汇率形成机制的完善及其对人民币实际汇率的影响
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摘要
实际汇率作为重要的宏观经济变量,与经济运行的两大基本范畴——经济增长和经济波动,存在着紧密的联系。自内生经济增长理论兴起以来,人力资本在经济增长中的作用日益重要,成为与技术进步并列的经济增长的源泉。技术进步对实际汇率运动的作用体现在巴拉萨-萨缪尔森效应中,然而,人力资本与实际汇率之间的关系则鲜有论证。
本文从理论上系统性地将人力资本因素引入到实际汇率的决定问题之中,通过一个基准的委托-代理模型揭示了人力资本结构与实际汇率的基本关系,分析了人力资本结构影响实际汇率的作用机制,主要包括了要素禀赋效应、内生B-S效应以及在人力资本结构存在部门差异时的部门差异效应。在基准模型的基础上,本文说明了行业间技术差异、出口导向政策、工会组织的工资议价机制等问题通过影响人力资本结构运动而作用于实际汇率的机制,凸显了人力资本视角的理论意义。进而,本文通过多国面板数据检验发现：人力资本积累推动了实际汇率的升值。其中,人力资本积累的内生B-S效应主要发生在中低收入国家和地区,显著为负；要素禀赋效应在各个国家更具有普遍性,并显著为正,而后者在对实际汇率的影响中通常占据主导作用,推动实际汇率升值。人力资本积累的内生B-S效应显著为负的现象与Clague和Tanzi(1972)关于人力资本作为生产要素存在时会使B-S效应消失的推断比较吻合,验证了人力资本要素可能导致B-S效应消失的作用机制,同时其主要发生在中低收入国家的特征也比较有效的解释了中低收入国家B-S效应检验中出现的B-S效应消失乃至反转的现象。
进而,本文利用中国数据对人民币实际汇率的运动进行了研究,得到了与其他学者较为不同的结论：中国人力资本的积累与中国的人口红利和结构转型是决定人民币实际有效汇率变动的主要因素,贸易条件是其中非常重要的因素。由于中国实行的成功的出口导向政策,人力资本积累的内生B-S效应显著为正,不同于一般中低收入国家的状况,而随着人力资本的积累,人力资本在人民币实际汇率决定中的作用也越来越大。由于本文的研究较为成功的把握住了实际汇率在过去中国经济发展中的基本特征,契合了中国经济发展的具体国情,本文的研究能够为人民币实际汇率均衡水平的确定和管理提供有意义的借鉴。
As a chief macroeconomic variable, the real exchange rate(rer) has a tight connection with the growth and fluctuation of the economy. Since the endogenous theory of economic growth booms, human capital has been considered as one of the two resources of economic growth. The relationship between technology progress and rer takes the form of Balassa-Samuelson effect. However, there are merely a few papers discussing the impact of human capital on rer.
Based on a principal-agent model, we systematically study the determination of rer from the perspective of human capital, and analyze the corresponding mechanisms, which consist of factor endowment effect, endogenous B-S effect, and the divergence effect. Moreover, technological difference between industries, export-oriented policy and wage bargaining are taken into the account for the determination of rer through human capital. Then, we test this correlation with a panel dataset and find that the accumulation of human capital brings forth an appreciation of rer. Endogenous B-S effect is negative and works mainly in mid-income and low-income countries, whereas factor endowment effect is more general and positive, and surpasses the endogenous B-S effect. The negative endogenous B-S effect is consistent with the judgment of Clague and Tanzi(1972) on human capital's influence on B-S Effect, and its occurrence in mid-income and low-income countries could explain the disappearance of B-S effect in those countries as well.
As for renminbi rer, our study reaches a quite different conclusion with some other researchers. In our opinion, the accumulation of human capital, demographic dividend and economic transformation are the fundamental elements determining renminbi real effective exchange rate, and terms of trade plays an important role as well. For the sake of the successful export-oriented policy, the endogenous B-S effect in China is positive, which strengthens the impact of human capital. With its accumulation, human capital will play a much more important role in the determination of renminbi rer.
本文从理论上系统性地将人力资本因素引入到实际汇率的决定问题之中,通过一个基准的委托-代理模型揭示了人力资本结构与实际汇率的基本关系,分析了人力资本结构影响实际汇率的作用机制,主要包括了要素禀赋效应、内生B-S效应以及在人力资本结构存在部门差异时的部门差异效应。在基准模型的基础上,本文说明了行业间技术差异、出口导向政策、工会组织的工资议价机制等问题通过影响人力资本结构运动而作用于实际汇率的机制,凸显了人力资本视角的理论意义。进而,本文通过多国面板数据检验发现：人力资本积累推动了实际汇率的升值。其中,人力资本积累的内生B-S效应主要发生在中低收入国家和地区,显著为负；要素禀赋效应在各个国家更具有普遍性,并显著为正,而后者在对实际汇率的影响中通常占据主导作用,推动实际汇率升值。人力资本积累的内生B-S效应显著为负的现象与Clague和Tanzi(1972)关于人力资本作为生产要素存在时会使B-S效应消失的推断比较吻合,验证了人力资本要素可能导致B-S效应消失的作用机制,同时其主要发生在中低收入国家的特征也比较有效的解释了中低收入国家B-S效应检验中出现的B-S效应消失乃至反转的现象。
进而,本文利用中国数据对人民币实际汇率的运动进行了研究,得到了与其他学者较为不同的结论：中国人力资本的积累与中国的人口红利和结构转型是决定人民币实际有效汇率变动的主要因素,贸易条件是其中非常重要的因素。由于中国实行的成功的出口导向政策,人力资本积累的内生B-S效应显著为正,不同于一般中低收入国家的状况,而随着人力资本的积累,人力资本在人民币实际汇率决定中的作用也越来越大。由于本文的研究较为成功的把握住了实际汇率在过去中国经济发展中的基本特征,契合了中国经济发展的具体国情,本文的研究能够为人民币实际汇率均衡水平的确定和管理提供有意义的借鉴。
As a chief macroeconomic variable, the real exchange rate(rer) has a tight connection with the growth and fluctuation of the economy. Since the endogenous theory of economic growth booms, human capital has been considered as one of the two resources of economic growth. The relationship between technology progress and rer takes the form of Balassa-Samuelson effect. However, there are merely a few papers discussing the impact of human capital on rer.
Based on a principal-agent model, we systematically study the determination of rer from the perspective of human capital, and analyze the corresponding mechanisms, which consist of factor endowment effect, endogenous B-S effect, and the divergence effect. Moreover, technological difference between industries, export-oriented policy and wage bargaining are taken into the account for the determination of rer through human capital. Then, we test this correlation with a panel dataset and find that the accumulation of human capital brings forth an appreciation of rer. Endogenous B-S effect is negative and works mainly in mid-income and low-income countries, whereas factor endowment effect is more general and positive, and surpasses the endogenous B-S effect. The negative endogenous B-S effect is consistent with the judgment of Clague and Tanzi(1972) on human capital's influence on B-S Effect, and its occurrence in mid-income and low-income countries could explain the disappearance of B-S effect in those countries as well.
As for renminbi rer, our study reaches a quite different conclusion with some other researchers. In our opinion, the accumulation of human capital, demographic dividend and economic transformation are the fundamental elements determining renminbi real effective exchange rate, and terms of trade plays an important role as well. For the sake of the successful export-oriented policy, the endogenous B-S effect in China is positive, which strengthens the impact of human capital. With its accumulation, human capital will play a much more important role in the determination of renminbi rer.
引文
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[8]王泽填,姚洋.结构转型与巴拉萨—萨缪尔森效应[J].世界经济,2009,4：38-49.
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[29]------. " Pitfalls in Measuring Exchange Rate Misalignment: The Yuan and Other Currencies." NBER Working Paper, No.14168,2008.
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[2](美)博尔顿,(比)德瓦特里庞.合同理论[M].上海：上海人民出版社,2008.
[3]黄吕利.人民币实际有效汇率的长期决定：1994-2009[J].金融研究,2010,6：3445.
[4]林伯强.人民币均衡实际汇率的估计与实际汇率错位的测算[J].经济研究,2002,12：60-69.
[5]施建淮,余海丰人民币均衡汇率与汇率失调：1991-2004[J].经济研究,2005,4：3445.
[6]孙茂辉.人民币自然均衡实际汇率：1978-2004[J].经济研究,2006,11：92-101.
[7]王泽填,姚洋.人民币均衡汇率估计[J].金融研究,2008,12：22-36.
[8]王泽填,姚洋.结构转型与巴拉萨—萨缪尔森效应[J].世界经济,2009,4：38-49.
[9]杨长江.人民币实际汇率长期变动趋势研究[M].上海：上海财经大学出版社,2002.
[10]杨长江,皇甫秉超.人民币实际汇率和人口年龄结构[J].金融研究,2010,2：52-67.
[11]张斌.人民币均衡汇率：简约一般均衡下的单方程模型研究[J].世界经济,2003,11：3-12.
[12]张瀛,王浣尘.人民币实际均衡汇率：跨时期均衡模型[J].世界经济,2004,8：18-25.
[13]Aghion, Philippe and Howitt, Peter. "Capital Accumulation and Innovation as Complementary Factors in Long-Run Growth." Journal of Economic Growth,1998,3, pp.111-130.
[14]------. "On the Macroeconomic Effects of Major Technological Change," In Helpman E., eds., General Purpose Technologies and Economic Growth. Cambridge, US:MIT Press,1998.
[15]Andersson, Andreas and Osterholm, Par. "Population Age Structure and Real Exchange Rate in the OECD." International Economic Journal,2006, Vol.20, No.1,1-18.
[16]Atkeson, Andrew and Burstein, Ariel. " Pricing-to-Market, Trade Costs, and International Relative Prices." The American Economic Review,2008, Vol.98, No.5, pp. 1998-2031.
[17]Backus, David and Smith, Gregor. "Consumption and Real Exchange Rates in Dynamic Economies with Non-traded Goods." Journal of International Economics,1993, Vol.35, pp. 297-316.
[18]Bahmani-Oskooee, Mohsen and Nasir, A.. " ARDL Approach to Productivity Bias Hypothesis." Review of Development Economics,2004, Vol.8, pp.483-488.
[19]Balassa, Bela. "The Purchasing-Power Parity Doctrine: A Reappraisal." The Journal of Political Economy,1964, Vol.72, No.6, pp.584-596.
[20]Baroo, J. Robert and Lee, Jong-Wha. " International Data on Educational Attainment: Updates and Implications." NBER Working Papers, No. W7911,2000.
[21]Benigno, Gianluca and Thoenissen, Christoph. "Equilibrium Exchange Rate and Supply-Side Performance." The Economic Journal,2003, Vol.113, No.486, pp. C103-C124.
[22]Bergstrand, H. Jeffrey. " Structural Determinants of Real Exchange Rate and National Price Levels:Some Empirical Evidence." The American Economic Review,1991, Vol.81, No.1, pp.325-334.
[23]Betts, Caroline and Devereux, B. Michael. "Exchange Rate Dynamics in a Model of Pricing-to-Market." Journal of International Economics,2000,50, pp.215-244.
[24]Bhagwati, N. Jagdish. "Why are Services Cheaper in the Poor Countries? " The Economic Journal,1984, Vol.94, No.374, pp.279-286.
[25]Braude, Jacob. " Age Structure and the Real Exchange Rate." Bank of Israel Discussion Paper Series,2000.
[26]Canzoneri, B. Matthew; Cumby, E. Robert and Diba, Behzad. "Relative Labor Productivity and the Real Exchange Rate in the Long Run:Evidence for a Panel of OECD Countries." Journal of International Economics,1999, No.47, pp.245-266.
[27]Chinn, D. Menzie and Johnston, D. Louis. "The Impact of Productivity Differentials on Real Exchange Rates:Beyond the Balassa-Samuelson Framework." Mimeo, University of California:Santa Cruz,1999.
[28]Cheung, Yin-Wong; Chinn, Menzie and Fujii, Eiji. "The Overvaluation of Renminbi Undervaluation." Journal of International Money and Finance,2007,26, pp.762-785.
[29]------. " Pitfalls in Measuring Exchange Rate Misalignment: The Yuan and Other Currencies." NBER Working Paper, No.14168,2008.
[30]------. " China's Current Account and Exchange Rate." NBER Working Paper, No. 14673,2009.
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