ볻쿂쪽,헢샯ꆰwꆱ쫇럇쎳틗욷뗄볛룱좨훘ꆣBERERt=(IRERdw)tΠw(IRERf)tꆡꆡ(뛾)뻹뫢믣싊럖컶:랢햹폫움볛뻹뫢믣싊럖컶랽램춨뎣믹폚쪵볊믣싊럖컶,쯼쫗쿈좷뚨쓜릻쪹뺭볃춬쪱뒦폚쓚늿뻹뫢뫍췢늿뻹뫢뗄믣싊쮮욽(벴뻹뫢믣싊),좻뫳춨맽럖컶쿖쪵쪵볊믣싊폫뻹뫢믣싊뗄듭캻살좷뚨쏻틥믣싊뇤뚯랽쿲뫍뇤뚯럹뛈ꆣ퓚뇊헟뾴살,쒿잰맺볊짏맘폚뻹뫢믣싊뗄럖컶훷튪럖캪솽쳵쿟ꆰ:믹놾뻹뫢믣싊ꆱ(fundamentalEER,볲볇캪FEER)뫍ꆰ뻹뫢쪵볊믣싊ꆱ(equilibriumRER,볲볇캪ERER)ꆣ믹폚뺭볃쓚늿뻹뫢(돤럖뻍튵)뫍췢늿뻹뫢(뿉돖탸뗄맺볊쫕횧욽뫢)뗄룅쓮,Williamson(1985;1994)쳡돶쇋ꆰ믹놾뻹뫢믣싊ꆱ뗄룅쓮,늢붨솢쇋믹폚듋룅쓮뗄ꆰ튻냣뻹뫢쒣쓢쒣탍ꆱ(generalequilibriumsimulationmodels)ꆣ떫웤뛔뻹뫢믣싊뻶뚨틲쯘뗄짨훃맽폚볲떥뮯뫍샭쿫뮯(Clark뫍MacDonald,1998),늢쟒ꆰ믹놾뻹뫢믣싊ꆱ볙뚨놾헋뮧뇤뚯쫇췢짺뗄,춬쪱뫜짙짦벰뺭볃훐뗄듦솿틲쯘(죧뛔맺췢닺뗄탨쟳뗈),틲듋웤뷓쫜돌뛈늻죧ꆰ뻹뫢쪵볊믣싊ꆱ랽램ꆣ뫳살폖돶쿖쇋탐캪뻹뫢믣싊(behavioralEER)샭싛ꆣ룃샭싛늶ힽ뻶뚨쪵볊믣싊뗄틲쯘뷸탐떥랽돌믘맩,퓚볆솿짏룼폐뿉닙ퟷ탔ꆣ떫쫇,룃샭싛튲듦퓚ퟅꆰ튻냣뻹뫢쒣쓢쒣탍ꆱ놾짭뗄좱쿝,늢쟒퓚쪵횤짏,뻹뫢믣싊뗄볆쯣뷡맻뛔쒣탍랽돌뗄짨뚨뻟폐뷏잿뗄쏴룐탔(붪늨뿋ꆢ샮뮳뚨;2006)ꆣEdwards(1989)쳡돶쇋뫜폐펰쿬뗄ꆰ뻹뫢쪵볊믣싊ꆱ샭싛ꆣ룃샭싛쪹폃쓚쿲쪵볊믣싊룅쓮,훷튪놻펦폃폚퇐뺿랢햹훐맺볒뗄믣싊듭캻컊쳢ꆣ퓚ꆰ뻹뫢쪵볊믣싊ꆱ샭싛훐,춨뎣뗄볙뚨냼삨:킡탍뾪럅뺭볃ꆢ볛룱췪좫떯탔뫍쫐뎡췪좫뺺헹뗈ꆣ춨맽릹퓬폐맘쓚췢뻹뫢뗄샭싛쒣탍,뿉틔헒떽뻶뚨뻹뫢쪵볊믣싊뗄튻쾵쇐뺭볃믹놾틲쯘(fundamentals)ꆣ헢킩뺭볃믹놾틲쯘뗄폀뻃(permanent)늿럖뗄쿟탔(쓢뫏)ퟩ뫏뻍릹돉쇋뻹뫢쪵볊믣싊ꆣ춨뎣헢킩믹놾틲쯘살풴폚뺭볃뷡릹뫍쪵볊뇤솿,죧쎳틗쳵볾ꆢ짺닺싊닮틬ꆢ뾪럅뛈뗈ꆣ퓚쪵횤짏ꆰ,뻹뫢쪵볊믣싊ꆱ샭싛춨뎣닉폃튻훖쯄늽떥랽돌맀볆랽램,틔좷뚨믣싊듭캻뗄랽쿲뫍럹뛈ꆣꆰ뻹뫢쪵볊믣싊ꆱ샭싛뗄춻돶릱쿗,튲쫇웤샭싛뗄맘볼뻍쫇,붫뺭볃믹놾틲쯘럖뷢돉폀뻃늿럖뫍퓝쪱(transitory)늿럖,샻폃폀뻃늿럖살늶ힽ뻹뫢쪵볊믣싊뗄맬벣ꆣ퓚맀볆뺭볃믹놾틲쯘폀뻃늿럖쪱,춨뎣닉폃Beveridge뫍Nelson(1991)뗄랽램,튲폐폃HP싋늨뗄ꆣEdwards(1994)뛔헢튻랽램뗄펦폃쟩뿶뷸탐쇋뗷닩뫍룄뷸,횸돶떱뻹뫢믣싊폫쯹톡뷢쫍뇤솿듦퓚킭헻맘쾵쪱,뿉틔뗃돶쪵볊믣싊쿲뻹뫢랽쿲믘맩뗄뗷헻랽돌ꆣ뫳살Elbadawi(1994)뫍Montiel(1997)뗈뛔ꆰ뻹뫢쪵볊믣싊ꆱ샭싛뷸탐쇋늿럖탞헽뫍삩햹ꆣ웤훐,Elbadawi퓶볓쇋뾪럅뛈뫍맘쮰쮰싊뗄펰쿬;Montiel29' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
췵ꆡꆢ닅맺캰:죋쏱뇒뫏틢짽횵럹뛈뗄튻훖쯣램죏캪맺볊놾쇷뚯펦쫇웤쯼믹놾틲쯘뗄쓚짺뇤솿,틲듋늻쓜폫웤쯼믹놾틲쯘늢쇐쪹폃ꆣ뿉볻,뫳탸퇐뺿뗄얬솦랽쿲쫇죧뫎룼뿆톧뗘톡좡펰쿬뻹뫢쪵볊믣싊뗄뺭볃믹뒡틲쯘ꆣ폫ꆰ믹놾뻹뫢믣싊ꆱ샭싛쿠뇈ꆰ,뻹뫢쪵볊믣싊ꆱ샭싛뗄뫃뒦퓚폚:뻟폐룼잿뗄쓚췢뻹뫢샭싛믹뒡;냑펰쿬믣싊뗄믹놾틲쯘럖캪폀뻃뫍퓝쪱늿럖룼볓뫏샭,늢쟒뻟폐볆솿짏뗄뿉닙ퟷ탔ꆣ틲듋ꆰ,뻹뫢쪵볊믣싊ꆱ샭싛펦폅폚ꆰ믹놾뻹뫢믣싊ꆱ샭싛,퓚퇐뺿훐튲펦폃뗃룼맣랺ꆣퟜ쳥살뾴,뷼쓪살맺췢뻹뫢믣싊퇐뺿좡뗃쇋훘튪뗄뷸햹,춨맽틽뷸탂뗄퇐뺿랽램,뗃돶쇋튻킩폐틢틥뗄뷡싛ꆣ떫쒿잰쿠맘샭싛뮹풶늻돉쫬ꆣ웤늻ퟣ횮뒦뇭쿖퓚ꋙ:11폐맘쪵볊믣싊ꆢ뻹뫢믣싊뗄룅쓮뫍맀볆랽램훚쮵럗,헹싛늻택,늢쎻돶쿖릫죏뗄룅쓮믲랽램ꆣ쯤좻쓚쿲쪵볊믣싊뛔랢햹훐맺볒믣싊퇐뺿뗄틢틥틑뺭놻죏쪶떽,떫듦퓚(럇)쎳틗욷뮮럖뫍쫽뻝뿉믱탔뗈컊쳢;쓚쿲쪵볊믣싊뗄뛈솿랽램튲뫜쓑춳튻,쪵횤퓋폃튲쿔뗃뇈뷏훷맛ꆣ21뷸탐뻟쳥쪵횤럖컶쪱,췹췹놳샫뻹뫢믣싊샭싛뿲볜뗄믹놾볙짨,죧킡탍뾪럅뺭볃ꆢ쫐뎡ퟔ평뺺헹뗈ꆣ31컄쿗훐,뻶뚨뻹뫢쪵볊믣싊뗄믹놾틲쯘춨뎣쫇뺭볃뷡릹뫍쪵볊뇤솿,죧쎳틗쳵볾ꆢ짺닺싊닮틬ꆢ뾪럅뛈뗈ꆣ죧맻퇹놾웚뷏뎤,쓑쏢돶쿖훘듳뗄쏻틥돥믷,뇈죧룟춨헍ꆢ듳럹뛈뗄쏻틥믣싊뇤뚯뗈,듋쪱쪵볊믣싊튲믡돶쿖듳뗄늨뚯,쪹쪱볤탲쇐돶쿖뷡릹뇤뮯(structuralbreaks)ꆣ41퇐뺿훐늢쎻폐횱뷓냑뻹뫢쪵볊믣싊춬쓚늿뻹뫢뇤솿(죧쪧튵싊)뫍췢늿뻹뫢쟩뿶(죧맺볊쫕횧욽뫢)솪쾵웰살,뫶싔쇋뺭볃놾짭웕뇩듦퓚뗄ퟔ뚯뗷헻믺훆(뿉쓜쫇뮺싽뗄)ꆣ틲듋ꆰ,뻹뫢쪵볊믣싊ꆱ샭싛훐쯹캽뗄ꆰ뻹뫢ꆱ쿔뗃폐킩뿕랺ꆣ51믣싊듭캻훷튪쫇춨맽닐닮믲뺭볃믹놾틲쯘뗄퓝쪱늿럖뷸탐뛈솿ꆣ듳뛠쫽쒣탍뚼컞탎훐볙짨맀볆웚볤쓚쪵볊믣싊ퟜ쳥짏쫇뻹뫢뗄,믣싊듭캻늿럖뗄뻹횵캪쇣ꆣ떫쪵볊짏,퓚듋웚볤믣싊쮮욽폐뿉쓜튻횱뒦폚룟맀믲뗍맀ힴ첬,헢뻍닺짺쇋쾵춳탔욫닮(systematicbias)ꆣ61쒿잰뗄뻹뫢믣싊퇐뺿,뫶싔쇋냼몬퓚뷰죚쫐뎡훐뗄듳솿폐폃탅쾢ꆣ뻍틔짏좱쿝,Edward(1999)ퟜ뷡죏캪ꆰ릹퓬믣싊듭캻횸쫽퓚톧쫵뷧뫍헾닟뷧뚼쫇웄폐헹틩뗄ꆱꆣ벴쪹뛔폚춬튻룶맺볒뗄춬튻쪱웚뷸탐럖컶,늻춬컄쿗췹췹뗃돶쇋뷘좻쿠랴뗄뷡싛ꆣ샽죧,Soto(1996)맘폚훇샻쪵볊믣싊뗄퇐뺿뇭쏷,퓚20쫀볍80쓪듺쒩훇샻뇈쯷놻룟맀쇋(overvalued);떫Dornbusch뗈(1994)뗄뷡싛좴쫇,떱쪱뇈쯷펦쫇놻뗍맀(undervalued)쇋ꆣ(죽)뛔죋쏱뇒뻹뫢믣싊퇐뺿랽램뗄움쫶뛔폚죋쏱뇒뻹뫢믣싊뗄퇐뺿,뷼살돶쿖쇋늻짙컄쿗,죧뷰훐쿄(1995,1996)ꆢChou뫍Shih(1998)ꆢ랶쏴(1999)ꆢ십룙(2000)ꆢ헅쿾웓(1999,2000)ꆢ늷폀쿩뫍Tyers(2001)ꆢ쇖늮잿(2002)뗈,쟘엠뺰(2004)뛔듋ퟶ돶쇋튻룶뷏캪쿪쾸뗄ퟛ쫶ꆣ헢킩컄쿗훐,펦폃뷏뛠뗄쫇믹폚쪵볊믣싊룅쓮뗄뻹뫢믣싊럖컶램ꆣ샽죧,헅쿾웓(1999)쪹폃쇋탐캪뻹뫢믣싊랽램;십룙(2000)틀뻝Edward(1989)뗄ꆰ뻹뫢쪵볊믣싊ꆱ샭싛뷸탐럖컶;쇖늮잿(2002)힢틢떽쇋ꆰ믹놾뻹뫢믣싊ꆱ뫍탐캪뻹뫢믣싊뗄쟸뇰,늢믹폚Elbadawi(1994)뗄쒣탍틔ꆰ믹놾뻹뫢믣싊ꆱ캪믹뒡뷸탐퇐뺿,웤뇤솿톡퓱믹폚Hsiao(1981)뗄룱삼뷜틲맻잿뛈업탲;늷폀쿩뫍Tyers(2001)믹폚Devarajan뗈(1993)뗄죽짌욷튻냣뻹뫢쒣탍,맀볆쇋컒맺20쫀볍80쓪듺쒩떽1998쓪볤뗄뻹뫢쪵볊폐킧믣싊뗄늻춬쪱볤슷뺶뗈ꆣ듓틔짏뷩짜늻쓑랢쿖,쒿잰맺쓚퇐뺿퓚랽램짏훷튪쫇틀헕맺췢쿖폐뗄샭싛쒣탍살뷸탐뗄ꆣ틲듋,움쫶죋쏱뇒뻹뫢믣싊퇐뺿,뿉틔럖캪솽룶닣듎:튻쫇뛔맺볊짏룷훖쪵볊믣싊룅쓮뫍뛈솿랽램,틔벰맺볊짏뻹뫢믣싊럖컶랽램뷸탐움쫶;뛾쫇뛔죋쏱뇒뻹뫢믣싊퇐뺿뷸탐움쫶ꆣ웤훐,뗚튻룶닣듎뗄움싛틑뺭퓚짏튻뷚룸돶ꆣ뻍뗚뛾룶닣듎뗄움쫶뛸퇔,컒쏇죏캪맺쓚퇐뺿쒿잰쯤좻좡뗃쇋튻뚨뗄뷸ꋙEdwards(1999)뫍헅쿾웓(2000)뛔듋튲폐쳖싛ꆣ30' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2007쓪뗚5웚햹,떫튲듦퓚튻킩쏷쿔뗄늻ퟣ횮뒦:11죧잰컄쯹쫶,쒿잰맺볊짏폐맘쪵볊믣싊뫍뻹뫢믣싊뗄샭싛뫍펦폃뮹풶늻돉쫬,틲듋펦폃헢킩샭싛랽램퇐뺿죋쏱뇒뗄믣싊컊쳢,퓚샭싛믹뒡짏뻍듦퓚뫜뛠늻ퟣꆣ21컒맺뗄뺭볃ힴ뿶폫뻹뫢믣싊샭싛뗄믹놾볙짨늻럻ꆣ뻹뫢믣싊샭싛튻냣볙뚨럖컶맺볒캪킡탍뾪럅뺭볃ꆢ닺욷쫐뎡ퟔ평뺺헹ꆢ볛룱ퟔ평뮯뫍튪쯘맺쓚ퟔ평쇷뚯ꆣ떫쫇컒쏇펦룃힢틢떽:(1)2004쓪틔살,컒맺틑뺭돉캪좫쟲뗚죽듳쎳틗쳥,퓚늿럖샍뚯쏜벯탍닺욷훐,컒맺돶뿚닺욷퓚좫쟲햼폐뷏룟뗄럝뛮,틲듋컒맺틑뺭늻쫇킡탍뾪럅뺭볃;(2)퓚뺭볃탍뗄듳늿럖쪱볤샯,컒맺쪵탐뗄쫇쮫맬훆뗄볛룱쳥쾵,틲듋죧맻퇐뺿뗄뿧뛈뷏듳,퓲늻럻뫏쿖쪵;(3)쒿잰샻싊짐캴췪좫럅뾪;(4)퓚컒맺샍뚯솦뗄쇷뚯짐듦퓚훮뛠헏낭,놾뗄쪡볊쇷뚯튲쫜떽훆풼ꆣ31훐맺뗄뺭볃ힴ뿶폫뻹뫢믣싊룅쓮랢짺쇋뗖뒥ꆣ퓚췢늿뻹뫢랽쏦,훐맺뺭볃풶캴떽듯돉쫬뗄뗘늽,짐뒦폚뺭볃웰늽쪱웚ꆣ맺쓚튻냣죏캪,퓚헢룶쪱웚쓚캬돖튻뚨뗄맺볊쫕횧쮳닮쫇폐틦뗄,헢뻍폫뻹뫢믣싊췢늿뻹뫢,벴맺볊쫕횧욽뫢뗄룅쓮닺짺쇋쎬뛜;퓚쓚늿뻹뫢랽쏦,춼1뇭쏷,훐맺돶뿚ퟜ뛮햼GDP뗄뇈훘튻횱퓚짏짽,쿔좻훐맺뗄쎳틗욷늿쏅튻횱퓚ힳ듳,훐맺뗄뺭볃뷡릹튻횱뒦폚뗷헻맽돌훐,틲듋믹폚쎳틗욷뫍럇쎳틗욷뗄뻹뫢쪵볊믣싊룅쓮튲늻듳쫊폃ꆣ41쪵볹짏,훐맺쳘쫢뗄뺭볃탍놳뺰쪹뗃튻킩쫽뻝뫜쓑믱뗃믲늿럖쫽뻝쪧헦믲좱랦ퟔ평뛈ꆣ샽죧,맘폚죋쏱뇒믣싊퓚샺쪷짏뻍듦퓚죽훖뇪ힼ:쮫맬훆쿂뗄맙랽믣싊뫍뷡쯣믣싊틔벰뫚쫐믣싊ꆣ튻냣죏캪뫚쫐믣싊쳥쿖쇋쫐뎡릩쟳뫍믣싊풤웚뗈믺훆,쓜릻뷏뫃뗘랴펳믣싊뗄헦쪵쮮욽,떫쫇뫚쫐믣싊뗄쇏뫜쓑믱뗃ꆣ51ퟮ뫳,튲쫇ퟮ훘튪뗄쫇:뻹뫢믣싊랽램튪쟳쳡릩튻룶헦헽쓜릻랴펳훐맺뫪맛뺭볃퓋탐쳘헷뗄뾪럅뺭볃튻냣뻹뫢쒣탍,떫헢튻뗣쒿잰퇐뺿짐캴듯떽ꆣ컒맺춼1ꆡ컒맺돶뿚뇈훘쟷쫆춼ꆡ뫪맛뺭볃ퟔ1978쓪틔살뗄믹놾쳘뗣쫇붥뷸뗄뺭볃탍,헢쪹뗃컒맺뫪맛ퟜ솿듸폐쿊쏷뗄뷡릹탍쳘헷ꋙꆣ늻뾼싇헢킩쳘헷횱뷓헕냡맺췢뗄ꆰ뻹뫢쪵볊믣싊ꆱ쒣탍,뇘좻좱랦뛔뺭볃퓋탐짮닣듎닎쫽(deepparameters)뗄뾼싇,헐훂슬뾨쮹엺움(Lucas,1976),뫜뿉쓜뛔뺭볃헾닟닺짺컳떼ꆣ횵뗃튻쳡뗄쫇,맺쓚틑뺭폐톧헟틢쪶떽쇋죋쏱뇒뻹뫢쪵볊믣싊퇐뺿랽램뗄늻ퟣ,늢뾪쪼뷸탐쿠맘뗄첽쳖뫍랢햹ꆣ웤훐뇈뷏춻돶뗄쫇뷰훐쿄(1996)뗄퇐뺿,쯻쳡돶튪릹퓬돤럖랴펳훐맺쪵볊맺쟩뗄뻹뫢믣싊쒣탍;붪늨뿋뫍샮쳬뚰(2005)쳡돶쇋닻쫶쓚췢뻹뫢뗄쇭튻쫓뷇ꆣ뛾ꆢ맀볆뻹뫢믣싊뫍믣싊듭캻뗄탂샭싛뿲볜죧잰컄쯹쫶,쒿잰펦폃뻹뫢믣싊럖컶랽램살퇐뺿죋쏱뇒믣싊컊쳢,쯤좻뻟폐튻뚨뗄닎뾼틢틥,떫늢늻췪짆,웤뫏샭탔뫍뿉탐탔횵뗃짌좶ꆣ폐본폚듋,컒쏇릹퓬쇋튻훖탂뗄맀볆뻹뫢믣싊뫍믣싊듭캻뗄샭싛뿲볜ꆣ헢룶뿲볜뿉틔캪좷뚨뇒횵뇤뚯럹뛈쳡릩샭싛틀뻝뫍쪵횤쯣램ꆣ탂뿲볜뗄믹놾쮼쿫쫇:틔믣싊듭캻쿂뗄뻹뫢믣싊믘뢴(reverting)믺훆ퟷ캪샭싛믹뒡,샻폃샭탔풤웚볙짨,붫풶웚췢믣쫐뎡쓚쯹냼몬뗄탅쾢돤럖폐킧뗘샻폃웰살ꆣ헢훷튪쫇뾼싇떽:ꋅ룷훖늻춬뗄뻹뫢믣싊쒣탍쯤좻볙뚨잰쳡ꆢ쒣탍뷡릹늻춬,떫뻹뛏퇔듦퓚튻룶뻹뫢믣싊믘뢴믺훆ꆣꋆ샭탔풤웚쫇ꆰ뺭볃훷쳥샻폃뿉틔믱뗃(available)뗄탅쾢,ퟶ돶뗄폐맘캴살뗄ퟮ뫃뗄(best)믲폐킧(efficient)뗄풤닢ꆱ(Romer,2001;Sachs뫍Larrain,1992뗈)ꆣ풶웚췢믣쫐뎡죝쓉쇋룷랽쏦뗄탅쾢,냼삨샻싊ꆢ믣싊ꋙ샽죧,WangXi(2006)횤쏷,닺좨쳥훆룄룯ꆢ춶죚쳥훆룄룯뗈뛔컒맺뗄춶탐캪뻟폐훘튪펰쿬ꆣ31' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
췵ꆡꆢ닅맺캰:죋쏱뇒뫏틢짽횵럹뛈뗄튻훖쯣램헾닟풤웚ꆢ뺭볃뗄믹뒡뇤솿뫍헻룶뺭볃뗄퓋탐믺훆뗈ꆣ죧맻쫐뎡풤웚쫇샭탔뗄,퓲쯹폐헢킩탅쾢펦쳥쿖퓚쫐뎡풶웚믣싊짏ꆣ탂뿲볜쪵볊짏쫇닉폃쇋샠쯆ꆰ뫚쿤ꆱ럖컶뗄쮼슷,웤뫃뒦퓚폚:(1)죆맽쇋늻춬뻹뫢믣싊쒣탍뗄늻춬볙짨ꆢ늻춬ퟷ폃믺훆뫍ퟷ폃쾸뷚,붫힢틢솦벯훐폚ퟮ뫳뗄뻹뫢믣싊믘뢴믺훆짏,듓뛸뇜쏢쇋잰쫶죋쏱뇒뻹뫢믣싊퇐뺿훐뗄튻킩늻ퟣ횮뒦;(2)샻폃샭탔풤웚벼쫵횱뷓붫듦퓚폚풶웚췢믣쫐뎡뗄탅쾢폐킧샻폃웰살,듓뛸뿋럾쇋쿖폐뻹뫢믣싊샭싛쎻폐샻폃헢킩탅쾢뗄맘볼늻ퟣꆣ쿂쏦쫗쿈붨솢뻹뫢믣싊믘뢴뗄샭싛뿲볜,좻뫳틽죫샭탔풤웚,샻폃췢믣쫐뎡짏뗄폐폃탅쾢,쪵쿖뛔뻹뫢믣싊뫍믣싊듭캻뗄맀볆,ퟮ뫳룸돶튻룶볲뷠쯣램ꆣ(튻)뻹뫢믣싊믘뢴뗄샭싛뿲볜퓚튻룶늻뎤뗄뾼달웚볤(샽죧벸쓪)쓚,춨맽뾼달쿂쏦뗄믣싊듭캻뗷헻믺훆,컒쏇뿉틔쪵쿖뻹뫢믣싊믘뢴쳘헷ꆣ틔ꛅt뇭쪾쪱볤t쪱뗄쪵볊믣싊;ꛅ3캪뾼달웚볤뗄뻹뫢믣싊ꆣ퓚ꛅ3뢽뷼,뾼싇ꛅt뗄뚯첬뗷헻맽돌:dꛅt=f(ꛅt,ꛅ3)dt+ꛒdw(1)ꆡꆡ웤훐,w캪튻뇪ힼ캬쓉(Weiner)맽돌,ꛒ>0캪늨뚯쿮ꆣ헢샯컒쏇볙뚨ꛅ3캪튻뎣쫽ꆣ헢쫇틲캪,죧잰컄쫶,뻶뚨뻹뫢쪵볊믣싊뗄쫇뺭볃믹놾틲쯘뗄폀뻃늿럖,헢킩믹놾틲쯘춨뎣쫇뺭볃뷡릹뫍쪵볊뇤솿,죧쎳틗쳵볾ꆢ짺닺싊쮮욽ꆢ뾪럅뛈뗈ꆣ퓚튻룶늻뎤뗄뾼달웚볤쓚,돽럇폐듳뗄뷡릹탔뇤뚯,헢킩믹놾틲쯘믹놾짏늻믡뇤뮯ꆣ뷸튻늽뗘,죧맻믹놾틲쯘뗄폀뻃늿럖쫇춨맽Beveridge뫍Nelson랽램믲폃HP싋늨랽램볆쯣뛸살,웤뇤뚯믡룼킡ꆣ틲듋,헢룶볙뚨퓚튻룶늻뎤뗄쪱뛎쓚쫇뫏샭뗄ꆣf(ꆤ)뇭쪾쪵볊믣싊뗄웚췻뗷헻쯙뛈,뿉틔춨맽뛔쪽(1)솽뇟좡웚췻뫳퓙돽틔dt뗃돶:E[dꛅt]Πdt=f(ꛅt,ꛅ3)ꆡꆡ틲듋,쪽(1)뇭쏷쪵볊믣싊뗄웚췻뗷헻쯙뛈쫇쪵볊믣싊ꛅt뫍뻹뫢믣싊ꛅ3t뗄몯쫽ꆣ몯쫽f(ꆤ)힡쇋뺭볃뷡릹뗄쳘헷,뇭쪾퓚쳘폐뗄뺭볃뷡릹쿂,쪵볊믣싊뫍뻹뫢믣싊뛔쪵볊믣싊뗷헻쯙뛈뗄펰쿬ꆣ힢틢,컒쏇헢샯늢쎻폐맦뚨f(ꆤ)뗄뻟쳥탎쪽,틲캪늻춬뗄뺭볃뷡릹(믲늻춬뗄뻹뫢믣싊쒣탍)춨뎣뻟폐늻춬뗄믣싊듭캻뗷헻믺훆ꆣ떫죔탨뛔f(ꆤ)뷸탐뷸튻늽짨뚨:f(ꛅ3,ꛅ3)=0(2)dfΠdꛅt=dfΠd(ꛅt-ꛅ3)<0(3)ꆡꆡ쪽(2)뇭쏷,떱ꛅt=ꛅ3쪱,믣싊뒦폚뻹뫢ힴ첬,E[dꛅt]Πdt=0,듋쪱늻웚췻쪵볊믣싊뷸튻늽뗷헻ꆣ떫쫇,헢늢늻뇭쏷듋쪱쪵볊믣싊늻랢짺뇤뚯,틲캪뮹듦퓚늨뚯쿮dꛅt=ꛒdwꆣ퓚룷훖퓝쪱탔쓚췢늿돥믷뗄ퟷ폃쿂,뺭볃훐듦퓚뛠훖쪹믣싊욫샫웤뻹뫢쮮욽뗄솦솿ꆣ샻폃쿟탔햹뾪벼쫵뿉틔룼쟥돾뗘쳖싛쪽(3)뗄몬틥ꋙꆣ뛔f(ꆤ)퓚ꛅt=ꛅ3뢽뷼뷸탐튻뷗첩샕햹뾪ꋚ,퓙샻폃쪽(2),뿉틔뗃떽f(ꛅt,ꛅ3)|ꛅ=ꛅ3ꆤf(ꛅ3,ꛅ3)+(dfΠdꛅt|ꛅ=ꛅ3)(ꛅt-ꛅ3)=(dfΠdꛅt|ꛅ=ꛅ3)(ꛅt-ꛅ3)ꇔꛋ(ꛅt-ꛅ3)(4)웤훐,ꛋꇔdfΠdꛅt|ꛅ=ꛅ3ꆣ붫쪽(4)듺죫쪽(1),폐ꋙ컈첬(믲뻹뫢)뗣뢽뷼뗄쿟탔(믲뛔쫽쿟탎)햹뾪쫇훷쇷뫪맛뺭볃톧뗄튻룶뎣폃벼쫵,맣랺펦폃폚뚯첬(튻냣뻹뫢)쒣탍훐(Romer,2001,p22ꆪ25뫍p63ꆪ68;Ljungqvist뫍Sargent,2000,p72ꆪ75)ꆣꋚ죴뾼싇뛾뷗첩샕햹뾪,퓲쪽(5)훐뛠돶튻룶뛾뷗햹뾪쿮1Π2d2fΠdꛅ2t|ꛅ=ꛅ3(ꛅt-ꛅ32)dtꆣ죴d2fΠdꛅ21|ꛅ=ꛅ3ꇙ0,퓲(1)평폚(ꛅt-ꛅ32)>0,ꛅt붫듦퓚쾵춳탔뗄욫샫쟷쫆,듋쪱뻹뫢믣싊믘뢴쳘헷늻튻뚨쓜릻뗃떽싺ퟣ;(2)ꛅt짏욫뫍쿂욫틽웰뗄ꛅt뇤뮯늻퓙뻟폐뛔돆탔ꆣ평폚헢킩쳘뗣늻럻뫏쿖폐뻹뫢믣싊샭싛쒣탍,틲듋뛾뷗햹뾪늢늻뫏쫊ꆣ32' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2007쓪뗚5웚dꛅꛋ(ꛅt=t-ꛅ3)dt+ꛒdw(5)ꆡꆡ룹뻝쪽(3),ꛋꇔdfΠdꛅt|ꛅ=ꛅ3<0ꆣ퓲퓚쪽(5)훐,떱ꛅt>ꛅ3쪱,폐E[dꛅt]Πdt<0,벴놾뇒뗍맀쪱,쪵볊믣싊폐쿂붵믲놾뇒폐짽횵뗄톹솦ꆣ놾뇒룟맀쪱뗄쟩뿶뿉틔샠췆ꆣ붫쪽(5)샫즢뮯,뗃떽ꚤꛅt+1=ꛅt+1-ꛅt=ꛋ(ꛅt-ꛅ3)+vt+1(6)ꆡꆡ웤훐,vt캪뛀솢춬럖늼뗄룟쮹냗퓫짹,뻹횵캪0,랽닮캪ꛒ2ꆣ쪽(5)뫍(6)뗄뚯첬쾵춳평쪽(1)ꆢ(2)뫍(3)췆돶,쳥쿖쇋쪵볊믣싊뗄뻹뫢믣싊믘뢴쳘헷ꆣ헢룶쳘헷퓧폐싛쫶,횻쫇뫜짙헽쪽폃폚믣싊듭캻퇐뺿ꆣ퓚뺭볃톧랽램싛짏,헽좷뗄뺭볃샭싛놾짭폐솽룶몬틥:튻쫇죧맻샭싛랽돌뗄뇤솿쫇럇욽컈뗄,퓲샭싛랽돌뗄뇤솿횮볤펦듦퓚킭헻맘쾵;뛾쫇퓚샭싛풤퇔뗄뻹뫢(컈첬)뗣뢽뷼뇘좻듦퓚컈첬믘뢴믺훆(Enders,2004)ꆣ맺볊뺭볃톧룦쯟컒쏇:퓚췪좫만뚨믣싊훆뛈쿂,헾닟떱뻖캪캬돖쏻틥믣싊,뇘좻튪죚춨맺볊쫕횧돠ퟖ믲쮳닮,헢폖틽웰믵뇒뗄쓚짺랢탐,믵뇒랢탐뗄뇤뮯틽웰쇋뺭볃훐볛룱쮮욽뗄뇤뮯,뷸뛸쪵볊믣싊랢짺뇤뮯;퓚췪좫뢡뚯믣싊훆뛈쿂,랢짺믣싊듭캻뻍틢캶ퟅ듦퓚쳗샻믺믡,춶믺헟뻍믡뷸탐쫐뎡닙ퟷ,폚쫇쏻틥믣싊랢짺뇤뮯떼훂쪵볊믣싊뗄뇤뚯;죴믣싊훆뛈뒦폚뛾헟횮볤,퓲짏쫶볛룱뫍쏻틥믣싊뗄뗷헻믺훆춬쪱듦퓚ꋙꆣ맘폚뻹뫢믣싊믘뢴뗄샭싛싛쫶,튲뿉틔닎볻Dornbusch(1980)뗄틀듦뺭볃쒣탍,틔벰Edwards(1994)뛔폚뻹뫢믣싊쒣탍훐킭헻컳닮탞헽쒣탍뗄뷢쫍ꆣ퓚컒맺떱잰틔뷡쫛믣훆캪훘튪쳘헷뗄믣싊훆뛈쿂,췵뫍쫦풪(2003)붨솢쇋냼몬쎳틗ꆢ믣싊ꆢ볛룱쮮욽뫍믵뇒ퟜ솿뗄뫪맛뺭볃뚯첬쾵춳,늢뷸탐쇋쪵횤럖컶,웤퇐뺿튲횤쏷쇋컒맺뻹뫢믣싊믘뢴뗄쳘헷ꆣ컒쏇뮹믹폚ꆰ뻹뫢쪵볊믣싊ꆱ샭싛훐뗄ꆰ쯄늽럖컶램ꆱ,샻폃쪵볊믣싊뗄킭헻컳닮탞헽쒣탍,뷸탐쇋헽쪽췆떼,춬퇹뗃돶쇋샠쯆쪽(5)믲(6)뗄쪵볊믣싊뗷헻랽돌ꆣ(뿉쯷좡)(뛾)맀볆뻹뫢믣싊뫍믣싊듭캻쪽(6)뛔쓚쿲쪵볊믣싊뫍췢쿲쪵볊믣싊뚼쫇폐킧뗄ꆣ떫평폚쓚쿲쪵볊믣싊퇐뺿듦퓚뗄늻뇣,틔쿂럖컶믹폚췢쿲쪵볊믣싊뗄룅쓮ꆣ볇쪵볊믣싊ꛅtꇔERtPftΠPdt;춨믵엲헍싊ꛐt+1ꇔ(Pt+1-P)tΠPtꆣ샻폃ꚤlnZt+1;(Zt+1-Z)tΠZt,쪽(6)ퟳ뇟뿉틔뇭쪾캪:ꚤꛅꚤꛅt+1=ꛅ(tt+1Πꛅ1)=ꛅꚤtlnꛅt+1=ꛅꚤtln(ERt+1Pft+1ΠPdt+1)=ꛅt[ꚤlnERt+1+ꚤlnPft+1-ꚤlnPdt+1](7)=ꛅt[(ERt+1-ER)tΠERt+(Pft+1-Pf)tΠPft-(Pdt+1-Pd)tΠPdt]=ꛅt[ERt+1ΠERt-1+(ꛐft+1-ꛐdt+1)]ꆡꆡ붫쪽(7)듺죫쪽(6),폐:ꛅt[ERt+1ΠERt-1+(ꛐft+1-ꛐdt+1)]=ꛋ(ꛅt-ꛅ3)+vt+1ꆡꆡ퓚샭탔풤웚볙짨쿂,뛔짏쪽솽뇟좡쳵볾웚췻Et[ꆤꋚ],퓙틆쿮폐:Et[ERt+1]ΠERt-1+Et[ꛐft+1-ꛐdt+1]=ꛋ(1-Et[ꛅ3]Πꛅ)(t8)ꆡꆡ쪽(8)훐,Et[ꛅ3]벴캪샭탔풤웚틢틥짏뗄뻹뫢쪵볊믣싊맀볆ꆣ듋뒦샻폃쇋뛔펦폚쪽(1)떽(6)뗄뺭볃뚯첬뗷헻믺훆,틲듋Et[ꛅ3]쫇돤럖샻폃뺭볃뷡릹쳘헷뗃돶뗄뛔ꛅ3뗄ퟮ폅맀볆ꆣ쪽(8)훐,ERt쫇벴웚쏻틥믣싊;ꛅt뿉틔횱뷓볆쯣돶살ꆣ죧맻췢믣쫐뎡짏뗄풤웚쫇샭탔뗄,퓲Et[ERt+1]벴캪ꋙ튻룶벫뛋뗄샽ퟓ쫇,퓚퇇훞뷰죚캣믺훐,듳솿맺볊폎돥믷첩맺뗈맺뗄뚢힡믣싊훆ꆣퟮ훕뗄뷡맻쫇첩뗈놻웈럅웺쇋뚢힡믣싊훆늢쟒뻞럹뇡횵ꆣꋚ평폚쳵볾웚췻쫇퓚룸뚨탅쾢벯쿂,ퟮ킡뻹랽컳닮틢틥짏뗄ퟮ폅풤닢(Greene,2000),틲듋퓚훸ퟷ훐,뛔쿲솿X뗄샭탔풤웚(Xe)뺭뎣놻뗈춬폚믹폚쒳룶탅쾢벯(I)t뗄쳵볾웚췻(E[.|It]믲Et[X]),벴:Xe=E[X|It]믲Xe=Et[X]ꆣ33' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
췵ꆡꆢ닅맺캰:죋쏱뇒뫏틢짽횵럹뛈뗄튻훖쯣램췢믣쫐뎡짏뗄풶웚믣싊,웤쫽뻝튲쫇뿉틔믱뗃뗄ꆣ쯹틔,쪽(8)훐캴횪뇤솿횻쪣쿂ꛋ뫍Et[ꛐft+1-ꛐdt+1]ꆣ맘폚Et[ꛐft+1-ꛐdt+1],컒쏇뿉틔뷸탐헽쪽뗄쪵횤풤닢ꆣ샽죧ꇇꇔꛐft-ꛐdt,뿉틔볙짨,좻뫳샻t폃쪱볤탲쇐랽램(죧ARIMA랽램뗈)맀볆ꇇ뗄퓋뚯맦싉ꆣ퓙룹뻝맀볆뷡맻,퓚쪱볤t뛔tꇇ뷸t+1탐풤닢,벴뗃Et[ꇇ]믲Et[ꛐft+1-ꛐdt+1]ꆣt+1볇YtꇔEt[ERt+1]ΠERt-1+Et[ꛐft+1-ꛐdt+1],Xt=1Πꛅt,ꛈ=ꛋEt[ꛅ3],폐랽돌:Yt=ꛋ-ꛈX(t9)ꆡꆡ샻폃볆솿뺭볃톧랽램(죧OLS믲킭헻럖컶뗈),맀볆랽돌(9)훐뗄ꛋ뫍ꛈ,뿉뗃떽웤맀볆횵ꛋ^뫍ꛈ^ꆣ폖평폚ꛈ=ꛋEt[ꛅ3],뿉횪ꛈ^=ꛋ^Et[ꛅ3],폚쫇Et[ꛅ3]=ꛈ^Π^ꛋꆣ훁듋,뻹뫢믣싊쮮욽Et[ꛅ3]뿉틔ퟮ훕볆쯣돶살;뷸뛸뿉틔볆쯣믣싊듭캻:ꛅt-Et[ꛅ3]ꆣ탨튪힢틢뗄쫇,컒쏇잰컄볙뚨,퓚튻룶늻뎤뗄쪱뛎쓚뻹뫢믣싊캪튻뎣쫽ꆣ틲듋맀볆랽램튪싺ퟣ쪵횤럖컶뗄퇹놾쫽솿튪쟳,ퟮ뫃쪹폃룟욵쫽뻝,훁짙쫇퓂뛈쫽뻝ꆣ(죽)튻룶볲뷠뗄쯣램짏컄룸돶쇋믣싊듭캻뗄맀볆랽램,떫컒쏇랢쿖듦퓚쇭튻쳵뷝뺶:죧맻퓚쒳튻쪱뿌tꇤ,쪽(8)뗄ퟳ뇟뗈폚0,퓲평폚ꛋ<0,뇘폐Etꇤ[ꛅ3]=ꛅtꇤ,벴듋쪱늻듦퓚믣싊듭캻믲믣싊듯떽뻹뫢;믲헟쮵,듋쪱뗄쪵볊믣싊쮮욽뻍듺뇭쇋뻹뫢믣싊쮮욽ꋙꆣ쿂컄닉폃헢룶볲뷠쯣램살닢쯣죋쏱뇒믣싊뗄뫏틢뇤뚯럹뛈ꆣ닉폃헢훖쯣램뗄쇭튻룶훘튪풭틲뻍쫇,컒쏇횻쓜믱뗃ꛐft뗄쓪뛈쫽뻝,튪쿫뗃떽Et[ꛐft+1-ꛐdt+1],쿖폐퇹놾쫽솿쫇풶풶늻릻뗄ꆣ죽ꆢ죋쏱뇒믣싊뗄뫏틢짽횵럹뛈(튻)볆쯣쪵볊믣싊쪽(8)훐,틔쪵볊폐킧믣싊살듺뇭쪵볊믣싊ꆣ쪵볹훐,OECDꆢ쏀맺샍뚯춳볆뻖ꆢIMF럖뇰뚨웚릫늼헢룶뿚뺶뗄쪵볊폐킧믣싊횸뇪;컄쿗훐,늻짙톧헟닉폃헢룶뿚뺶뗄쪵볊폐킧믣싊살쳖싛뚫쓏퇇맺볒뗄뺺헹탔뇡횵컊쳢(Liu뗈,1998;Wilson,2001뗈)ꆣ죧잰컄쯹쫶,벸뫎욽뻹쪵볊폐킧믣싊튪폅폚쯣쫵욽뻹쪵볊폐킧믣싊,틲듋놾컄볆쯣닉폃잰헟ꆣ릫쪽죧쿂:nmꛘREERt=ꇇ[ERjtꆤPfjt]jꆤ1Pd,싺ퟣꇆꛘj=1(10)j=1tj=1ꆡꆡ퓙죧잰컄쯹쫶,뛔볛룱횸쫽톡좡뗄늻춬뻶뚨쇋쪵볊믣싊(뷸뛸쪵볊폐킧믣싊)뗄죽훖볆쯣랽램:횧돶PPP췢쿲쪵볊믣싊ꆢퟜ짺닺돉놾췢쿲쪵볊믣싊뫍떥캻돉놾췢쿲쪵볊믣싊ꆣ죽훖쪵볊믣싊뻹쫇랴펳튻맺맺볊뺺헹솦뇤뚯뗄횸뇪,죽헟룷폐샻뇗ꆣ횧돶PPP췢쿲쪵볊믣싊훷튪뾼싇뗄쫇짌욷볛룱뗄맺볊뺺헹솦;ퟜ짺닺돉놾췢쿲쪵볊믣싊ퟅ퇛폚ퟜ짺닺돉놾뗄뇤뚯;떥캻돉놾췢쿲쪵볊믣싊뾼달쎳틗욷뫍훆돉욷뗄맺볊뺺헹솦ꆣ퓚떥캻돉놾췢쿲쪵볊믣싊훐,쎳틗욷떥캻샍뚯돉놾쪵볊믣싊펦ퟮ캪횱뷓뗘랴펳쇋쎳틗욷뺺헹솦뗄뇤뚯,떫쯼뗄좱쿝쫇:쫜뺭볃훜웚틽랢뗄뻍튵뇤뚯펰쿬,늢쟒쫽뻝뿉믱탔뷏뗍ꆣퟜ뗄살뾴,죽훖쪵볊믣싊룷폐폅쇓,뫜쓑쮵튻훖쪵볊믣싊폅폚웤쯼(Ark뫍Timmer,2001)ꆣ뫜뛠쪱뫲,쪹폃쓄훖볛룱횸쫽볆쯣쪵볊믣싊,좡뻶폚쫽뻝뗄뿉믱탔,뛸럇웤샭싛믹뒡ꆣ평폚떥캻돉놾췢쿲쪵볊믣싊쫽뻝뗄뿉믱탔뷏뗍,틲듋훷튪폃폚랢듯맺볒,퇐뺿랢햹훐맺볒믣싊컊쳢쫊폃ꋙ떱좻,뻹뫢믣싊쮮욽뿉쓜돶쿖뛠룶,톡좡샫뾼달쪱뿌뷏뷼뗄튻룶뷏캪뫏쫊ꆣ34' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2007쓪뗚5웚잰솽훖랽램ꆣIMF쪹폃뗚죽훖랽램뛔컒맺뗄쪵볊폐킧믣싊뷸탐닢쯣,떫평폚쫽뻝늻좫,웤쪵볊폐킧믣싊횸뇪퓚뫜듳돌뛈짏쫇맀쯣뗄,닎뾼볛횵폐쿞ꆣ퓚컒맺,CPI뫍GDP욽복횸쫽뗄뇤뚯쟷쫆뫍럹뛈믹놾쿠춬,뛸쟒CPI횸뇪뗄맺볊쫽뻝뇈뷏죝틗믱뗃,틲듋,놾컄볆쯣췢쿲쪵볊폐킧믣싊닉폃CPI횸뇪,벴닉폃뗚튻훖랽램ꆣ벼쫵뒦샭훐,컒쏇톡폃쇋2000쓪폫컒맺몣맘뷸돶뿚쎳틗뛮(뷸뿚뛮+돶뿚뛮)캪60틚쏀풪틔짏뗄17룶맺볒(뗘쟸)훐뗄15룶ꋙ,냼삨:죕놾ꆢ쿣룛ꆢ펡쓡ꆢ십살컷퇇ꆢ탂볓웂ꆢ몫맺ꆢ첩맺ꆢ펢맺ꆢ뗂맺ꆢ램맺ꆢ틢듳샻ꆢ뫉삼ꆢ쏀맺ꆢ볓쓃듳뫍냄듳샻퇇;첨췥쪡뫍뛭싞쮹평폚쫽뻝늻좫뛸캴놻쓉죫ꆣ퓚1994ꆪ2004쓪볤,헢15룶맺볒(뗘쟸)폫컒맺뗄쎳틗ퟜ뛮햼떽쇋컒맺쎳틗ퟜ뛮뗄뷼80%,틲듋,볆쯣돶살뗄쪵볊폐킧믣싊뻟폐듺뇭탔ꆣ틔룷쎳틗믯냩맺(뗘쟸)뛔컒맺쎳틗뛮햼헢킩맺볒(뗘쟸)뛔컒맺쎳틗ퟜ뛮뗄뇈싊ퟷ캪좨훘ꆣ돶폚뿉뇈탔,컯볛횸뇪춳튻틔IMF뗄CPI쫽뻝캪ힼꆣ컒맺ퟔ1994쓪뾪쪼쪵탐믣싊늢맬,뾼싇떽믣싊뗄뿉뇈탔,틔1994쓪ퟷ캪볆쯣뗄믹웚ꆣ폐맘쫽뻝볻뇭1ꆢ2뫍3ꆣ웤훐,믣싊ꆢCPI쫽뻝살풴폚IMF룷웚InternationalFinancialStatistics,뻹캪쓪뗗쫽횵;좨훘룹뻝룷웚ꆶ훐맺뛔췢뺭볃쎳틗쓪본ꆷ뗄폐맘쫽뻝늢뻝컄훐쯣램헛쯣뛸살ꆣ2005쓪뗗춳볆쫽뻝캴횪ꆣꆡꆡ룹뻝릫쪽(10),샻폃뇭1ꆢ2뫍3뗄쫽뻝,볆쯣죋쏱뇒쪵볊폐킧믣싊횸쫽ꆣ캪쇋뇜쏢좨훘톡퓱쪱웚뗄펰쿬,컒쏇냑1994쓪훁2003쓪럖뇰ퟷ캪톡좡좨훘뗄쪱웚뷸탐쇋볆쯣,죧뇭4쯹쪾ꆣ웤훐,뗚튻쇐뇭쪾ퟷ캪좨훘톡퓱뗄늻춬쪱웚;뗚튻탐캪볆쯣돶뗄쪵볊폐킧믣싊횸쫽뗄늻춬쓪럝ꆣ쪵볊폐킧믣싊횸쫽뺭맽뇪ힼ뮯,춳튻틔1994쓪캪100ꆣ2005쓪좱짙쎳틗좨훘춳볆쫽뻝,듋뒦틔2004쓪쫽뻝쳦듺ꆣ뇭1믣싊쓪뛈뇭믣싊199419951996199719981999200020012002200320042005쿣룛111151107911075110711106911065110621106211061110661106511065쏀맺816168135181313812898127781280812778127781277812768127781277펢맺131212131180121985131587131712131383121351121005131341141771151985141844뗂맺513295184051525417864171341033317353153741209510695146741853죕놾010850108901077010690106401081010720106301069010770107901075볓쓃듳613116108861095519855158951737515185119751240614046187661753냄듳샻퇇613116118561514611675121551413415864122641687612076144761321탂볓웂516645190551901516004195941970417804147241767418665106641917뫉삼417615121441934412514117931576313123113631732414954184741303몫맺010110101101010010090100601007010070100601007010070100801008램맺115611167311623114241141111207111181105911260115181163711453틢듳샻010050100501005010050100501004010040100401004010050100601005첩맺013470133701330012810120301221011910118701192012090121201201십살컷퇇313003133531311310092112721179211782117821178211782117821178펡쓡010040100401004010030100101001010010100101001010010100101001ꋙퟔ1994쓪틔살,헢15룶맺볒(뗘쟸)튻횱쫇컒맺뗄훷튪쎳틗믯냩맺(뗘쟸),컒맺쎳틗뗘샭랽쿲쎻폐쏷쿔룄뇤ꆣ35' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
췵ꆡꆢ닅맺캰:죋쏱뇒뫏틢짽횵럹뛈뗄튻훖쯣램뇭2CPI쓪뛈뇭CPI199419951996199719981999200020012002200320042005쿣룛100101091011519122161261012110116151141611111108131071810812쏀맺100101021810518108121101011214116121191412113124111271412818펢맺100101031410519109121121911417118101201212211125171291413113뗂맺100101011810313105121061210618108141101611211113131151111611죕놾1001099191001010117102131021010113100159916991499139912볓쓃듳100101011610312104191051910718110171131511611119131211512216냄듳샻퇇100101041610713107161081611012115111201212318127121301213118탂볓웂100101011710311105121041910419106131071410710107151091310913뫉삼100101011910410106131081511019113171181812219125151271112810몫맺100101041510916114141231012410126181321013516140141451414716램맺100101011810318105111051810613108111091911211114141161811718틢듳샻100101051210914111161131811517118171221012510128131311213214첩맺100101051811119118121271812812130121321313311135151391314119십살컷퇇100101051310910111191171912111122191241712619128131301213211펡쓡100101091411812126111981723911261142941232317340113611337511훐맺100101161912616130121291112713127161281212712128171331713419뇭3좨훘쓪뛈뇭좨훘19941995199619971998199920002001200220032004쿣룛0120501183011830120401184011600115601152011560114701143쏀맺0118801192011920119701222012250121501218012190121301215펢맺0102201023010230102301027010290102901028010260102401025뗂맺0106301059010590105101058010590105701064010630107001069죕놾0126401270012700124401235012420124001238012300122501213볓쓃듳0101901019010190101601018010170102001020010180101701020냄듳샻퇇0101901023010230102101020010230102401024010240102301026탂볓웂0103201033010330103501033010310103101030010320103301034뫉삼0101901020010200102201024010240102301024010240102601027몫맺0107801090010900109601086010920110001097011000110701114램맺0102101019010190102201024010250102201021010190102301022틢듳샻0102401023010230101901020010210102001021010210102001020첩맺0101501014010140101401015010150101901019010190102101022십살컷퇇0101501016010160101801017010190102301026010320103401033펡쓡0101601017010170101801015010180102201018010180101701017ꆡꆡ힢:뇭훐2005쓪믣싊ꆢCPI뻹캪6퓂뗗쫽횵ꆣ36' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2007쓪뗚5웚뇭4죋쏱뇒쪵볊폐킧믣싊횸쫽쓪럝199419951996199719981999200020012002200320042005좨훘1994100100891288019275168711727714972188691527418479168801147712719951001008912480175751347110177117721536911674164791598012277139199610010089124801757513471101771177215369116741647915980122771381997100100891268111775197711537714272192691817511379169801297716419981001008911681109751967119777146731217012175162801428110778131199910010089113801937515671120771007216869167751308013381111781312000100100891168019975147701587616472122691267419379197801827810820011001008911680198751457017376158721246912974199801118110078120200210010089118811117516270175761547212969142751037919680180781102003100100891288111775147701417610671180681987417579180801817810320041001008912581130751597013675196711756910474187791978111278139ꆡꆡ평뇭4뿉횪,룹뻝늻춬쓪럝뗄좨훘,뗃떽10훖늻춬뗄뫋쯣뷡맻ꆣ힢틢떽,10훖뷡맻뗃떽뗄쪵볊폐킧믣싊뗄뇤뚯쟷쫆쫇튻훂뗄,횻쫇럹뛈짔폐닮틬,볻춼2ꆣ평듋뿉볻듋훖횸뇪뫋쯣뗄컈붡탔ꆣ춼2ꆡ죋쏱뇒쪵볊폐킧믣싊횸쫽ꆡ쪵볊폐킧믣싊짏짽(쿂붵)듺뇭죋쏱뇒뗄쪵볊뇡횵(짽횵)ꆣ듓뇭4훐뿉볆쯣,폫1997쓪뫍1996쓪뗗쿠뇈,죋쏱뇒퓚1998쓪럖뇰쪵볊짽횵619%뫍1315%ꆣ퇇훞뷰죚캣믺랢짺퓚1997쓪훐뫳웚,퓲캣믺횮뫳죋쏱뇒쪵볊짽횵럹뛈펦퓚솽헟횮볤,풼캪10%ꆣ죴틔2000쓪캪믹웚,2004쓪죋쏱뇒쪵볊뇡횵1215%,헢훷튪쫇평폚웚볤컒맺돖탸뗄춨믵뷴쯵뫍죋쏱뇒뚢힡뗄쏀풪뇡횵퓬돉뗄ꆣ(뛾)볆쯣풤웚춨믵엲헍닮틬펦폃볓좨램,샠쯆폚쪽(10)볆쯣맺췢뗄ퟛ뫏볛룱쮮욽:nPfꛘt=ꇇ[Pfjt]jj=1웤훐,Pf듺뇭맺췢뗄ퟛ뫏볛룱쮮욽,웤쯻럻뫅몬틥뗈춬폚쪽(11)ꆣ춨믵엲헍볆쯣뷡맻볻뇭5ꋙꆣꋙ뇭5훐룸돶뗄쫇틔2000쓪뗄쎳틗뇈훘ퟷ캪좨훘볆쯣뗄볛룱횸쫽ꆣ컒쏇뗄볆쯣뇭쏷,쪹폃웤쯻쓪럝쎳틗좨훘볆쯣뗄볛룱횸쫽쿠닮컞벸ꆣ37' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
췵ꆡꆢ닅맺캰:죋쏱뇒뫏틢짽횵럹뛈뗄튻훖쯣램뇭5맺쓚췢춨믵엲헍뇭춨믵엲헍싊19951996199719981999200020012002200320042005맺쓚ꆡ01169ꆡ0108301028-01008-010140100301005-01008ꆡ01012ꆡ0103901009맺췢0103401029010300103201005010100101401006010100101501015맺췢2맺쓚-01135-01054010010103901019010070101001014-01002-0102401007ꆡꆡ뇭5쫽뻝쿔쪾,2000쓪틔뫳맺쓚췢춨믵엲헍횮닮쏷쿔뷓뷼폚0,틲듋,컒쏇폐샭평쿠탅,2000쓪틔뫳맺쓚췢춨믵엲헍풤웚횮닮튲펦뷓뷼폚0ꆣ벴뿉틔듳쳥짏죏캪,2000쓪틔뫳ꋙ믡돶쿖:Et[ꛐft+1-ꛐdt+1]=0(11)ꆡꆡ(죽)볆쯣Et[ERt+1]ΠERt-1뫍뻹뫢믣싊쿂쏦펦폃튻쓪웚뗄NDF(Non2DeliveryForward)풶웚믣싊쫽뻝,뾼달믣싊풤웚컊쳢ꆣ죧춼3쯹쪾,웤훐폒춼쫇ퟳ춼뗄뻖늿럅듳,쫽뻝살풴폚Bloomburg췸싧쫽뻝뿢ꆣ춼3ꆡNDF튻쓪웚풶웚믣싊ꆡ평춼3뿉횪,2002쓪11퓂쒩죋쏱뇒뗄풶웚믣싊뫍벴웚믣싊(81277죋쏱뇒Π쏀풪)쿠붻ꆣ평폚쓪뛈쫽뻝뚼쫇쓪뗗쫽뻝,틲듋뿉틔듳쳥죏캪,퓚2002쓪쒩,폐Et[ERt+1]ΠERt-1=0(12)ꆡꆡ붫쪽(11)뫍(12)듺죫쪽(8),퓲쪽(8)ퟳ뇟캪0ꆣ평폚쪽(7)폒뇟ꛋ<0,뇘폐Et[ꛅ3]=ꛅtꆣ헢퇹컒쏇뻍뗃돶뷡싛:퓚2002쓪쒩,믣싊믹놾듯떽뻹뫢,늻듦퓚믣싊듭캻ꆣ폚쫇뇭4훐,2002쓪뗄쪵볊폐킧믣싊횸쫽듺뇭쇋뻹뫢믣싊쮮욽ꆣ(쯄)죋쏱뇒뗄뫏틢짽횵럹뛈평짏뷚럖컶,퓚ꆡ뇭6죋쏱뇒뗄뫏틢짽횵럹뛈2002쓪쒩,믣싊믹놾듯쓪럝쪵볊폐킧믣싊뫏틢믣싊떽뻹뫢ꆣ평뇭4,뾼싇200220032004200516좨훘뇤뚯(%)(죋쏱뇒Π쏀풪)틔2002쓪틔뫳좨훘볆쯣뗄죋쏱뇒쪵볊폐킧믣20027510379196801807811041097194싊횸쫽20037417579180801817810341397191,뿉틔볆쯣2005쓪6퓂뗄죋쏱뇒뫏틢짽20047418779197811127813941707189횵럹뛈뫍ꆰ죋쏱뇒Π쏀뻹횵7418879191801917811741397191풪ꆱ뫏틢쮮욽,볻뇭6ꆣ웤훐,뫏틢짽횵럹뛈벴캪쿠뛔폚2002쓪뗄쪵볊폐킧믣싊퓶뎤싊;2005쓪6퓂ꋙ죧잰컄쯹쫶,튲뿉틔뷸탐헽쪽뗄쪵횤풤닢ꆣ떫헢샯뗄퇹놾쫽쒿첫짙,늻쓜싺ퟣ튪쟳ꆣ38' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2007쓪뗚5웚뗗뗄죋쏱뇒뛔쏀풪믣싊캪81276ꇃ1,틲듋믣싊뫏틢쮮욽=81276ꇁ(1-쪵볊폐킧믣싊퓶뎤싊)ꆣ뿉볻,죋쏱뇒쪵볊폐킧믣싊퓚2002쓪틔뫳좷쪵짽룟쇋,틢캶ퟅ죋쏱뇒믣싊쪵볊짏퓚뇡횵ꆣ평뇭6,뛔펦늻춬뗄좨훘,2005쓪6퓂죋쏱뇒쪵볊폐킧믣싊횸쫽뷏2002쓪룟돶풼4139%,쯹틔캪쇋믖뢴떽2002쓪뗄뻹뫢믣싊쮮욽,죋쏱뇒펦짽횵4139%,벴뫏틢믣싊쮮욽펦룃퓚7191죋쏱뇒Π쏀풪ퟳ폒ꆣ쯄ꆢ뷡폯놾컄쫗쿈뛔죋쏱뇒뻹뫢믣싊퇐뺿뷸탐쇋튻룶뇈뷏훐뿏뗄움싛,헢폐훺폚컒쏇헽좷움볛죋쏱뇒뻹뫢믣싊퇐뺿뗄헦헽볛횵,뛸헢킩퇐뺿춨뎣놻룷훖쇮죋퇛뮨싒뗄룟벶랽램쯹탞쫎ꆣ뷓ퟅ,컒쏇쳡돶쇋튻훖탂뗄믣싊뫏틢뇤뚯럹뛈뗄쯣램,늢닢쯣쇋2005쓪6퓂뗗죋쏱뇒뗄뫏틢짽횵럹뛈캪4139%ꆣ탂쯣램뗄샭싛릱쿗퓚폚:샻폃쇋틔췹캪맺쓚췢뻹뫢믣싊럖컶쯹뫶싔뗄풶웚췢믣쫐뎡뗄탅쾢,늢쟒쳡릩쇋믹폚뻹뫢믣싊믘뢴뫍샭탔풤웚뗄샭싛횧독;퓚쪵횤짏,룸돶쇋맀볆뻹뫢믣싊뫍믣싊듭캻뗄튻룶볲틗릫쪽ꆣ틲듋,헢룶쯣램펦룃쫇뛔쿖폐뻹뫢믣싊퇐뺿뗄튻룶췆뷸ꆣ떫튲펦힢틢떽,놾컄볙뚨풶웚믣싊쫇쳵볾웚췻틢틥짏뗄샭탔풤웚맀볆ꆣ뾼싇떽풶웚췢믣쫐뎡뗄폐킧탔컊쳢,헢룶볙뚨뿉쓜맽잿쇋,헢폐듽뷸튻늽첽쳖ꆣ쇭췢,탂쯣램볙뚨뺭볃믹뒡뇤솿뗄폀뻃늿럖놣돖늻뇤,죧맻듦퓚듳뗄뺭볃뷡릹뇤뚯,죧뷰죚캣믺뗈,탂쯣램붫믡쪧킧ꆣ틲듋,탂쯣램룼볓쫊뫏쪱볤뿧뛈늻뎤뗄쟩뿶ꆣퟮ뫳,퓚뻟쳥볆쯣죋쏱뇒뗄뫏틢짽횵럹뛈쪱,쪵횤럖컶짐폐늻ퟣ횮뒦,냼삨:(1)평폚쫽뻝살풴컊쳢,놾컄횻볆쯣쇋쓪뛈뗄췢쿲쪵볊폐킧믣싊횸쫽,늢쟒뛔맺쓚췢풤웚춨믵엲헍싊뗄맀볆튲폐듽췪짆;(2)평폚컞램믱뗃ퟮ탂뗄쫽뻝,놾컄짐컞램닢쯣돶떱잰뗄뫏틢믣싊뇤뚯럹뛈ꆣ뛔폚헢솽룶늻ퟣ,컒쏇죏캪,퓚풴뗄횧돖쿂,맙랽폐쓜솦튲폐뇘튪볆쯣컒맺뗄퓂뛈쪵볊폐킧믣싊횸쫽,뇏뺹쪵볊폐킧믣싊횸쫽쫇뷸탐맺볊뷰죚퇐뺿뫍뫪맛뗷뿘쯹탨뗄믹뒡쫽뻝ꆣ쇭췢,맙랽튲뿉틔샻폃탂뗄쫽뻝볆쯣돶룼뷼웚뗄믣싊뫏틢뇤뚯럹뛈ꆣퟜ쳥짏,놾컄뗄틢틥훷튪쳥쿖퓚샭싛뫍랽램짏ꆣ퓚떱뻖좱랦폐킧뗄믣싊뚨볛랽쪽뗄쟩뿶쿂,놾컄뗄샭싛릫쪽펦쫇튻룶릱쿗ꆣ컒쏇쪼훕죏캪,좷뚨죋쏱뇒짽횵럹뛈늻쓜훷맛틜뛏,뛸펦믹폚톧샭쳡릩쯣램ꆣ쇭튻랽쏦,평폚잰컄쯹쫶뗄삧쓑,놾컄뗄쪵횤릤ퟷ펦훷튪쫇튻룶닎뾼ꆣ닎뾼컄쿗늷폀쿩ꆢRodTyers,2001ꆶ:훐맺뻹뫢쪵볊폐킧믣싊:튻룶ퟜ솿튻냣뻹뫢럖컶ꆷꆶ,뺭볃퇐뺿ꆷ뗚6웚ꆣ돂붨솺,2000ꆶ:움죋쏱뇒믣싊뗷헻뗄샭싛틀뻝ꆪꆪꆪ볦움쪵볊믣싊럖컶램ꆷꆶ,뺭볃퇐뺿ꆷ뗚1웚ꆣ돂욽ꆢ췵,2002ꆶ:죋쏱뇒믣싊뗄럇뻹뫢럖컶폫믣싊훆뛈뗄뫪맛킧싊ꆷꆶ,뺭볃퇐뺿ꆷ뗚6웚ꆣ돂톧뇲,1999ꆶ:뷼웚죋쏱뇒쪵볊믣싊뇤뚯첬쫆럖컶ꆷꆶ,뺭볃퇐뺿ꆷ뗚1웚ꆣ랶쏴,1999ꆶ:죋쏱뇒뗄뻹뫢믣싊맀볆ꆷꆶ,놱뺩듳톧훐맺뺭볃퇐뺿훐탄톧뾯ꆷ뗚3웚ꆣ붪늨뿋ꆢ샮뮳뚨,2006ꆶ:뻹뫢믣싊샭싛컄쿗움쫶ꆷꆶ,떱듺닆뺭ꆷ뗚2웚ꆣ붪늨뿋ꆢ샮쳬뚰,2005ꆶ:죋쏱뇒뻹뫢샭싛뗄탂쫓뷇벰웤몬틥ꆷꆶ,맺볊뷰죚퇐뺿ꆷ뗚4웚ꆣ뷰훐쿄,1995ꆶ:싛훐맺쪵볊믣싊맜샭룄룯ꆷꆶ,뺭볃퇐뺿ꆷ뗚3웚ꆣ뷰훐쿄,1996ꆶ:싛맬쪱웚뗄뻹뫢믣싊탎돉믺훆ꆷꆶ,뺭볃퇐뺿ꆷ뗚3웚ꆣ쇖늮잿,2002ꆶ:죋쏱뇒뻹뫢쪵볊믣싊뗄맀볆폫쪵볊믣싊듭캻뗄닢쯣ꆷꆶ,뺭볃퇐뺿ꆷ뗚12웚ꆣ십룙,2000ꆶ:훐맺쪵볊뻹뫢믣싊ꆷ,NERI,릤ퟷ룥ꆣ쟘엠뺰,2004ꆶ:죋쏱뇒믣싊퇐뺿:컄쿗ퟛ쫶ꆷ,릤ퟷ룥ꆣ췵ꆢ쫦풪,2003ꆶ:훐맺믵뇒쫐뎡퓋탐:쓚짺탔ꆢ뗷헻쪱훍폫뚯첬ꆷꆶ,뺭볃톧벾뾯ꆷ4퓂뾯ꆣ헅쿾웓,1999ꆶ:죋쏱뇒뻹뫢믣싊뗄샭싛폫쒣탍ꆷꆶ,뺭볃퇐뺿ꆷ뗚12웚ꆣ헅쿾웓,2000ꆶ:뻹뫢폫쪧뫢:1978ꆪ1999죋쏱뇒믣싊뫏샭탔움맀ꆷꆶ,뷰죚퇐뺿ꆷ뗚8웚ꆣ,2001,ꆰPPPsandInternationalProductivityComparisons:BottlenecksandNewDirectionsꆱ,ProceedingsofJointWorldBank2OECDSeminaronPurchasingPowerParities,,B.,1964,ꆰThePurchasingPowerParityDoctrine:AReappraisalꆱ,JournalofPoliticalEconomy72,584ꆪ' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
췵ꆡꆢ닅맺캰:죋쏱뇒뫏틢짽횵럹뛈뗄튻훖쯣램Beveridge,,1981,ꆰANewApproachtoDecompositionofEconomicTimeSeriesintoPermanentandTransitoryComponents,ꆱJournalofMonetaryEconomics,,,151ꆪ,,.,1998,ꆰTheEquilibriumExchangeRateofChineseRenminbiꆱ,JournalofComparativeEconomics,,,1998,ꆰExchangeRatesandEconomicFundamentals:AMethodologicalComparisonofBEERsandFEERsꆱ,IMFWorkingPaper98Π67,Washington,.:,T.,1989,ꆰTheRealExchangeRateinthePhilippinesꆱ,NationalUniversityofSingapore,,StaffSeminarPaper,,Shantayanan,Lewis,JeffreyDandRobinson,Sherman,1993,ꆰExternalShocks,PurchasingPowerParity,andtheEquilibriumRealExchangeRateꆱ,WorldBankEconomicReview,,,R.,1980,OpenEconomyMacroeconomics,BasicBooks,Inc.,,R.,,1994,ꆰChileanTradeandExchangeRatePolicyꆱ,.(eds)TheChileanEconomy:PolicyLessonsandChallenges,Washington,.:,,1999,ꆰExchangeRatesinEmergingEconomies:WhatdoWeKnow?WhatDoWeNeedtoKnow?ꆱ,S.,1989,RealExchangeRates,Devaluation,andAdjustment:ExchangeRatePolicyinDevelopingCountries,MITPress,Cambridge,,S.,1994,ꆰRealandMonetaryDeterminantsofRealExchangeRateBehavior:TheoryandEvidencefromDevelopingCountriesꆱ,(ed.),EstimatingEquilibriumExchangeRates,Washington,DC:.,2004,AppliedEconometricTimeSeries,NewYork:JohnWiley&,I.,1994,ꆰEstimatingLong2RunEquilibriumRealExchangeRatesꆱ,(ed.),EstimatingEquilibriumExchangeRates,WashingtonDC:,,1995,ꆰPerspectivesonPPPandtheLong2runRealExchangeRateꆱ,(eds),,Amsterdam:,.,1994,ꆰCharacterizingRealExchangeRateBehaviorofSelectedEastAsianEconomiesꆱ,JournalofEconomicDevelopment19,67ꆪ,.,2000,EconometricAnalysis,4thEd.,,R.,1995,UsingCointegrationAnalysisinEconometricModeling,.,1999,ꆰExternalExchangeRate:PurchasingPowerParity,theMundell2FlemmingModel,andCompetitivenessinTradedGoodsꆱ,ExchangeRateMisalignment:ConceptsandMeasurementforDevelopingCountries,NewYork:,C.,1981,ꆰAutoregressiveModelingandMoneyIncomeCausalityDirectionꆱ,JournalofEconometrics7,85ꆪ,,1999,ꆰTheAsianCurrencyCrash:WereBadlyDrivenFundamentalstoBlame?ꆱJournalofAsianEconomics10,537ꆪ,,1998,ꆰAsianCompetitiveDevaluationsꆱ,PaperfortheconferenceꆰChinaꆯsIntegrationintotheWorldEconomyꆱ,HarvardUniversity;.,,2000,RecursiveMacroeconomicTheory,,.,1976,ꆰEconometricPolicyEvaluation:ACritiqueꆱ,(eds),ThePhillipsCurveandLaborMarkets,Amsterdam:,2002,ꆰTheMeasurementofRealEffectiveExchangeRates:ASurveyandApplicationstoEastAsiaꆱ,,P.,1997,ꆰExchangeRatePolicyandMacroeconomicManagementinASEANCountries,ꆱ.(eds)MacroeconomicIssuesFacingASEANCountries,Washington,.:,K.,1996,ꆰThePurchasingPowerParityPuzzle,ꆱJournalofEconomicLiterature,,,647ꆪ,D.,2001,AdvancedMacroeconomics(2ndEdition),McGraw2HillCompanies,,,1992,Macroeconomics,,,1995,QuantitativeDevelopmentPolicyAnalysis,Baltimore(Maryland):,.,1964,ꆰTheoreticalNotesonTradeProblemsꆱ,ReviewofEconomicsandStatistics46,145ꆪ,L.,1998,ꆰOnExchangeRates,NominalandRealꆱ,JournalofInternationalMoneyandFinance17,407ꆪ,Reimundo,1996,ꆰEltipodecambiorealdeequilibrio:unmodelonolinealdeseriesdetiempoꆱ,inAnalisisEmpiricodeltipodeCambioenChile,FelipeMorande,andRodrigoVergara(eds).WangXi,2006,ꆰInvestmentBehaviorandAggregateDuringChinaꆯsEconomicTransitionꆱ,FrontiersofEconomicsinChina,Higher40' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
2007쓪뗚5웚EducationPress&Springer2Verlag,,ꆪ,J.,1985,ꆰTheExchangeRateSystem,ꆱ,Washington,.:,J.,1994,ꆰEstimatingEquilibriumExchangeRatesꆱ,inEssaysonAlternativeApproachestoCalculatingLong2runRealExchangeRatesinPractice,Washington,.:,Peter,2001,ꆰExchangeRatesandtheTradeBalanceforDynamicAsianEconomies2DoestheJ2CurveExistforSingapore,MalaysiaandKorea?ꆱ,OpenEconomiesReview12,389ꆪ:aCommentonRMBEquilibrium2Exchange2RateStudyWangXiandCaiGuowei(LingnanCollegeattheSunYat2senUniversity)Abstract:AftercommentingontherationaleandfeasibilityofcurrentRMBequilibrium2exchange2rateresearch,,,byconstructingtheexternalrealeffectiveexchangerateindexandusingRMBNDFdata,weshowthatRMBshouldbeappreciatedby4139%:AppreciationScale;RMB;Algorithm;EquilibriumExchangeRateJELClassification:F310,F320,E580(퓰죎뇠벭:췵샻쓈)(킣뛔:쿾ꆡ언)(짏뷓뗚26튳)Uribe,Martin,1997ꆰ,HabitFormationandtheComovementofPricesandConsumptionduringExchange2rateBasedStabilizationProgramsꆱ,ꆪꆪꆪ,HuYonggangandMaZhiyao(FacultyofBusinessatNingboUniversity;ShanghaiUniversityofFinanceandEconomics;XiangtanUniversity)Abstract:ThisthesisfirstdisplaysthestylizedfactsofChinaꆯsmacroeconomicfluctuations:itsconsumptionishighlycorrelatedwithGDP,investmentfluctuatesmorethanoutput,,%,24139%and98150%ofrealfluctuationsinoutput,consumptionandinvestmentrespectively;resultsfromasmallopeneconomyare69151%,68170%,98150%withatrade2balance2to2GDPratioof97142%;thebestresultscomefromasmallopeneconomywithgovernmentpurchase,theyare83191%ꆢ81195%ꆢ99163%withatrade2balance2to2GDPratioof209168%.Overall,:RealBusinessCycle;SmallOpenEconomy;DynamicGeneralEquilibrium;ProductivityShockJELClassification:E32,F47,D58,E23(퓰죎뇠벭:돉ꆡ퇔)(킣뛔:쿾ꆡ언)41' 1994-2009 China Academic Journal Electronic Publishing House. All rights reserved.
