人民币有效汇率与开放经济下的货币政策
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摘要
开放经济下货币政策受到多重开放经济因素的影响,其中汇率作为联系国内外经济的核心经济变量,其波动会影响货币替代、进出口贸易和国际资本流动等,进而涉及国内货币的需求和供给量,是关系到开放经济下货币政策是否有效的重要变量。本文在开放经济宏观经济学理论的基础上,总结前人的研究经验,构建了人民币有效汇率影响开放经济下货币政策的“资本市场途径”和“国际贸易途径”,并通过实证分析从货币供给和货币需求两方面进行了检验,为提高我国开放经济下货币政策的有效性提供参考。
第1章为导论,介绍研究背景、相关文献综述、研究思路和方法等。在我国经济开放程度不断增大的背景下,有必要分析有效汇率对我国货币政策的影响。从不同角度对国内外研究文献进行梳理,给出了研究路线图。研究中所采取的主要实证方法和模型为:非平稳时间序列的协整检验法、因果分析、方差分解和误差修正模型等。还系统总结了包括Engel-Granger两步法、Johansen检验法和Pesaran的边限检验法在内的协整检验方法。
第2章在国际比较的基础上,构建了人民币有效汇率指数的计算方法,并对其历史走势进行了测算分析。在全球经贸往来多元化的现实下,有效汇率相较双边汇率而言能更好地衡量本币的综合竞争力。首先通过样本国范围、竞争力权重结构、贸易流等七个方面的比较,介绍了主要国际经济机构对实际有效汇率算法的异同,由此得到启示,建立一个兼具科学性和可行性的人民币实际有效汇率指数模型。最后对人民币实际有效汇率指数的走势分四个阶段进行了分析和测算。
第3章在宏观经济模型演进的基础上,探讨了开放经济下我国货币政策的特点,从理论上总结了汇率的影响途径。开放经济下,汇率成为货币政策传导机制中的重要渠道:在一个最优货币政策规则的分析框架下,证明了中央银行在最优货币政策规则建构时汇率的重要性。根据外部性冲击的类型总结了汇率影响开放经济下货币政策的两个具体路径:“资本市场路径”和“国际贸易路径”,并应用蒙代尔-弗莱明模型进行了理论分析。
第4章检验了人民币有效汇率走势和波动率对人民币货币替代的影响程度,证明了“资本市场途径”的存在。模型分析说明货币替代的水平取决于两种货币的实际收益水平的差距和外汇风险水平,货币替代的存在会加剧汇率不稳定。测算发现2003年以来人民币对美元存在着“反货币替代”现象。实证研究中,方差分解表明总体上有效汇率对货币替代有一定程度的影响,且名义有效汇率贡献更大;Johansen协整检验发现人民币货币替代率与人民币实际、名义有效汇率及其波动率之间有且仅有一个长期稳定的协整关系;向量误差修正模型揭示了有效汇率的短期波动对货币替代率的长期均衡关系有一定的逆向调整,但影响较小。所以人民币“反货币替代”现象主要是由于在人民币持续升值的现实和预期下,巨额外资输入寻求避险和保值引起的货币供给量持续增加导致的,而不是出于短期套利的目的。于是建议,货币政策在制订和执行过程中需要和汇率政策相协同,将名义有效汇率纳入政策考虑因素有助于提高货币政策的执行效率。
第5章验证了有效汇率对国际贸易、外汇储备的影响关系,验证了“国际贸易途径”的存在。首先以汇率制度改革日为基期,对人民币实际有效汇率进行测算,通过对有效汇率和贸易顺差的Johansen协整检验,发现长期看来人民币实际有效汇率贬值是导致中国贸易顺差加大的原因之一。Granger因果检验发现贸易结构的变化会对人民币汇率构成一定的先导作用,仅凭借人民币升值并不能改变我国贸易双顺差的局面。实证分析还显示汇率弹性的增大会使我国外汇储备受汇率牵制的程度有所缓解。在有效汇率角度下解释了人民币“升值”与贸易顺差的矛盾,并在最后深入探讨了外汇储备对货币政策有效性的影响过程。
第6章重新构造并检验了开放经济下我国货币需求函数,从货币需求的角度分析了有效汇率的影响。通过引入人民币实际有效汇率、外国利率等开放经济因素,运用Pesaran提出的边限检验法分别验证了我国狭义、广义货币余额与各影响因素间长期均衡关系的存在性,得到我国长期货币需求函数,表明人民币实际有效汇率在长期与狭义、广义货币需求都有负的系数,而货币需求对国内利率弹性为正。误差修正模型即短期货币需求函数显示,实际有效汇率短期波动对广义和狭义货币余额负的冲击也尤为显著。应用CUSUM和CUSUMSO的稳定性检验发现,广义货币作为货币政策的中介变量优于狭义货币。
第7章是全文研究结论和展望。
In the open economy,the monetary policy is influenced by multiple factors,in which the exchange rate contacting domestic and foreign economy is a key variable. The fluctuation of exchange rate affects the currency substitution,the international trade,the capital flows and etc;and as a result both the domestic demand and supply of money will be changed.Hence,exchange rate is also a determinant of the validity of monetary policy in open economy.Based on the foundation of macroeconomic theory in open economy and the existing research,the effect of RMB effective exchange rate is analyzed in this dissertation,using the co-integration test of non-stationary time series,vector auto-regression model,the error correction model and so on.Two influencing approaches are brought forward,and are also validated by empirical research through both the demand and supply of money.The research is to improve the efficiency of China's monetary policy in open economy.
Chapter 1 is the introduction of the research background,the overview of the relevant literature,and the ideas and research methods of this dissertation.Alone with China's economy becoming more and more open,it is necessary to analyze the effect of the volatility of exchange rate on the monetary policy.The research route is given after the overview of a great deal of relevant literature.The empirical research methods include co-integration test,causality test,variance decomposition,the error correction model of non-stationary time series etc.Particularly the co-integration test methods are systematically summarized,including two-step test of Engel-Granger, Johansen test and Pesaran's bound testing approach.
Through the international comparison,the RMB exchange rate index calculation method is constructed,and its historical trend is analyzed in chapter 2.As multiple countries are involved in the global economy and trade,the effective exchange rate can measure the whole comprehensive power of the currency better than bilateral exchange rate.Through the compare of the difference in seven aspects about the scope of the sample countries,weight structure of the competitive strength,trade flow and so on,the calculation methods of the major international financial institutions to the effective exchange rate is introduced.This gives a useful hint to establish a scientific and feasible model of the RMB effective exchange index.Finally the trend of RMB effective exchange rate is analyzed in four historical stages.
On the basis of the evolution of macroeconomic model,the characters of China's monetary policy in open economy are discussed,and the approaches through which the exchange rate affected the monetary policy are summarized in theory in chapter 3. It is emphasized that exchange rate has become an important channel in the transmission mechanism of the monetary policy.A framework of optimal monetary policy rule proves that central bank has to take exchange rate into consideration when constructing the optimal monetary policy rules.According to the types of external impulse,we suggest two concrete approaches through which exchange rate affects monetary policy,"capital market approach "and "international trade approach".And the two approaches are further analyzed theoretically in a framework of Mundell-Fleming model.
Testing how much RMB exchange rate movements and its volatility affect the currency substitution of RMB,the existence of "capital market approach" is verified in chapter 4.Model analysis shows that currency substitution level is determined by the difference in the real return rate of the two currencies and foreign exchange risk level,and that the existence of currency substitution exacerbates the exchange rate instability.Since 2003 there has been the phenomenon of "reverse currency substitution" of RMB.In empirical study,variance decomposition explains that in general the effective exchange rate influences the currency substitution to some extent, and the nominal exchange rate contributes more.Johansen test finds that there is only one long-term stable co-integration relationship.Vector error correction model reveals the short-term fluctuation of the effective exchange rate adjusts the long-run equilibrium reversely,but the extent of adjustment is limited.Therefore the phenomenon of "reverse currency substitution" is mainly due to the reality and expectation of RMB continuous appreciation,and the money supply increasing is the result of capital input for risk aversion in 10ng-term,instead of short-term arbitrage. The suggestions are as following:in the process of monetary policy formulation and implement,it is necessary for it to cooperate with exchange rate policy,and the effectiveness of monetary policy will be enhanced if nominal effective exchange rate can be taken into consideration.
The influence of effective exchange rate on foreign exchange reserves and international trade is verified in chapter 5,and hence the existence of "international trade approaches" is confirmed.Taking the date of the exchange rate system reform as the base period,RMB effective exchange rate is measured firstly.Through Johansen test between effective exchange rate and trade surplus,it is shown that the depreciation of the RMB is one of the reasons leading to China's trade surplus in long run.Granger causality test finds that the change of the trade structure plays a leading role to RMB exchange rate,so only RMB appreciation cannot change our trade surplus.Empirical analysis also shows that the increase of the exchange rate elasticity will release the pressure on Chinese foreign exchange reserve increasing.In a point of view of effective exchange rate,the surface conflict between RMB appreciation and trade surplus is explained.And a thoroughly discussion is given about how foreign exchange reserves weakens the effectiveness of monetary policy in the end.
The money demand function in open economy is reconstructed and tested in chapter 6,and the influence of effective exchange rate is further analyzed through the aspect of money demand.By considering some open economic factors such as RMB exchange rate,foreign interest rates etc,and by using bound test approach in this chapter,the result verifies the existence of the long-term equilibrium relationship among our narrow,broad money balances and various influencing factors.After that we obtain a long-term money demand function.The estimation results show negative correlation between the real effective exchange rate and both of narrow and broad monetary demand,but the elasticity of domestic interest rates is positive.The error correction model brings forth short-term monetary demand function,which shows the negative impulse of exchange rate to broad and narrow money balances is also significant.CUSUM and CUSUMSQ tests compare the stability of broad and narrow money demand function,finding the broad money is a better intermediary variable than narrow money in monetary policy.
Chapter 7 summarizes this dissertation and looks out for further research.
第1章为导论,介绍研究背景、相关文献综述、研究思路和方法等。在我国经济开放程度不断增大的背景下,有必要分析有效汇率对我国货币政策的影响。从不同角度对国内外研究文献进行梳理,给出了研究路线图。研究中所采取的主要实证方法和模型为:非平稳时间序列的协整检验法、因果分析、方差分解和误差修正模型等。还系统总结了包括Engel-Granger两步法、Johansen检验法和Pesaran的边限检验法在内的协整检验方法。
第2章在国际比较的基础上,构建了人民币有效汇率指数的计算方法,并对其历史走势进行了测算分析。在全球经贸往来多元化的现实下,有效汇率相较双边汇率而言能更好地衡量本币的综合竞争力。首先通过样本国范围、竞争力权重结构、贸易流等七个方面的比较,介绍了主要国际经济机构对实际有效汇率算法的异同,由此得到启示,建立一个兼具科学性和可行性的人民币实际有效汇率指数模型。最后对人民币实际有效汇率指数的走势分四个阶段进行了分析和测算。
第3章在宏观经济模型演进的基础上,探讨了开放经济下我国货币政策的特点,从理论上总结了汇率的影响途径。开放经济下,汇率成为货币政策传导机制中的重要渠道:在一个最优货币政策规则的分析框架下,证明了中央银行在最优货币政策规则建构时汇率的重要性。根据外部性冲击的类型总结了汇率影响开放经济下货币政策的两个具体路径:“资本市场路径”和“国际贸易路径”,并应用蒙代尔-弗莱明模型进行了理论分析。
第4章检验了人民币有效汇率走势和波动率对人民币货币替代的影响程度,证明了“资本市场途径”的存在。模型分析说明货币替代的水平取决于两种货币的实际收益水平的差距和外汇风险水平,货币替代的存在会加剧汇率不稳定。测算发现2003年以来人民币对美元存在着“反货币替代”现象。实证研究中,方差分解表明总体上有效汇率对货币替代有一定程度的影响,且名义有效汇率贡献更大;Johansen协整检验发现人民币货币替代率与人民币实际、名义有效汇率及其波动率之间有且仅有一个长期稳定的协整关系;向量误差修正模型揭示了有效汇率的短期波动对货币替代率的长期均衡关系有一定的逆向调整,但影响较小。所以人民币“反货币替代”现象主要是由于在人民币持续升值的现实和预期下,巨额外资输入寻求避险和保值引起的货币供给量持续增加导致的,而不是出于短期套利的目的。于是建议,货币政策在制订和执行过程中需要和汇率政策相协同,将名义有效汇率纳入政策考虑因素有助于提高货币政策的执行效率。
第5章验证了有效汇率对国际贸易、外汇储备的影响关系,验证了“国际贸易途径”的存在。首先以汇率制度改革日为基期,对人民币实际有效汇率进行测算,通过对有效汇率和贸易顺差的Johansen协整检验,发现长期看来人民币实际有效汇率贬值是导致中国贸易顺差加大的原因之一。Granger因果检验发现贸易结构的变化会对人民币汇率构成一定的先导作用,仅凭借人民币升值并不能改变我国贸易双顺差的局面。实证分析还显示汇率弹性的增大会使我国外汇储备受汇率牵制的程度有所缓解。在有效汇率角度下解释了人民币“升值”与贸易顺差的矛盾,并在最后深入探讨了外汇储备对货币政策有效性的影响过程。
第6章重新构造并检验了开放经济下我国货币需求函数,从货币需求的角度分析了有效汇率的影响。通过引入人民币实际有效汇率、外国利率等开放经济因素,运用Pesaran提出的边限检验法分别验证了我国狭义、广义货币余额与各影响因素间长期均衡关系的存在性,得到我国长期货币需求函数,表明人民币实际有效汇率在长期与狭义、广义货币需求都有负的系数,而货币需求对国内利率弹性为正。误差修正模型即短期货币需求函数显示,实际有效汇率短期波动对广义和狭义货币余额负的冲击也尤为显著。应用CUSUM和CUSUMSO的稳定性检验发现,广义货币作为货币政策的中介变量优于狭义货币。
第7章是全文研究结论和展望。
In the open economy,the monetary policy is influenced by multiple factors,in which the exchange rate contacting domestic and foreign economy is a key variable. The fluctuation of exchange rate affects the currency substitution,the international trade,the capital flows and etc;and as a result both the domestic demand and supply of money will be changed.Hence,exchange rate is also a determinant of the validity of monetary policy in open economy.Based on the foundation of macroeconomic theory in open economy and the existing research,the effect of RMB effective exchange rate is analyzed in this dissertation,using the co-integration test of non-stationary time series,vector auto-regression model,the error correction model and so on.Two influencing approaches are brought forward,and are also validated by empirical research through both the demand and supply of money.The research is to improve the efficiency of China's monetary policy in open economy.
Chapter 1 is the introduction of the research background,the overview of the relevant literature,and the ideas and research methods of this dissertation.Alone with China's economy becoming more and more open,it is necessary to analyze the effect of the volatility of exchange rate on the monetary policy.The research route is given after the overview of a great deal of relevant literature.The empirical research methods include co-integration test,causality test,variance decomposition,the error correction model of non-stationary time series etc.Particularly the co-integration test methods are systematically summarized,including two-step test of Engel-Granger, Johansen test and Pesaran's bound testing approach.
Through the international comparison,the RMB exchange rate index calculation method is constructed,and its historical trend is analyzed in chapter 2.As multiple countries are involved in the global economy and trade,the effective exchange rate can measure the whole comprehensive power of the currency better than bilateral exchange rate.Through the compare of the difference in seven aspects about the scope of the sample countries,weight structure of the competitive strength,trade flow and so on,the calculation methods of the major international financial institutions to the effective exchange rate is introduced.This gives a useful hint to establish a scientific and feasible model of the RMB effective exchange index.Finally the trend of RMB effective exchange rate is analyzed in four historical stages.
On the basis of the evolution of macroeconomic model,the characters of China's monetary policy in open economy are discussed,and the approaches through which the exchange rate affected the monetary policy are summarized in theory in chapter 3. It is emphasized that exchange rate has become an important channel in the transmission mechanism of the monetary policy.A framework of optimal monetary policy rule proves that central bank has to take exchange rate into consideration when constructing the optimal monetary policy rules.According to the types of external impulse,we suggest two concrete approaches through which exchange rate affects monetary policy,"capital market approach "and "international trade approach".And the two approaches are further analyzed theoretically in a framework of Mundell-Fleming model.
Testing how much RMB exchange rate movements and its volatility affect the currency substitution of RMB,the existence of "capital market approach" is verified in chapter 4.Model analysis shows that currency substitution level is determined by the difference in the real return rate of the two currencies and foreign exchange risk level,and that the existence of currency substitution exacerbates the exchange rate instability.Since 2003 there has been the phenomenon of "reverse currency substitution" of RMB.In empirical study,variance decomposition explains that in general the effective exchange rate influences the currency substitution to some extent, and the nominal exchange rate contributes more.Johansen test finds that there is only one long-term stable co-integration relationship.Vector error correction model reveals the short-term fluctuation of the effective exchange rate adjusts the long-run equilibrium reversely,but the extent of adjustment is limited.Therefore the phenomenon of "reverse currency substitution" is mainly due to the reality and expectation of RMB continuous appreciation,and the money supply increasing is the result of capital input for risk aversion in 10ng-term,instead of short-term arbitrage. The suggestions are as following:in the process of monetary policy formulation and implement,it is necessary for it to cooperate with exchange rate policy,and the effectiveness of monetary policy will be enhanced if nominal effective exchange rate can be taken into consideration.
The influence of effective exchange rate on foreign exchange reserves and international trade is verified in chapter 5,and hence the existence of "international trade approaches" is confirmed.Taking the date of the exchange rate system reform as the base period,RMB effective exchange rate is measured firstly.Through Johansen test between effective exchange rate and trade surplus,it is shown that the depreciation of the RMB is one of the reasons leading to China's trade surplus in long run.Granger causality test finds that the change of the trade structure plays a leading role to RMB exchange rate,so only RMB appreciation cannot change our trade surplus.Empirical analysis also shows that the increase of the exchange rate elasticity will release the pressure on Chinese foreign exchange reserve increasing.In a point of view of effective exchange rate,the surface conflict between RMB appreciation and trade surplus is explained.And a thoroughly discussion is given about how foreign exchange reserves weakens the effectiveness of monetary policy in the end.
The money demand function in open economy is reconstructed and tested in chapter 6,and the influence of effective exchange rate is further analyzed through the aspect of money demand.By considering some open economic factors such as RMB exchange rate,foreign interest rates etc,and by using bound test approach in this chapter,the result verifies the existence of the long-term equilibrium relationship among our narrow,broad money balances and various influencing factors.After that we obtain a long-term money demand function.The estimation results show negative correlation between the real effective exchange rate and both of narrow and broad monetary demand,but the elasticity of domestic interest rates is positive.The error correction model brings forth short-term monetary demand function,which shows the negative impulse of exchange rate to broad and narrow money balances is also significant.CUSUM and CUSUMSQ tests compare the stability of broad and narrow money demand function,finding the broad money is a better intermediary variable than narrow money in monetary policy.
Chapter 7 summarizes this dissertation and looks out for further research.
引文
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