人民币实际有效汇率短期波动的STAR模型分析
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摘要
亚洲金融危机以后,中国经济快速增长、经常项目顺差不断扩大和外汇储备激增,在此情况下,2002年,人民币名义汇率与美元基本保持稳定,但对欧元和日元则分别贬值了14.4%和4.7%,如果考虑通货膨胀因素,对三大货币的实际汇率分别下降28%、16.6%和5.2%,据IMF估算,2003年人民币相对于其他主要贸易伙伴国的名义有效汇率下降了6%。此种反常的汇率行为,使人民币汇率问题继亚洲金融危机后再次成为世界瞩目的焦点,专家、学者和政府要员们对此众说纷纭,莫衷一是。要求人民币升值的国际舆论此起彼伏,从未停息。
2005年7月21日人民币汇率体制发生了重要变化,它从以前的盯住美元汇率制度变成了现在以市场供求为基础的、参照一揽子货币有管理的浮动汇率制度,汇率波动范围加宽。因此分析人民币汇率偏离长期趋势的短期波动行为是有必要的。
由于我国汇率体制的原因,名义汇率不能很好的代表我国的对外竞争力,因此本文选用能较好代表我国对外竞争力的实际有效汇率作为研究对象,运用h-p滤波方法将人民币实际有效汇率进行分解,得到人民币实际有效汇率的短期波动数据,然后运用STAR模型对人民币实际有效汇率的短期波动数据进行分析。分析结果发现人民币实际有效汇率的短期波动具有非线性,并符合ESTAR模型(指数平滑转移自回归模型),并根据其行为特征提出一些政策建议及评价。
Ever since the Asia Financial Crisis, China’s economy has been in a fast growing with incessant expanded current account surplus and increasing foreign exchange reserve. Under this situation, in 2002, RMB nominal exchange rate basically keeps stable to USD, but got depreciation to Euro and Japanese Yen. If the inflation is under consideration, RMB depreciated by 28%, 16.6% and 5.2% against the three currencies. According to IMF estimation, in 2003, the efficient exchange rate of RMB against other main trading countries’currencies decreased 6%. Such an abnormal exchange rate performance made RMB the focus of the world since the Asian Financial Crisis. All professors, scholars and governmental workers have different attitude towards it, and the call for RMB appreciation arouses.
In 21st, July, RMB exchange rate system took an important change, the pegging to USD exchange rate system changed to the managed float exchange rate system referring to a basket of currencies and based on market supply and demand with a wider band of floating. Thus, it is necessary to analyze short-term fluctuation with the departure from long-term trend of RMB exchange rate.
Due to our exchange system, nominal exchange rate can not represent our competence,thus this article chooses the real and efficient exchange rate as the research object, analyzes RMB real and efficient exchange rate with h-p filtering to get the short-term floating data,and then uses STAR model to analyze. The result of the analysis shows that the short-term floating of RMB real and efficient exchange rate is non-linear and accords to ESTAR model, and finally, according to this feature, some opinion and political suggestions were given.
2005年7月21日人民币汇率体制发生了重要变化,它从以前的盯住美元汇率制度变成了现在以市场供求为基础的、参照一揽子货币有管理的浮动汇率制度,汇率波动范围加宽。因此分析人民币汇率偏离长期趋势的短期波动行为是有必要的。
由于我国汇率体制的原因,名义汇率不能很好的代表我国的对外竞争力,因此本文选用能较好代表我国对外竞争力的实际有效汇率作为研究对象,运用h-p滤波方法将人民币实际有效汇率进行分解,得到人民币实际有效汇率的短期波动数据,然后运用STAR模型对人民币实际有效汇率的短期波动数据进行分析。分析结果发现人民币实际有效汇率的短期波动具有非线性,并符合ESTAR模型(指数平滑转移自回归模型),并根据其行为特征提出一些政策建议及评价。
Ever since the Asia Financial Crisis, China’s economy has been in a fast growing with incessant expanded current account surplus and increasing foreign exchange reserve. Under this situation, in 2002, RMB nominal exchange rate basically keeps stable to USD, but got depreciation to Euro and Japanese Yen. If the inflation is under consideration, RMB depreciated by 28%, 16.6% and 5.2% against the three currencies. According to IMF estimation, in 2003, the efficient exchange rate of RMB against other main trading countries’currencies decreased 6%. Such an abnormal exchange rate performance made RMB the focus of the world since the Asian Financial Crisis. All professors, scholars and governmental workers have different attitude towards it, and the call for RMB appreciation arouses.
In 21st, July, RMB exchange rate system took an important change, the pegging to USD exchange rate system changed to the managed float exchange rate system referring to a basket of currencies and based on market supply and demand with a wider band of floating. Thus, it is necessary to analyze short-term fluctuation with the departure from long-term trend of RMB exchange rate.
Due to our exchange system, nominal exchange rate can not represent our competence,thus this article chooses the real and efficient exchange rate as the research object, analyzes RMB real and efficient exchange rate with h-p filtering to get the short-term floating data,and then uses STAR model to analyze. The result of the analysis shows that the short-term floating of RMB real and efficient exchange rate is non-linear and accords to ESTAR model, and finally, according to this feature, some opinion and political suggestions were given.
引文
①Hinkle L. and Peter J.M. ,Eds.1999“:The Three-Good Internal RER for Exports, Imports, and Domestic Goods”,In Lawance E. Hinkle. And Peter J.M.,Eds., Exchange Rate Misalignment: Concepts and Measurement for Developing Countries.175-218,New York: The World Band.
② Nurkse, R.1945,Conditions of International Monetary Equilibrium” Essaysin International Finance 4 (Spring) Prinveton,University Press.
① Clark, P. and Macdonald, R. 1998,“Exchange Rates and Economic Fundamentals: A methodological Comparison of BEERs and FEERs”,IMF Working Paper ,NO:98/67,May, IMF.
① R. Hodrick and E.C. Prescott. Post-war U.S. business cycles: An Empirical investigation, mimeo, Pittsbursh: Carnegie-Mellon University,1980
[1]人民币汇率近期观点综述[EB/OL]. 中国经济信息网,2003-08-12.
[2]赵登峰. 人民币市场均衡汇率与实际均衡汇率研究[M].北京: 社会科学文献出版社.2005.10.107-116.
[3]张晓朴.购买力平价思想的最新演变及其在人民汇率中的应用[J].世界经济,2000.09:10-11.
[4]陈学彬. 近期人民币实际汇率变动态势分析——兼谈分析实际汇率应注意的问题[J].经济研究,1999.01:24-30.
[5]张晓朴.均衡与失调:1978—1999,人民币汇率合理性评估[J].金融研究,2000.08:16-27.
[6]高志红,侯杰. 巴拉萨-萨缪尔森命题研究综述[J].经济评论,2006.04:71-97.
[7]俞萌. 人民币汇率的巴拉萨-萨缪尔森效应分析[J]:世界经济,2001.05:24-28.
[8]杨长江.人民币实际汇率长期调整趋势研究[M].上海:上海财经大学出版社,2002.53-67.
[9] [10]卢峰.人民币实际汇率之谜(1979—2005)——中国经济追赶实践提出的挑战性问题[J].北京大学中国经济研究中心《中文讨论稿》No.C2006003,2006.2:23-25.
[11]卢峰,韩晓亚.长期经济成长与实际汇率演变——巴拉萨—萨缪尔森效应假说及其经验证据[J].北京大学中国经济研究中心《中文讨论稿》No.C2006002,2006.02:1-20.
[12]Williamson.Estimating Equilibrium Exchange Rates System[M]. Institute for International Economics Washington, 1994.12:1-20.
[13]张静,汪寿阳.人民币均衡汇率与中国外贸[M].北京:高等教育出版社,2005.14-18.
[14]金中夏. 论中国实际汇率管理改革[J].经济研究,1995.03:64-72.
[15]金中夏. 论转轨时期均衡汇率形成机制[J].经济研究,1996.03:29-35+52.
[16]张晓朴.人民币均衡汇率的理论与模型[J].经济研究,1999.12:71-78.
[17]张晓朴.均衡与失调:1978—1999,人民币汇率合理性评估[J].金融研究,2000.8:16-27.
[18]张志超.汇率制度理论的新发展:文献综述[J].世界经济,2002.01:14-23.
[19]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+92.
[20]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,2005.4:34-45.
[21]李祺.人民币均衡汇率但方程模型实证分析[J].数量经济技术经济研究,2006.2:24-31+107.
[22]高铁梅.计量经济学分析方法与建摸 Eviews 应用及实例[M].北京:清华大学出版社,2006.41.
[23]Ruer S. Tsay.Analysis of Financial Time Series[M].潘家柱译.北京:机械工业出版社,2006.104-105.
[24]王俊,孔令夷.非线性时间序列分析 STAR 模型及其在经济学中的应用[J].数量经济技术经济研究,2006.01:77-85+106.
[25]J.M.伍德里奇.计量经济学导论现代观点[M].费剑平等译.北京:中国人民大学出版社,2003.334-344.
[26]BorissSiliverstovs. The Bi?parameter Smooth Transition Autoregressive model [EB/OL].http://www.economicsbulletin.com/2005/volume3/EB?05C50003A.pdf.2005.12: 1-5.
[27]谢赤,戴克维,刘潭秋.基于 STAR 模型的人民币实际汇率行为的描述[J].金融研究,2005.05:51-59.
[28]古扎拉蒂.计量经济学导论[M]:下册.林少宫译.北京:中国人民大学出版社,2000.3.393-416.
[29]张晓峒.计量经济学软件 Eviews 使用指南[M].天津:南开大学出版社,2004.12.146-148.
[30]易丹辉.数据分析与 Eviews 使用[M].北京:中国统计出版社,2002.07.186-196.
[31] Emmanuel Anoruo. Nonlinear Real Exchange Rate Behavior: Are the African Currencies Exceptional[J]. International Research Journal of Finance and Economics,2006.01:1-14.
[32]Potter,S.M.,Noliner Time Series Modelling:An Introduction[J],Journal of Economic Survey,1999.05:506-528.
② Nurkse, R.1945,Conditions of International Monetary Equilibrium” Essaysin International Finance 4 (Spring) Prinveton,University Press.
① Clark, P. and Macdonald, R. 1998,“Exchange Rates and Economic Fundamentals: A methodological Comparison of BEERs and FEERs”,IMF Working Paper ,NO:98/67,May, IMF.
① R. Hodrick and E.C. Prescott. Post-war U.S. business cycles: An Empirical investigation, mimeo, Pittsbursh: Carnegie-Mellon University,1980
[1]人民币汇率近期观点综述[EB/OL]. 中国经济信息网,2003-08-12.
[2]赵登峰. 人民币市场均衡汇率与实际均衡汇率研究[M].北京: 社会科学文献出版社.2005.10.107-116.
[3]张晓朴.购买力平价思想的最新演变及其在人民汇率中的应用[J].世界经济,2000.09:10-11.
[4]陈学彬. 近期人民币实际汇率变动态势分析——兼谈分析实际汇率应注意的问题[J].经济研究,1999.01:24-30.
[5]张晓朴.均衡与失调:1978—1999,人民币汇率合理性评估[J].金融研究,2000.08:16-27.
[6]高志红,侯杰. 巴拉萨-萨缪尔森命题研究综述[J].经济评论,2006.04:71-97.
[7]俞萌. 人民币汇率的巴拉萨-萨缪尔森效应分析[J]:世界经济,2001.05:24-28.
[8]杨长江.人民币实际汇率长期调整趋势研究[M].上海:上海财经大学出版社,2002.53-67.
[9] [10]卢峰.人民币实际汇率之谜(1979—2005)——中国经济追赶实践提出的挑战性问题[J].北京大学中国经济研究中心《中文讨论稿》No.C2006003,2006.2:23-25.
[11]卢峰,韩晓亚.长期经济成长与实际汇率演变——巴拉萨—萨缪尔森效应假说及其经验证据[J].北京大学中国经济研究中心《中文讨论稿》No.C2006002,2006.02:1-20.
[12]Williamson.Estimating Equilibrium Exchange Rates System[M]. Institute for International Economics Washington, 1994.12:1-20.
[13]张静,汪寿阳.人民币均衡汇率与中国外贸[M].北京:高等教育出版社,2005.14-18.
[14]金中夏. 论中国实际汇率管理改革[J].经济研究,1995.03:64-72.
[15]金中夏. 论转轨时期均衡汇率形成机制[J].经济研究,1996.03:29-35+52.
[16]张晓朴.人民币均衡汇率的理论与模型[J].经济研究,1999.12:71-78.
[17]张晓朴.均衡与失调:1978—1999,人民币汇率合理性评估[J].金融研究,2000.8:16-27.
[18]张志超.汇率制度理论的新发展:文献综述[J].世界经济,2002.01:14-23.
[19]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+92.
[20]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,2005.4:34-45.
[21]李祺.人民币均衡汇率但方程模型实证分析[J].数量经济技术经济研究,2006.2:24-31+107.
[22]高铁梅.计量经济学分析方法与建摸 Eviews 应用及实例[M].北京:清华大学出版社,2006.41.
[23]Ruer S. Tsay.Analysis of Financial Time Series[M].潘家柱译.北京:机械工业出版社,2006.104-105.
[24]王俊,孔令夷.非线性时间序列分析 STAR 模型及其在经济学中的应用[J].数量经济技术经济研究,2006.01:77-85+106.
[25]J.M.伍德里奇.计量经济学导论现代观点[M].费剑平等译.北京:中国人民大学出版社,2003.334-344.
[26]BorissSiliverstovs. The Bi?parameter Smooth Transition Autoregressive model [EB/OL].http://www.economicsbulletin.com/2005/volume3/EB?05C50003A.pdf.2005.12: 1-5.
[27]谢赤,戴克维,刘潭秋.基于 STAR 模型的人民币实际汇率行为的描述[J].金融研究,2005.05:51-59.
[28]古扎拉蒂.计量经济学导论[M]:下册.林少宫译.北京:中国人民大学出版社,2000.3.393-416.
[29]张晓峒.计量经济学软件 Eviews 使用指南[M].天津:南开大学出版社,2004.12.146-148.
[30]易丹辉.数据分析与 Eviews 使用[M].北京:中国统计出版社,2002.07.186-196.
[31] Emmanuel Anoruo. Nonlinear Real Exchange Rate Behavior: Are the African Currencies Exceptional[J]. International Research Journal of Finance and Economics,2006.01:1-14.
[32]Potter,S.M.,Noliner Time Series Modelling:An Introduction[J],Journal of Economic Survey,1999.05:506-528.