供给冲击、人民币均衡实际汇率及其效应
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摘要
中国经济在进入20世纪90年代以后,逐步由以前的相对封闭的经济体转型为开放型经济体,常年保持两位数的高速增长。2001年,中国加入世界贸易组织,经常项目与资本项目的双顺差使得中国外汇储备持续增加,人民币升值的预期日趋强烈。作为开放经济中的重要价格杠杆,均衡实际汇率水平的决定对于促进宏观经济实现内外均衡具有重大的理论导向意义。1994年开始的汇率制度改革(下简称汇改)使得人民币汇率由传统会计计量工具向市场化价格变量的方向转变。汇改以来中国经济的平稳增长为研究人民币均衡汇率问题提供了合意的样本空间。
本文在已有研究的基础上,充分考虑中国二元经济结构与隐性失业的现实背景,对巴拉萨-萨缪尔森效应(下简称BS效应)进行拓展,并在该研究的基础上,利用行为均衡汇率模型(BEER)重新估计了人民币实际汇率的均衡水平,并对人民币实际汇率错位情况进行测度。在样本期的选择上,本文统一以1994年汇改起始年作为样本期的起始点,以更具市场性价格变量的汇率作为计量指标,并在相关章节使用季度或月度的高频数据以增进数据的信息量,增加检验结果的稳健性。
文章研究内容主要包括：
第一,在简要介绍主要汇率指标概念的基础上,对人民币兑美元双边外部实际汇率与人民币实际有效汇率的走势进行了简略分析。接着,本文对汇率的决定理论循着历史演进的角度进行了回顾,并对其最新研究进展做了简要阐述。
第二,由于供给冲击的存在,以购买力平价作为均衡实际汇率的测度标准存在内在的系统性偏误。本文在介绍供给冲击的核心分析框架-BS效应的来源与传导机制后,结合既有文献给出了BS效应的一个数理推导结果,并选用人民币实际有效汇率对BS效应在中国的适用性进行了检验。检验结果显示传统的BS效应在中国不成立。考虑到中国特有的二元经济结构与隐性失业以及结构转型的现实背景,本文加入了人口因素对BS效应进行了拓展,并对其进行了再次检验。结果显示,在加入了人口因素后,BS效应在中国是存在的。
第三,从传统购买力平价模型的角度,检验了三种变量形式的购买力平价理论(下简称PPP),以验证人民币兑美元双边外部实际汇率是否符合PPP,从而判断是否能以购买力平价汇率作为均衡实际汇率水平的标准。结果显示,人民币兑美元双边外部实际汇率不符合PPP,购买力平价汇率不适合作为人民币均衡实际汇率的标准。
第四,并本文对供给冲击的研究基础上,利用行为均衡汇率模型(BEER)重新估计了人民币实际汇率的均衡水平,并对人民币实际汇率错位情况进行了测度。实证结果显示,行为均衡汇率模型是人民币均衡实际汇率的合理分析框架,在样本期内,人民币实际汇率经历了三个高估期与四个低估期,并且其错位的程度都在10%以内,并未发生严重的错位。
第五,在对我国三大产业可贸易性进行测度后,确定了可贸易部门与不可贸易部门的划分,并在人民币实际汇率错位的研究基础上简要分析了人民币实际汇率错位对整体经济增长的影响与其对分部门经济增长的影响。研究结果显示,人民币实际汇率错位对中国实际GDP增长率有重要的影响。人民币实际汇率低估有利于提高中国实际GDP的增长率；人民币实际汇率高估会使得中国实际GDP的增长率下降,且汇率高估的影响要大于低估的影响。
After entering the1990of the20th century, China's economy gradually transformed from a comparatively isolated economy to an open economy, and maintaining a double-digit high-speed growth year round. In2001, China's accession to the WTO, the double surplus of the current account and capital account make China's foreign exchange reserves continuely increasing, therefore the RMB appreciation faces to increasingly strong expectation. As an important price leverage in open economy, the decision of the real exchange rate equilibrium has noticeable theoretical orientation significance to promote macroeconomic achieve the internal and external balance. Exchange rate system reform started in1994(hereinafter referred as the exchange rate reform),transformed RMB exchange rate from traditional accounting measurement tool to the direction of the market price variable. The steady growth of the Chinese economy since the exchange rate reform provides a desirable sample for the RMB equilibrium exchange rate problem studies.
In this paper, based on existing researches, taking full consideration of the background of China's dual economic structure and the recessive unemployment, expanding the Balassa-Samuelson effect (hereinafter referred as the BS effect), and on the basis of this study, using the behavioral equilibrium exchange rate model (BEER) to re-estimate the equilibrium level of real exchange rate of RMB, and measuring the misalignment of RMB real exchange rate. This paper uses the exchange rate reform start year1994as the starting point of the sample period, choosing exchange rate that is more marketing price variable as the measure index, and using the high-frequency quarterly or monthly data in the relevant sections in order to enhance the data information amount, to increase the robustness of the test results.
This paper mainly includes: First, on the basis of a brief introduction to the concept of exchange rate indicators, taking a brief analysis on bilateral external real exchange rate of RMB against U.S. dollar and RMB real effective exchange rate movements. Then, following the perspective of the history evolution, this paper takes a review of the exchange rate determination theory, and making a brief description on latest research progresses.
Secondly, due to the supply shocks, there exist inherently systemic biases when using purchasing power parity as the equilibrium real exchange rate measure standard. After introduction of the source of BS effect and its transmission mechanism that is the core analytical framework of supply shocks, given a mathematical derivation of the BS effect with existing literatures, and choosing the real effective RMB exchange rate to test the applicability of BS effect in China. The result indicates that the traditional BS effect is invalid in China. Considering the unique dual economic structure, recessive unemployment and structural transformation background into account, this paper expands the BS effect with demographic factors and making a re-examination. The results shows BS effect is present in China after considering demographic factors.
Thirdly, from view of traditional purchasing power parity model, this paper test the purchasing power parity theory (hereinafter referred to as PPP) with three types of variables, to verify whether the bilateral external real exchange rate of RMB against U.S. dollar correspond with the PPP, in order to determine whether use PPP exchange rate as a standard of the equilibrium real exchange rate. The results show that the bilateral external real exchange rate of RMB against U.S. dollar does not meet PPP, purchasing power parity (PPP) exchange rates is not suitable for the standard of the RMB equilibrium real exchange rate.
Fourthly, based on the study of supply shocks in this paper, using behavioral equilibrium exchange rate model (BEER) to re-estimate the equilibrium level of the RMB real exchange rate, and measuring of the RMB real exchange rate misalignment. The empirical results show that the behavioral equilibrium exchange rate model is a reasonable analytical framework of RMB equilibrium real exchange rate, and in the sample period, the real exchange rate of RMB has experienced three overestimate periods and four underestimate periods, and all the misalignment degree are within10%, no serious misalignment exist.
Fifthly, after measuring tradable abilities of the China's three major industries, to determine the division of the tradable sector and the non-tradable sector, and based on the research of RMB real exchange rate misalignment, this paper making a brief analysis of the impact of the RMB real exchange rate misalignment on the overall economic growth and sub-sector economic growth. The results indicate that the RMB real exchange rate misalignment has an important influence on China's real GDP growth. The underestimated of RMB real exchange rate conducive to improving China's real GDP growth rate; overvaluation of RMB real exchange rate will make China's real GDP growth fall and the impact of overvalued exchange rates is greater than underestimated.
本文在已有研究的基础上,充分考虑中国二元经济结构与隐性失业的现实背景,对巴拉萨-萨缪尔森效应(下简称BS效应)进行拓展,并在该研究的基础上,利用行为均衡汇率模型(BEER)重新估计了人民币实际汇率的均衡水平,并对人民币实际汇率错位情况进行测度。在样本期的选择上,本文统一以1994年汇改起始年作为样本期的起始点,以更具市场性价格变量的汇率作为计量指标,并在相关章节使用季度或月度的高频数据以增进数据的信息量,增加检验结果的稳健性。
文章研究内容主要包括：
第一,在简要介绍主要汇率指标概念的基础上,对人民币兑美元双边外部实际汇率与人民币实际有效汇率的走势进行了简略分析。接着,本文对汇率的决定理论循着历史演进的角度进行了回顾,并对其最新研究进展做了简要阐述。
第二,由于供给冲击的存在,以购买力平价作为均衡实际汇率的测度标准存在内在的系统性偏误。本文在介绍供给冲击的核心分析框架-BS效应的来源与传导机制后,结合既有文献给出了BS效应的一个数理推导结果,并选用人民币实际有效汇率对BS效应在中国的适用性进行了检验。检验结果显示传统的BS效应在中国不成立。考虑到中国特有的二元经济结构与隐性失业以及结构转型的现实背景,本文加入了人口因素对BS效应进行了拓展,并对其进行了再次检验。结果显示,在加入了人口因素后,BS效应在中国是存在的。
第三,从传统购买力平价模型的角度,检验了三种变量形式的购买力平价理论(下简称PPP),以验证人民币兑美元双边外部实际汇率是否符合PPP,从而判断是否能以购买力平价汇率作为均衡实际汇率水平的标准。结果显示,人民币兑美元双边外部实际汇率不符合PPP,购买力平价汇率不适合作为人民币均衡实际汇率的标准。
第四,并本文对供给冲击的研究基础上,利用行为均衡汇率模型(BEER)重新估计了人民币实际汇率的均衡水平,并对人民币实际汇率错位情况进行了测度。实证结果显示,行为均衡汇率模型是人民币均衡实际汇率的合理分析框架,在样本期内,人民币实际汇率经历了三个高估期与四个低估期,并且其错位的程度都在10%以内,并未发生严重的错位。
第五,在对我国三大产业可贸易性进行测度后,确定了可贸易部门与不可贸易部门的划分,并在人民币实际汇率错位的研究基础上简要分析了人民币实际汇率错位对整体经济增长的影响与其对分部门经济增长的影响。研究结果显示,人民币实际汇率错位对中国实际GDP增长率有重要的影响。人民币实际汇率低估有利于提高中国实际GDP的增长率；人民币实际汇率高估会使得中国实际GDP的增长率下降,且汇率高估的影响要大于低估的影响。
After entering the1990of the20th century, China's economy gradually transformed from a comparatively isolated economy to an open economy, and maintaining a double-digit high-speed growth year round. In2001, China's accession to the WTO, the double surplus of the current account and capital account make China's foreign exchange reserves continuely increasing, therefore the RMB appreciation faces to increasingly strong expectation. As an important price leverage in open economy, the decision of the real exchange rate equilibrium has noticeable theoretical orientation significance to promote macroeconomic achieve the internal and external balance. Exchange rate system reform started in1994(hereinafter referred as the exchange rate reform),transformed RMB exchange rate from traditional accounting measurement tool to the direction of the market price variable. The steady growth of the Chinese economy since the exchange rate reform provides a desirable sample for the RMB equilibrium exchange rate problem studies.
In this paper, based on existing researches, taking full consideration of the background of China's dual economic structure and the recessive unemployment, expanding the Balassa-Samuelson effect (hereinafter referred as the BS effect), and on the basis of this study, using the behavioral equilibrium exchange rate model (BEER) to re-estimate the equilibrium level of real exchange rate of RMB, and measuring the misalignment of RMB real exchange rate. This paper uses the exchange rate reform start year1994as the starting point of the sample period, choosing exchange rate that is more marketing price variable as the measure index, and using the high-frequency quarterly or monthly data in the relevant sections in order to enhance the data information amount, to increase the robustness of the test results.
This paper mainly includes: First, on the basis of a brief introduction to the concept of exchange rate indicators, taking a brief analysis on bilateral external real exchange rate of RMB against U.S. dollar and RMB real effective exchange rate movements. Then, following the perspective of the history evolution, this paper takes a review of the exchange rate determination theory, and making a brief description on latest research progresses.
Secondly, due to the supply shocks, there exist inherently systemic biases when using purchasing power parity as the equilibrium real exchange rate measure standard. After introduction of the source of BS effect and its transmission mechanism that is the core analytical framework of supply shocks, given a mathematical derivation of the BS effect with existing literatures, and choosing the real effective RMB exchange rate to test the applicability of BS effect in China. The result indicates that the traditional BS effect is invalid in China. Considering the unique dual economic structure, recessive unemployment and structural transformation background into account, this paper expands the BS effect with demographic factors and making a re-examination. The results shows BS effect is present in China after considering demographic factors.
Thirdly, from view of traditional purchasing power parity model, this paper test the purchasing power parity theory (hereinafter referred to as PPP) with three types of variables, to verify whether the bilateral external real exchange rate of RMB against U.S. dollar correspond with the PPP, in order to determine whether use PPP exchange rate as a standard of the equilibrium real exchange rate. The results show that the bilateral external real exchange rate of RMB against U.S. dollar does not meet PPP, purchasing power parity (PPP) exchange rates is not suitable for the standard of the RMB equilibrium real exchange rate.
Fourthly, based on the study of supply shocks in this paper, using behavioral equilibrium exchange rate model (BEER) to re-estimate the equilibrium level of the RMB real exchange rate, and measuring of the RMB real exchange rate misalignment. The empirical results show that the behavioral equilibrium exchange rate model is a reasonable analytical framework of RMB equilibrium real exchange rate, and in the sample period, the real exchange rate of RMB has experienced three overestimate periods and four underestimate periods, and all the misalignment degree are within10%, no serious misalignment exist.
Fifthly, after measuring tradable abilities of the China's three major industries, to determine the division of the tradable sector and the non-tradable sector, and based on the research of RMB real exchange rate misalignment, this paper making a brief analysis of the impact of the RMB real exchange rate misalignment on the overall economic growth and sub-sector economic growth. The results indicate that the RMB real exchange rate misalignment has an important influence on China's real GDP growth. The underestimated of RMB real exchange rate conducive to improving China's real GDP growth rate; overvaluation of RMB real exchange rate will make China's real GDP growth fall and the impact of overvalued exchange rates is greater than underestimated.
引文
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