人民币均衡汇率测算与应用研究
摘要
汇率是一个国家参与国际经济活动时最重要的综合价格指标,不仅如此,作为贸易的核心变量,汇率对其他宏观经济变量和直接和间接作用越来越得到了学术界和政府部门的承认和重视。可以说,汇率已经成为开放经济中最重要的价格体系。随着各国对外经济开放程度的不断加大,汇率不仅成为各国进行贸易活动往来的桥梁,在维持一个国家经济内外部平衡中的作用也越发重要。
随着人民币汇率形成机制市场化程度的加深和人民币浮动幅度的扩大,人民币均衡汇率问题将变得更为重要。测算人民币均衡汇率水平和相应的汇率失调程度,是进一步研究货币失调对宏观经济产生的杠杆效应的起点。这些问题的提出和解决,不仅对学术界有意义,对于我国汇率和贸易政策,也有强烈的现实指导意义。本文的研究目的,就是在有效梳理均衡汇率理论体系与汇率变动的宏观经济效应的研究文献基础之上,合理测算人民币均衡水平,并在均衡汇率水平的基础上确定人民币汇率失调程度,进一步研究货币失调对宏观经济,特别是贸易收支和经济增长的冲击。
本文实证测量人民币的均衡汇率水平及货币失调程度。从均衡汇率决定的角度,本文了讨论人民币均衡汇率的购买力平价水平,并从巴拉萨-萨缪尔森效应和非线性两个角度扩展购买力平价模型。本文还进一步分析均衡汇率和贸易收支及经济增长的关系,并提出我国汇率改革的一些政策建议。
本文的主要结论有：人民币汇率高估幅度不大,并且已经进入均衡汇率区间;人民币汇率在向均衡水平调整的时候呈现明显的非线性特点,并且巴拉萨-萨缪尔森效应存在；汇率对贸易失衡的改善作用不明显,汇率政策不是解决中国贸易顺差以及全球失衡的主要手段,对人民币汇率改革要循序渐进,在保持汇率弹性加大的同时减小汇率对宏观实际变量的冲击。
As the most important overall price index in economy, exchange rates are justifiably a major focus not only for academic but policymakers. They affect output and employment through real exchange rates; they affect inflation through the cost of imports and commodity prices; they affect international capital flows through the risks and returns of different assets. With the deepening of the world economy integration, exchange rates play an essential role in economic activities, domestically and internationally.
Given the opening up of China's economy and high degree of the trade dependence, the RMB exchange rate has increasingly become the focus of attention. Especially with the speed up of the reform of the RMB exchange rate regime, it would be hard to overstate the importance of the equilibrium level of RMB exchange rate. Consequently, the measurement of equilibrium RMB exchange rate and the extent of following misalignments are related to an accurate and reasonable evaluation of China's exchange rate polices, providing solid foundation for the future reform of China's exchange rate regime.
In this paper, we estimate the equilibrium RMB exchange rate and corresponding misalignment. In the theoretical aspects, we emphasize on modeling exchange rates in the context of both general equilibrium models and purchasing power parity (PPP). More importantly, we expand the traditional purchasing power partiy with two ways, namely the Balassa-Saumuelson effect and the nonlinearity in the adjustment to equilibrium level. Furthermore, we analyze the relationship between RMB exchange rate the China's economic growth.
In summary, our results based on the BEER model using co-intetraton and error-correcting technics show that RMB exchange rate does not devaluate obviously, and it has been near its equilibrium level band. Our non-linear model that incorporates the BS effect can account for the persistence of deviations from PPP, providing strong evidence of nonlinearity in RMB. We also find that empirically China's trade balance is sensitive to RMB exchange rates, but the size of the surplus is such that exchange rate policy alone will be unable to address the imbalance.
随着人民币汇率形成机制市场化程度的加深和人民币浮动幅度的扩大,人民币均衡汇率问题将变得更为重要。测算人民币均衡汇率水平和相应的汇率失调程度,是进一步研究货币失调对宏观经济产生的杠杆效应的起点。这些问题的提出和解决,不仅对学术界有意义,对于我国汇率和贸易政策,也有强烈的现实指导意义。本文的研究目的,就是在有效梳理均衡汇率理论体系与汇率变动的宏观经济效应的研究文献基础之上,合理测算人民币均衡水平,并在均衡汇率水平的基础上确定人民币汇率失调程度,进一步研究货币失调对宏观经济,特别是贸易收支和经济增长的冲击。
本文实证测量人民币的均衡汇率水平及货币失调程度。从均衡汇率决定的角度,本文了讨论人民币均衡汇率的购买力平价水平,并从巴拉萨-萨缪尔森效应和非线性两个角度扩展购买力平价模型。本文还进一步分析均衡汇率和贸易收支及经济增长的关系,并提出我国汇率改革的一些政策建议。
本文的主要结论有：人民币汇率高估幅度不大,并且已经进入均衡汇率区间;人民币汇率在向均衡水平调整的时候呈现明显的非线性特点,并且巴拉萨-萨缪尔森效应存在；汇率对贸易失衡的改善作用不明显,汇率政策不是解决中国贸易顺差以及全球失衡的主要手段,对人民币汇率改革要循序渐进,在保持汇率弹性加大的同时减小汇率对宏观实际变量的冲击。
As the most important overall price index in economy, exchange rates are justifiably a major focus not only for academic but policymakers. They affect output and employment through real exchange rates; they affect inflation through the cost of imports and commodity prices; they affect international capital flows through the risks and returns of different assets. With the deepening of the world economy integration, exchange rates play an essential role in economic activities, domestically and internationally.
Given the opening up of China's economy and high degree of the trade dependence, the RMB exchange rate has increasingly become the focus of attention. Especially with the speed up of the reform of the RMB exchange rate regime, it would be hard to overstate the importance of the equilibrium level of RMB exchange rate. Consequently, the measurement of equilibrium RMB exchange rate and the extent of following misalignments are related to an accurate and reasonable evaluation of China's exchange rate polices, providing solid foundation for the future reform of China's exchange rate regime.
In this paper, we estimate the equilibrium RMB exchange rate and corresponding misalignment. In the theoretical aspects, we emphasize on modeling exchange rates in the context of both general equilibrium models and purchasing power parity (PPP). More importantly, we expand the traditional purchasing power partiy with two ways, namely the Balassa-Saumuelson effect and the nonlinearity in the adjustment to equilibrium level. Furthermore, we analyze the relationship between RMB exchange rate the China's economic growth.
In summary, our results based on the BEER model using co-intetraton and error-correcting technics show that RMB exchange rate does not devaluate obviously, and it has been near its equilibrium level band. Our non-linear model that incorporates the BS effect can account for the persistence of deviations from PPP, providing strong evidence of nonlinearity in RMB. We also find that empirically China's trade balance is sensitive to RMB exchange rates, but the size of the surplus is such that exchange rate policy alone will be unable to address the imbalance.
引文
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