人民币汇率的波动、失调及其对泛长三角经济圈出口贸易的影响
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摘要
本文以近20年来的人民币实际有效汇率波动、失调以及人民币汇率波动加大背景下我国出口贸易所受的影响的实证分析为主线。全文以理论分析为基础,实证分析为手段,在回顾汇率理论和过往经验研究的基础上,先研究了人民币汇率的三区制波动特征、诸经济基础变量对人民币汇率的时变影响路径和人民币均衡汇率的失调过程；然后,考察了人民币升值背景下,具有代表性的泛长三角经济圈3省、1市,即江苏、浙江、上海和安徽出口贸易所受的影响以及泛长三角经济圈产业梯度转移和区域融合的可行性。
本文结构如下：
第一章是绪论。本章介绍了研究背景、选题意义、研究目的以及论文框架。
在第二章,本文回顾了主要的均衡汇率理论和国际收支调整理论。在第三章,就汇率时间序列波动特征、均衡汇率及其与进出口贸易关系的研究现状进行了综述。
上述的第二、三章为以下研究人民币汇率问题奠定了理论和实证基础。
第四章基于Markov区制转移理论,首次将MS(3)-AR(1)模型引入人民币实际有效汇率动态波动特征的研究中,对人民币1991年至2008年6月间的实际有效汇率建模,可以得到以下结论：人民币实际有效汇率的波动路径在这段时期中存在着显著的三区制特征：“过度贬值”区制、“适度贬值”区制和“升值”区制；由于Markov区制转移的自回归模型允许区制之间以一定的概率水平发生转移,因此该模型可以定量地描述人民币实际有效汇率动态变化过程中的内生转移机制,从而可以更好地刻画人民币实际有效汇率的非对称动态变化特征；同时结合转移概率矩阵和平滑概率值可以看出,人民币实际有效汇率在1994年汇改之前的一段时间和1997年处于“过度贬值”区制,其它绝大部分时期都处于“适度贬值”或“升值”区制,汇率的波动状态较为稳定。
在第五章,本文首次将状态空间理论引入到行为均衡汇率(BEER)模型中在模型变量的选择上,参考了发展中国家均衡汇率(ERER)模型,通过量测方程和状态方程,对时变系数进行估计并对人民币实际有效汇率的失调程度进行了统计分析。结果认为：2005年的“汇改”是适时的,它使得主要宏观经济变量与汇率的联系不断加深；再者,通过对人民币均衡汇率失调的计算可以看出,“汇改”之后,人民币汇率的失调程度不断降低,实际有效汇率回复均衡值的能力亦有大幅提高。同时,人民币汇率在基本面上没有显示出明显的升值压力。
在人民币汇率波动特征研究的基础上,本文第六章以泛长三角经济圈为中国出口产业的代表,采用了面板数据模型和压力测试法对江苏、浙江、上海和安徽的一般出口贸易、加工出口贸易分别建模,考察了人民币汇率波动对我国出口贸易的影响。认为：无论是“加工贸易”出口还是“一般贸易”出口,浙江省的出口对人民币升值的敏感性相对比较适中。而与长三角地区相邻的中西部大省——安徽在不同贸易方式分类情况下都显示出了良好的发展势头,这为安徽省融入长三角地区,也为长三角地区接纳安徽省,形成泛长三角经济圈,提供了一个良好的契机。
第七章是本文的结论。
The main line of this paper is the study of the real efficient exchange rate fluctuations, equilibrium and the related empirical analysis. To start with, this paper reviews the exchange rate theory and related empirical works. Then,3-State-Markov regime-switching characteristic of the RMB real effective exchange rate time series, the time-varying effect of the selected economic base variables on the RMB exchange rate and the exchange rate misalignment process are studies in this paper. After that, this paper investigates the influence of RMB exchange rate fluctuation to the export trade of Pan-Yangtze River Delta economic circle, the industrial gradient transfer and the regional integration under the appreciation background.
The structure of this paper is as follows:
Chapter 1 is introduction. It introduces the background, meaning, purpose and framework of this paper.
Chapter 2 reviews the main equilibrium exchange rate theory and the payments balance adjustment theory. Chapter 3 is the research reviews related to this paper.
Chapter 2 and 3 lay the theoretical and empirical foundations for the following study.
3-State-Markov regime-switching model is firstly introduced into AR model to investigate the dynamic path of the Real Effective Exchange Rate of RMB from 1991 to June 2008 in Chapter 4. According to the transition probability matrix and the smoothing probabilities, three important results are obtained in this chapter. There are: (1) because MS-AR model allows the regime transfers by probabilities, so, it can describe the dynamic path of RMB real effective exchange rate quantitatively; (2) there are obviously three regime states of the path of the REER of RMB, i.e. "over-depreciation" regime, "moderate-appreciation" regime and "appreciation" regime; (3) most of the time, the real effective exchange rate of RMB is in the "moderate-appreciation" regime and "appreciation" regime. So, the exchange rate fluctuations are relatively stable.
In chapter 5, state space model is firstly introduced into Behavior Equilibrium Exchange Rate model (BEER). In the selection of variables, this chapter refers to ERER model. Through the measurement equation and the state equation, the time-varying coefficients and exchange rate misalignment degree can be obtained. The main conclusions of this chapter are as following:(1) the RMB exchange rate system reform in 2005 is timely. After that, the main macroeconomic variables and exchange rate ties deepening; (2) the RMB exchange rate misalignment level became lower and the ability of the REER reply to equilibrium value has substantially enhanced recently; (3) there is no significant sign in the fundamentals to indicate the appreciation pressure.
Chapter 6 studies the "general trade" and the "processing trade" of the Pan-Yangtze River Delta economic circle using Panel data model and stress testing methods. The results are as follows. Either "processing trade" or "general trade" export, the export sensitivity of Zhejiang province to RMB appreciation is relatively moderate. Probably it is because of the geographical location, rich productivity resources in Zhejiang province. Still, it is worth noting that Anhui province—the major province in the midwest area has showed a good momentum of development in both trade classification. This offers a good opportunity for the integration of Anhui province into the Yangtze River Delta region and the acceptance Anhui Province by the Yangtze River Delta region.
Chapter 7 is the conclusion of the whole paper.
本文结构如下：
第一章是绪论。本章介绍了研究背景、选题意义、研究目的以及论文框架。
在第二章,本文回顾了主要的均衡汇率理论和国际收支调整理论。在第三章,就汇率时间序列波动特征、均衡汇率及其与进出口贸易关系的研究现状进行了综述。
上述的第二、三章为以下研究人民币汇率问题奠定了理论和实证基础。
第四章基于Markov区制转移理论,首次将MS(3)-AR(1)模型引入人民币实际有效汇率动态波动特征的研究中,对人民币1991年至2008年6月间的实际有效汇率建模,可以得到以下结论：人民币实际有效汇率的波动路径在这段时期中存在着显著的三区制特征：“过度贬值”区制、“适度贬值”区制和“升值”区制；由于Markov区制转移的自回归模型允许区制之间以一定的概率水平发生转移,因此该模型可以定量地描述人民币实际有效汇率动态变化过程中的内生转移机制,从而可以更好地刻画人民币实际有效汇率的非对称动态变化特征；同时结合转移概率矩阵和平滑概率值可以看出,人民币实际有效汇率在1994年汇改之前的一段时间和1997年处于“过度贬值”区制,其它绝大部分时期都处于“适度贬值”或“升值”区制,汇率的波动状态较为稳定。
在第五章,本文首次将状态空间理论引入到行为均衡汇率(BEER)模型中在模型变量的选择上,参考了发展中国家均衡汇率(ERER)模型,通过量测方程和状态方程,对时变系数进行估计并对人民币实际有效汇率的失调程度进行了统计分析。结果认为：2005年的“汇改”是适时的,它使得主要宏观经济变量与汇率的联系不断加深；再者,通过对人民币均衡汇率失调的计算可以看出,“汇改”之后,人民币汇率的失调程度不断降低,实际有效汇率回复均衡值的能力亦有大幅提高。同时,人民币汇率在基本面上没有显示出明显的升值压力。
在人民币汇率波动特征研究的基础上,本文第六章以泛长三角经济圈为中国出口产业的代表,采用了面板数据模型和压力测试法对江苏、浙江、上海和安徽的一般出口贸易、加工出口贸易分别建模,考察了人民币汇率波动对我国出口贸易的影响。认为：无论是“加工贸易”出口还是“一般贸易”出口,浙江省的出口对人民币升值的敏感性相对比较适中。而与长三角地区相邻的中西部大省——安徽在不同贸易方式分类情况下都显示出了良好的发展势头,这为安徽省融入长三角地区,也为长三角地区接纳安徽省,形成泛长三角经济圈,提供了一个良好的契机。
第七章是本文的结论。
The main line of this paper is the study of the real efficient exchange rate fluctuations, equilibrium and the related empirical analysis. To start with, this paper reviews the exchange rate theory and related empirical works. Then,3-State-Markov regime-switching characteristic of the RMB real effective exchange rate time series, the time-varying effect of the selected economic base variables on the RMB exchange rate and the exchange rate misalignment process are studies in this paper. After that, this paper investigates the influence of RMB exchange rate fluctuation to the export trade of Pan-Yangtze River Delta economic circle, the industrial gradient transfer and the regional integration under the appreciation background.
The structure of this paper is as follows:
Chapter 1 is introduction. It introduces the background, meaning, purpose and framework of this paper.
Chapter 2 reviews the main equilibrium exchange rate theory and the payments balance adjustment theory. Chapter 3 is the research reviews related to this paper.
Chapter 2 and 3 lay the theoretical and empirical foundations for the following study.
3-State-Markov regime-switching model is firstly introduced into AR model to investigate the dynamic path of the Real Effective Exchange Rate of RMB from 1991 to June 2008 in Chapter 4. According to the transition probability matrix and the smoothing probabilities, three important results are obtained in this chapter. There are: (1) because MS-AR model allows the regime transfers by probabilities, so, it can describe the dynamic path of RMB real effective exchange rate quantitatively; (2) there are obviously three regime states of the path of the REER of RMB, i.e. "over-depreciation" regime, "moderate-appreciation" regime and "appreciation" regime; (3) most of the time, the real effective exchange rate of RMB is in the "moderate-appreciation" regime and "appreciation" regime. So, the exchange rate fluctuations are relatively stable.
In chapter 5, state space model is firstly introduced into Behavior Equilibrium Exchange Rate model (BEER). In the selection of variables, this chapter refers to ERER model. Through the measurement equation and the state equation, the time-varying coefficients and exchange rate misalignment degree can be obtained. The main conclusions of this chapter are as following:(1) the RMB exchange rate system reform in 2005 is timely. After that, the main macroeconomic variables and exchange rate ties deepening; (2) the RMB exchange rate misalignment level became lower and the ability of the REER reply to equilibrium value has substantially enhanced recently; (3) there is no significant sign in the fundamentals to indicate the appreciation pressure.
Chapter 6 studies the "general trade" and the "processing trade" of the Pan-Yangtze River Delta economic circle using Panel data model and stress testing methods. The results are as follows. Either "processing trade" or "general trade" export, the export sensitivity of Zhejiang province to RMB appreciation is relatively moderate. Probably it is because of the geographical location, rich productivity resources in Zhejiang province. Still, it is worth noting that Anhui province—the major province in the midwest area has showed a good momentum of development in both trade classification. This offers a good opportunity for the integration of Anhui province into the Yangtze River Delta region and the acceptance Anhui Province by the Yangtze River Delta region.
Chapter 7 is the conclusion of the whole paper.
引文
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