对结余购买力统计问题的探讨

所谓结余购买力,即一定时期内形成购买力与实现购买力的差额,也就是形成购买力因多种原因而未能在零售市场上转化为商品支出的结余。结余购买力不应等用于一般意义上的货币结余,这是由购买力的性质所决定的。但在目前统计工作实践中,是将一般意义上的结余货币全部视同结余购买力,因此结余购买力既可表示为形成购买力与实现购买力之差,又表示为货币收入与货币支出之差。我们知道,统计结个购买力的意义主要在于研究市场供求状况及其运行规律。事实上,在将结余货币全部视同结余购买力的情况下,用结余购买力计算的一些相关指标,已很难反映市场供求的实际情况。     

对CPI与PPP进行有效整合

居民消费价格指数(CPI)和购买力平价(PPP)转换因子在概念上有其相似之处。CPI是度量一组代表性消费商品及服务项目价格水平在一国内随着时间而变动的相对数;PPP是两种(或多种)货币在购买相同数量和质量商品时的价格之比。基于CPI和PPP在概念上具有相似性,并且在价格数据收集的要求上有相互联系的地方,如果能将CPI和PPP的调查工作进行有效的整合,不仅可以节约宝贵的人力和物力资源,而且增加各国统计局参与国际比较项目的热情,同时对提高CPI和PPP调查工作的质量大有好处。CPI和PPP概览为了更好的探究对CPI和PPP进行整合的可…     

大汉堡指数应用评析

随着经济的日趋国际化 ,不同货币购买力之间的国际比较也就显得越来越重要。 80年代以前 ,这种比较都采用“世界银行图表集”的办法即“汇率法”进行的。这种方法就是用本币与某一种外币 (比如美元 )在近三年内的平均市场汇率或官方汇率作为货币购买力 (币值 )的比率。例如 ,最近三年美元与人民币的官方汇率平均是 1∶8.2 7,就表明 1美元的购买力相当于 8.2 7元人民币的购买力。然而 ,由于官方汇率的决定不仅仅取决于币值的高低 ,还受贸易结构和进出口政策等因素的影响 ,所以“汇率法”难免会对某些货币的购买力造成高估或低估。在这种情况…     

购买力平价法宜采用"国际元"计量

在国际比较中,经常遇到的问题就是不同货币币值之间的比较问题。统计学家和经济学家们采用汇率或购买力平价为转换因子来折算不同国家的货币,以便用美元或国际元作为共同的计量单位来计算各个国家的经济总量或人均收入水平等并进行比较。相应地,采用汇率法或图表集法时的计量单位为“美元”,而采用购买力平价法时应为“国际元”(注),这是由购买力平价理论方法本身及其计量单位内涵所决定的。比如,根据世界银行的最新资料,2003年我国人均国民总收入(即过去的“人均国民生产总值”)为1100美元,国内生产总值为1.41万亿美元;按购买力平价计算,人…     

国家统计局决定从1995年起对价格统计制度进行修订

为适应社会主义市场经济发展的需要,根据国家统计局的部署,从1995年起,我国的价格统计方法制度将作如下修订:一、商品零售价格统计“商品零售价格指数”是从商品售方角度反映价格动态及其对商品售方影响的相对数,一度作为国家的控价目标:“居民消费价格指数”则是从货币购方角度观察商品及服务项目价格动态及对居民生活影响的相对数,与居民生活和货币购买力直接相关,是世界各国最为关注的价格指数。国家统计局决定,     

购买力平价的CPD方法

要比较国与国之间经济发展水平,长期沿用的办法是根据官方汇率将各国国民生产总值等指标折算成同一种货币单位(如美元)。这种方法虽然简便易行,但由于汇率不能充分反映各种货币的实际购买力和比值,因而按汇率换算无法反映各国国民生产总值的实际差距。为了解决这个问题,使得各国国民生产总值既能直接比较,又能反映实际情况,统计学家们提出采用购买力平价(PPP)来计算各国国民生产总值等总量指标的方法。用购买力平价法进行国际项目的比较,其核心是计算各国货币的购买力平价。这项计算分为两步:(1)     

地区差异指数的基本要求及编制方法

 地区价格指数又称空间价格指数（Spatial price index),相对于时间价格指数（Temporal price index)来说，它是指一个国家各个地区之间价格的比较，反映各个地区价格水平的差异。地区差价指数有双边和多边之分，计算两个地区之间的差价指数，为双边差价指数；计算两个以上地区之间的差价指数即为多边差价指数。地区差价指数与时间价格指数一样，是重要的宏观经济指标，是国家制定地区经济发展政策、确定地区工资类别的重要决策依据，也可以借此衡量和比较地区之间经济发展水平和居民实际消费水平。目前我国正着手编制不同地区的空间价格指数，以充实我国的物价指数体系。本文试图将国际比较中常用的购买力平价指数编制方法，引用到地区差价指数中，分析地区差价指数的基本要求、编制方法，并评论其优劣。     

广义价格指数与中国货币之谜：指数编制和成因解释

中国货币之谜现象自提出以来,国内诸多学者尝试对其成因进行了探析。从CPI衡量通货膨胀的局限性出发,借助多种方法构建并测算广义价格指数,并分别对结果进行了检验,最后基于TVP-VAR模型比较了货币供应量对不同价格指数所衡量通胀水平的影响,以此提出中国货币之谜的一个新的解释。研究发现:(1)利用共同因子响应法并以卡尔曼滤波提取共同因子,所构建的广义价格指数最为优良;(2)CPI衡量通货膨胀具有明显低估效用,广义价格指数揭示1997年以来中国平均通胀率高于3%;(3)货币供应量对以广义价格指数衡量通胀的影响,较传统CPI具有更为显著的正向作用,但存在一定时变特征,"货币数量论"在中国仍然成立,货币之谜的论断有失偏颇。     

人民币名义汇率的购买力平价假说检验——基于中美1994-2009年间月度数据的经验分析

基于1994—2009年间中美两国的消费价格指数及人民币对美元名义汇率的月度数据,并结合ADF单位根检验、Engel-Granger两步法检验和Johansen协整检验等方法对购买力平价与人民币名义汇率间的关系进行实证检验。研究结果表明,不仅单变量模型和两变量模型下相对购买力平价对人民币名义汇率的变动不具有解释力,而且三变量模型下国内外消费价格指数对人民币名义汇率的变动也不具有解释力。此外,还对购买力平价在中国失效的原因进行了一定程度的分析。     

滚动基期的2017年轮国际比较方案研究

根据对ICP2017滚动基期比较方案历史背景、新变化、新要求的分析发现,滚动基期比较方案并非只是分摊了调查任务、提高了PPP编制频率,更为重要的是为ICP与CPI的深入整合奠定了制度基础、创造了整合条件。因此,本文以货币购买力概念为切入点,通过从产品、时间和空间三个维度对货币购买力比较要求的解读,提出了一条以规格品整合、编制调整CPI和编制SN-PPP为核心的ICP与CPI深入整合的综合路径。最后,结合中国的现实基础,对中国执行滚动基期比较方案的短期和长远规划提出了建议。     

Testing purchasing power parity: some evidence of the effects of transaction costs

Empirical tests of purchasing power parity often recognize the problems created by simultaneous equations, but seldom recognize the effects of measurement error or transaction costs. Presumably because most researchers believe that they are unimportant. We present evidence that shows that measurement error and transaction costs and create serious econometric problems for testing purchasing power parity. One effect of these problems is that conventional tests of purchasing power parity can accept PPP when predictive errors are relatively large and reject it when predictive errors are relatively small. Another effect is to bias test of cointegration toward accepting the null of no cointegration between exchange rates and relative price indexes. We also construct a simple model of the determination of exchange rates that shows how transaction costs lead to regression switiching.     

On van Ijzeren’s approach to international comparisons and its properties

This paper provides a comprehensive exposition of Van IJzeren’s approach to international comparisons of purchasing power and real GDP. Important features of this approach are: symmetrical treatment of price level and volume comparison; retaining a relationship between levels and indexes; and using identical country weighting structures within the “international” prices and quantities. It is shown that the Van IJzeren method is superior to the well-known Geary-Khamis method. At the same time the paper can be seen as a defense of the EKS method.     

An investigation of the spatial correlations for relative purchasing power in Baden–Württemberg

The relative purchasing power—i.e., the purchasing power per inhabitant—is one of the key characteristics for businesses deciding on site selection. Apart from that it also plays a major role in regional planning, pricing policy and market research. In this study we investigate the spatial correlations for relative purchasing power of the townships in Baden–Württemberg. In particular, changes in relative purchasing power are analysed for three different time intervals, 1987–1993, 1993–1998 and 1998–2004, by means of distance-dependent characteristics like the mark–correlation function, the Simpson indices α(r) and β(r) and by tests on random labelling. It is shown that there are positive correlations for small distances between different townships but that these positive correlations become weaker over the years until they are almost nonexistent (in the sense that hypotheses of random labelling are no longer rejected). A conclusion from this loss of spatial correlations with time is that the relative purchasing power might become more and more purely random. This means that the relative purchasing power in a township is less and less influenced by the relative purchasing power of townships nearby. We further analysed these changes in the Bodensee–Oberschwaben and Stuttgart regions to compare the development of the relative purchasing power in both urban and rural environments. This analysis was done in close cooperation with W. Brachat–Schwarz and W. Walla of the Statistical Office of Baden–Württemberg. S.E. is supported by a grant of the graduate college 1100 at Ulm University.     

Computation of Standard Errors for Geary–Khamis Parities and international Prices: A Stochastic Approach

One of the areas receiving little attention in the past in index-number theory is providing standard errors for the index number estimates. Recently, Clements and Izan and Selvanathan used the stochastic approach to index numbers to derive standard errors for the rate of inflation and Laspeyres and Paasche index numbers. In this article, we use this approach to compute standard errors associated with purchasing power parities computed using Geary-Khamis aggregation procedure in the International Comparisons Project of the United Nations. We assess the quality of the standard errors using Efron's bootstrap technique.     

Estimating process capability indexes for autocorrelated data

Process capability indexes are widely used in the manufacturing industries and by supplier companies in process assessments and in the evaluation of purchasing decisions. One concern about using the process capability indexes is the assumption of the mutual independence of the process data, because, in process industries, process data are often autocorrelated. This paper discusses the use of the process capability indexes Cp and Cpk when the process data are autocorrelated. Interval estimation procedures for Cp and Cpk are proposed and their properties are studied.     

Convergence Rates to Purchasing Power Parity for Traded and Nontraded Goods

This article estimates the speed of the adjustment coefficient in structural error-correction models. We use a system method for real exchange rates of traded and nontraded goods by combining a single-equation method with Hansen and Sargent's instrumental variables methods for linear rational expectations models. We apply these methods to a modified version of Mussa's model. Our results show that the half-lives of purchasing power parity deviations for the rates of traded goods are less than 1 year and are shorter than those for general price and for nontraded goods in most cases, implying a faster adjustment speed to parity.     

Bayesian Estimation and Prediction of Stochastic Volatility Models via INLA

In this article, we assess Bayesian estimation and prediction using integrated Laplace approximation (INLA) on a stochastic volatility (SV) model. This was performed through a Monte Carlo study with 1,000 simulated time series. To evaluate the estimation method, two criteria were considered: the bias and square root of the mean square error (smse). The criteria used for prediction are the one step ahead forecast of volatility and the one day Value at Risk (VaR). The main findings are that the INLA approximations are fairly accurate and relatively robust to the choice of prior distribution on the persistence parameter. Additionally, VaR estimates are computed and compared for three financial time series returns indexes.     

多边价格指数中的价格异方差问题与CPD法的改进

CPD法是国际比较项目（ICP）中应用的一种重要的多边价格比较方法,多边价格比较方法的可靠性直接影响ICP公布的各国购买力平价数据的可信度。本文从理论上系统地分析了CPD法中存在的价格异方差问题,引入一种消除异方差的WLS估计方法。然后以2011年ICP居民实际消费支出各大类商品的价格数据为例,实证说明WLS估计的CPD法能显著提高各国购买力平价数据的可靠性;相对而言,存在异方差的CPD法会系统性高估发展中国家的居民实际消费支出水平。     

Variable selection in linear regression analysis with alternative Bayesian information criteria using differential evaluation algorithm

In statistical analysis, one of the most important subjects is to select relevant exploratory variables that perfectly explain the dependent variable. Variable selection methods are usually performed within regression analysis. Variable selection is implemented so as to minimize the information criteria (IC) in regression models. Information criteria directly affect the power of prediction and the estimation of selected models. There are numerous information criteria in literature such as Akaike Information Criteria (AIC) and Bayesian Information Criteria (BIC). These criteria are modified for to improve the performance of the selected models. BIC is extended with alternative modifications towards the usage of prior and information matrix. Information matrix-based BIC (IBIC) and scaled unit information prior BIC (SPBIC) are efficient criteria for this modification. In this article, we proposed a combination to perform variable selection via differential evolution (DE) algorithm for minimizing IBIC and SPBIC in linear regression analysis. We concluded that these alternative criteria are very useful for variable selection. We also illustrated the efficiency of this combination with various simulation and application studies.     

A Comparison of Unit-Root Test Criteria

During the past 15 years, the ordinary least squares estimator and the corresponding pivotal statistic have been widely used for testing the unit-root hypothesis in autoregressive processes. Recently, several new criteria, based on maximum likelihood estimators and weighted symmetric estimators, have been proposed. In this article, we describe several different test criteria. Results from a Monte Carlo study that compares the power of the different criteria indicate that the new tests are more powerful against the stationary alternative. Of the procedures studied, the weighted symmetric estimator and the unconditional maximum likelihood estimator provide the most powerful tests against the stationary alternative. As an illustration, the weekly series of one-month treasury-bill rates is analyzed.