两国货币定价模型研究_作者：陈建梁

:(CIP)/:,2004(/)ISBN7-80162-935-3F821CIP(2004)048920:811:[phone]:100038::::::787mm960mm/1615200200481200481:13000:2900:ISBN7801629353/F849,,:2:[phone]:100836,,,,,,,,,,,,,,,,,,,,,,l2,,,,,,,,,,,,,,,119221914(purchasingpowerparitytheory,PPP),,:S=PP(11),S,,;PP80,,,,,,,,,,,l2,,,,(thestickyprice),,,,,,,,(theexchangerateovershooting),:pt-pt-1=(dt-yt)(12),ptt,pt-1t-1,dtt,ytt,,,:dt=yt-it+(st-pt+pt)(13),stt,itt,ptt,12,,,,,:Etst+1-st=(st-st)(14),stt,stt,Etst+1tt+1,,,,t,,,6:st=pt-pt(15)1l3mt-pt=k+yt-it(16)mt-pt=k+yt-it(17)dt-dt=(yt-yt)-(it-it)+(st-pt+pt)(18)(pt-pt)-(pt-1-pt-1)=[(dt-dt)-(yt-yt)](19)Etst+1-st=it-it(110),1511;1617LM,mpyi;18,dysp,i(,);19,,pdy;110,,,i,,:st=b0+b1(mt-mt)+b2(yt-yt)+b3(pt-1-pt-1)(111),b0b1b2b3,1415110,(t),LM==,1912,,,l4,,,,,,,,,,,1617ititlnitlnit,110itit,,18,,lnit-lnit=it-it,,it10%,it6%,it-it=4%,lnit-lnit=51%,12(514=1275),1617?,,1617,LM,LMMP=kY-hi,LM,1l5,h,kMPYi,LM,,,lnMP=lnM-lnP=ln(kY-hi),,LMMP=kYi-,,1617,,LM(),LM,,LMMP=kYi-LMLM,i1%,()LM,i,LM,i1/i,10%9%,,10%01,10,,,1%,,i1%,001i,MP=kYi-l6,,LM,,,,,1995,,,,,,,,,,,70,,,,,,,,,,,,,,,,,,,1l7(MichaelBeenstock):,(),,11,,,,,15,,,,,,,;,,,,,,Hallman(HPS)(1991)P,,,HPSEvanFKoenig(1996)AthanasiosOrphanidesRichardDPorter(2000)PCampbell(1994),,Ireland(1997a)KingWatson(1996)l8;Christiano(1997),,JamesHStock,MarkWWatson(1999)Phillips,PeterIsardDouglasLaxton(2001)MonteCarlo;EdwardNelson(1998);JohnBTaylor(2000);ThomasLindhBoMalmberg(2000);KeithBChurch,PeterRMitchell(1996);LorenBrandtXiaodongZhu(2001),:,;,;(),;,,,,,,(,)1l9,14,,,,,,,,,,,,:,,,,,,,,,,,,,,,,,,,,l10,,,,,,,LM,,(),,,19912000,2001,199120002001,,19912001,199120002001,,,4,51l11,(),,1998199919981999,1998,19941997,,,,,1998,4,,,,1319,,,,2(),,,,,,,,,,,,,,l16,,,,,,,,,,,,,,,:(),,,:,;,;,;,,,,,,:,2l17,,,,,,,,,,,,,,(),,1,,,,:,,,,,,l1850,,,,,(US)(Euro)()(J)(SF)(C)(HK)(S),,,,,,1994,,,,1997,,,2,,,,,,,,19311114,,,,,2050,,,,2l19,,,,,,,,,,(),,,,,,,,,,,,,,l20,,,:(),8:1,,,,,2,,,,,,,,2l21(MarketMaker),,,,,;,,,,,,,;,,,,,,,,:,;,,;,,,,,,3,,,,,,:,,l22;,,001%,;,,,,,,,?,,,4,,,,5,,,,,,,6(),(),,(),,,,,,2l237(),,,,,,,8,(),,,,,,,,,,,,,()()l24,,,,3:SWIFTCHIPSCHAPSSWIFT,1977SWIFTSWIFT,SWIFT1746288,1983SWIFTSWIFT,,,FedwireCHIPS,CHAPS,CNFN()HVPS()SWIFT,,1001=1100,,SWIFT2l25,,CHIPSCHIPS,Fedwire,,SWIFT(2-1)2-1(),,,l261(1,10010000),,,,2002222122(2-1)2-1(100):2002-2-22‘2002-1-22#626¯¤4200819�„3800828pe9000826PE44008191&4000828òç9200105¯¤9600103�„4700106pe2800105PE97001031&4800106òç29006¯¤15866�„01366pe17716PE224661&07816òç2433719¯¤3100702�„3900721pe4800730PE41007131&2200732òç60001178¯¤80001151�„06001182pe35001186PE480011581&55001190òç0400486¯¤2600474�„8100487pe7200497PE41004851&7000498òç9000519¯¤5500507�„3200521pe1100513PE06005001&9900514òç6000427¯¤3000417�„2400428pe5800427PE72004171&6600429òç0100:200226,,()(),,;,()(),,,2002222122,,:2l272,,,,,,,;,,J10312/,J10403/,,,,,,,,,,,,,A,B,BA,A,B,Euro11628/,,,,16124/,,,,,,,,,,,,,,,l28,,J13300/HKD7800/,,J1705128/HKD:,,,,,,16,,15,,120(),1(1),,82670/,1,82670(2),,82918/,1,82918,,,,,,,Euro1110011110/,,2l29,;,,,,,;,,,,,,(+)2=,,,,,,,,,,,,,2(1),,,,,,,,,l30(2),,,,,,(3),,,:,,;,306090,,,3(1),,,,1999121(),8280/100,,828,100,123(),,,123,8270/,1218280/,2l31(2),,,,,112,136,12,,10,382800/,3,8350/3103,8350/,8350/34(1),,,,,,2070,,,,,,;,,,(2),,,l32;,,2070,,,,,,,,,,,,,,,,:,,,,,,,,,,,,,,,,,2l33,,,,,,,,225%5(1),,,,,:,;,,,,,;(2),,,,6(1),,,,,,l34(2),,,84329/,15640/,(84329/)(15640/):84329/15640/=131891/,,,,:,,,,7(1),,,,(2)103060,8(1)2l35,,,,,(2)3,,,,,,(),,,,,,,(),l38,,,(),,,,,,(),,,,,,,,,:,;,;,,,,3l39,,,1995,,,,,,1(Currentaccount),,,(1)(Goodsandservices),,,(Goods),,l40(Generalmerchandise)(Goodsforprocessing)(Repairsongoods)(Goodsprocuredinportsbycarriers)(Nonmonetarygold),,,(FOB),FOB,(CIF),,(Services),,,,,,(Transportation)(Travel)(Communicationservices)(Constructionservices)(Insuranceservices)(Financialservices)(Computerandinformationservices)(Royaltiesandlicensefees)(Otherbusinessservices)(Personal,culturalandrecreationalservices)(Governmentservice,nie)(2)(Income),,,:,(Compensationofemployees),;,(Investmentincome),,(3)(Currenttransfer),3l41,,,:,(Generalgovernment),,;,(Othertransfer),,2(Capitalandfinancialaccount),,(1)(Capitalaccount),(Capitaltransfer)/,(2)(Financialaccount),:(Directinvestment),,(),(Portfolioinvestment),,(l42)(Otherinvestment),1995,,,,,,,3(Neterrorsandomissions),,,,,,,,,,,,,12,,,,,4(Reservesandrelateditems),,(1)(Reserveassets),3l43SDRs,(Gold),,(Foreignexchange),,,,(SDRs)19699,,,,,,,25%,,(2),l441,(Balanceofpayments)(),,3-13-11á.A.B.(A+B)2á.A.B.(A+B)3á.4á.5á.:3l45,,,;,,,,,2(Currentaccount),,,=-:,;;,,=+3(Capitalaccount),,(Capitaloutflows),,(Capitalinflows),=4,,,=+,(Surplusinthebalanceofpayments);,(Deficitinthebalanceofpayments);,l46,(Changeinreserveassets),,=4(PPP),16,,(GustavCassel),,,,,,;,;,,,:,,,,l481:(MichaelJackson)(Wembley),,50,,?,50,,?,5,,,,,,,,?,,,(),(),,45,50,,,,,,5,,4550,47,,()4l49,,,,,:(Arbitrage),,,:,?,,,,,,,,,,:,,,,100,10,51004-1l504-1:451004500(+)104510:501005000:490549?,,01,?,,?4-1,:,47,01,47147,:PB=PM+C(41)PB,PM,C41PB,PL,,(),,,,4l514101,(Riskofarrest),,,,,,,,,,,,,C?,,,,,,,,,,,,,,,,:(1)(,l5