关键词: ESTAR模型, ARB-STR模型, B-S效应, 脉冲响应

Abstract: This paper studies the nonlinear mean reversion adjustment of PPP towards its long-run equilibrium, based on monthly Renminbi-Dollar real exchange rate data since Apr 1994, employing ESTAR and ARB-STR models which contain the second polynomial time trends serves as the empirical proxy for B-S effects. The B-S effects in the models show that the real equilibrium exchange rate depreciated continuously during 1994–2000, and appreciated continuously since 2001, but the appreciated tendency has been slow down recently. The impulse response function analysis shows that the bigger the shocks, the faster the mean reversion speed of the real exchange rate, and the adjustment behavior is unsymmetrical when faces to positive or negative different shocks, and the mean reversion speed is faster when Renminbi is undervalued than it be overvalued. Also, due to the different informative mechanism of Renminbi exchange rate and the frequent intervention of central bank, it has longer half lives of shocks comparative to those west developed countries. Lastly, some policy suggestions have been proposed briefly. 

Key words: ESTAR model, ARB-STR model, B-S effects, Impulse response