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Recherches Économiques de Louvain/ Louvain Economic Review Recherches Économiques de Louvain/ Louvain Economic Review

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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  and
Jean-François Hoarau
Olivier Darné
Affiliation:
EconomiX, Université Paris X-Nanterre.
Corresponding
E-mail address:
jfhoarau@univ-reunion.fr
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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.

Keywords

purchasing power parity real exchange rate Renminbi unit root tests outliers C22 F31 parité des pouvoirs d’achat taux de change réel Renminbi tests de racine unitaire, points atypiques C22 F31
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 74 , Issue 2 , 2008 , pp. 219 - 236
Copyright
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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