“一带一路”国家实际利率平价——基于分位数单位根检验

文章基于“一带一路”沿线的27个国家2005—2017年时间序列月度数据，采用分位数单位根检验方法验证实际利率平价理论在“一带一路”国家中是否有效，同时分析实际利率偏差序列在不同分位下的不对称均值回复。实证结果表明，27个国家中仅11个国家的实际利差序列是平稳。文章考虑了不同分位水平下实际利差的均值回复速度，总结出实际利差的四种变动趋势，从而对不同类别的“一带一路”国家与我国的金融及商品市场整合提供指导，进而探讨中国成为“一带一路”沿线主导国家的前提条件。

Real Interest Rate Parity in "Belt and Road" Countries:Based on Quantile Unit Root Test

Based on the monthly data of the 27 countries along the "Belt and Road" in time series from 2005 to 2017, this paper uses quantile unit root test to verify the validity of the theory of real interest rate parity in the "Belt and Road" countries, and analyzes the asymmetric mean reversion of the real interest rate deviation sequence under different sub locations.The empirical study shows that the differentials of only 11 out of 27 countries are stable.This paper considers the mean reversion speed of differentials under different quantile levels, and summarizes the four trends of the actual spread, and provides guidance for the integration of different categories of "Belt and Road" countries with China's financial and commodity markets, and further finds out the prerequisite that China could become a leading country along the "Belt and Road".