汇率波动、异质效应与中美城市边界效应研究
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| Title | Exchange Rate Fluctuations、Heterogeneity Effect and the Estimation the City Border Effect between China and USA
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| 作者 | 黄新飞 舒元 魏运新 |
| Author | Huang Xinfei Shu Yuan and Wei Yunxin |
| 作者单位 | 中山大学国际商学院 中山大学岭南学院 |
| Organization | International Business School, Sun Yat-sen University;Lingnan(University)College,SUN YAT-SEN University |
| 作者Email | huangxf3@mail.sysu.edu.cn |
| 中文关键词 | 边界效应 汇率效应 异质效应 一价定律 |
| Key Words | Border Effect; Exchange rate effect; Heterogeneity Effect; The Law of One Price |
| 内容提要 | 汇率波动和异质效应会影响到跨国城市价格分布的差异，进而干扰边界效应的测算。本文选择中国25个城市和美国24个城市匹配成跨国城市组合，利用2000-2008年8种商品消费价格指数构造跨国城市组合的价格差异波动性指数，并在边界效应模型的基础上考虑汇率效应和异质效应等因素后对中美城市边界效应值进行估算，结果显示：城市异质效应能够有效降低对中美城市之间的价格分布差异的干扰，修正后的城市边界效应从8.143兆公里下降至5642公里；名义汇率波动越大，汇率波动持续时间和半衰期越长，城市间价格差异波动率也越大，控制汇率持续性效应后中美城市边界效应下降为8353公里。若同时控制异质效应和汇率效应后城市边界效应大幅度下降，仅为53公里。文章还发现中国国内的城市边界效应高于美国，国内市场的一体化程度小于美国。 |
| Abstract | Exchange rate fluctuations and country heterogeneity effect would affect the distribution of price differentials between cross-country cities，disturb the border effect estimated。This paper selects 25 cities in China and 24 cities in the United States to match cross-city combinations，and employs the price data covering 8 categories of goods 2000-2008 to construct index data about volatility in price differentials of international city combination。And based on the border effect model this paper estimates the border effect between China and USA with the consideration of exchange rate effects and heterogeneity effect。The result shows that heterogeneity effect can reduce the disturbance to the distribution of price differentials between cross-country city，the modified border effect decreased from 814300 million kilometers to 5642 km；The higher the volatility of nominal exchange rate is，the longer the duration time and half-life are，the greater the volatility of price differences between cross-border cities is，the border effect decreased to 8353 km after controlling for persistence effect，if controlling for heterogeneity effect and exchange rate effects the cross-country border effect declined significantly，just 53 km。This paper also found that the domestic border effect of China is higher than the USA，the degree of domestic market integration of China is less than the USA。 |
| 文章编号 | WP88 |
| 登载时间 | 2011-07-19 |
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