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La parité des pouvoirs d’achat pour l’économie chinoise: une nouvelle analyse par les tests de racine unitaire*

Published online by Cambridge University Press:  17 August 2016

Olivier Darné
Affiliation:
EconomiX, Université Paris X-Nanterre.
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Résumé

Dans cet article, nous proposons de poursuivre les investigations en matière de parité des pouvoirs d’achat dans le cadre de l’économie chinoise en employant une procédure en deux étapes basée sur des tests de racine unitaire et prenant en compte la présence de points atypiques dans les données. Ainsi, les tests efficients de racine unitaire développés par Elliott, Rothenberg et Stock (1996) et Ng et Perron (2001) sont appliqués sur le taux de change réel du Renminbi, pris dans sa version bilatérale par rapport au Dollar US, sur la période 1970-2006 (en fréquence mensuelle) corrigé de la présence de points atypiques. Les résultats indiquent que les nombreux points atypiques détectés dans la série de taux de change réel du Renminbi sont dus à l’instabilité de la politique de change chinoise et aux différentes vagues de dévaluations qui lui sont associées sur la période 1984-1994. Ce travail nous permet également de statuer sur la non stationnarité du taux de change réel chinois et donc sur l’invalidité de la parité des pouvoirs d’achat à long terme.

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Research Article
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Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2008

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La parité des pouvoirs d’achat pour l’économie chinoise: une nouvelle analyse par les tests de racine unitaire*
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