人民币实际汇率问题研究
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摘要
实际汇率作为开放经济条件下一项重要的经济变量，对一国经济发展具有广泛的影响力与解释力。从国际经验来看，一国经济长期高速发展的过程中，通常会伴随出现本币实际汇率的升值。自改革开发以来，中国经历了长期快速的经济增长，而此期间的人民币实际汇率以1993年为分界点呈现出了先贬后升的长期变动态势。因此，我们认为，研究人民币实际汇率问题对于中国经济的发展具有非常重要的理论和现实意义。
本文的研究内容基本上是由以下三部分组成的：一是实际汇率的概念、分类与测算；二是实际汇率变动与冲击来源；三是均衡实际汇率的决定。
其中，在第一部分，我们首先对实际汇率的概念、分类及测算方法进行了系统的论述，在此基础上我们进一步测算了1985—2005年期间内的人民币实际外部实际汇率与内部实际汇率的变动趋势，并对其成因进行了分析与说明。通过研究我们发现：(1)1985—2005年期间的人民币外部实际汇率走势基本上可以分为两个阶段：第一阶段为1985—1993年，这一时期的人民币实际有效汇率呈现大幅下降态势，造成这一时期人民币实际有效汇率下降的原因在于人民币名义有效汇率的下降。第二阶段为1993—2005年，这一时期的人民币实际有效汇率呈现小幅上升态势，这一时期人民币实际有效汇率小幅上升是由人民币名义有效汇率和中国与其贸易伙伴国之间相对价格所共同决定的。(2)1985—2005年期间的人民币内部实际汇率走势基本上可以分为两个阶段：第一阶段为1985—1994年，这一时期的人民币内部实际汇率呈现大幅下降态势，其主要原因在于该时期内作为不可贸易品代理变量的消费者价格指数(CPI)的上升。第二阶段为1994—2005年，这一时期的人民币内部实际汇率变动有高有低，始终保持在较窄范围内浮动。而这一时期的消费者价格指数(CPI)和加权平均后的世界出口品与进口品的单位价格指数也都处于小幅的变动中，因此我们说该期间的人民币内部实际汇率的变动是有两者共同决定的。(3)最后我们通过综合考察1985—2005年期间人民币外部实际汇率与内部实际汇率的变动趋势发现，自1990年以来人民币外部实际汇率与内部实际汇率开始呈现不同的走势分布，且两者间的差距不断增大，人民币外部实际汇率变动造成此期间明显走势差距的主要原因。
在第二部分内容的研究过程中，我们用三章的篇幅、从三个不同角度出发分别对实际汇率变动的供给冲击、需求冲击与名义冲击进行了分析，并运用实证方法考察了它们对于人民币实际汇率变动的解释力。通过研究我们发现：
第一，人民币实际汇率变动的供给冲击。整个考察期间，我国两部门劳动生产率的相对变动情况以1992年为分界点呈现不同的变动态势。其中，1992年以前，我国可贸易品部门的劳动生产率增长速度并不快于不可贸易品的劳动生产率的增长速度；而自1992年以来，我国可贸易品部门的劳动生产率增长速度明显快于不可贸易品的劳动生产率的增长速度。同时，在整个考察期内，我国可贸易品部门与不可贸易品部门之间存在工资联动效应。进一步的，通过将1985—2004年期间的中国与美国、OECD国家之间生产率的“国内相对增长”进行比较分析后得出：自1994年以来，中国存在“巴拉萨——萨缪尔森效应”，即中国与美国、OECD间劳动生产率的“国际相对增长”的增长是推动人民币对美元实际汇率和人民币实际有效汇率升值的原因。
第二，人民币实际汇率变动的需求冲击。这一部分，在论述政府支出影响实际汇率变动的作用机制基础上，我们通过分析得出：中国政府无论是增加总支出水平还是在总支出水平不变的情况下提高不可贸易品方面的支出比例，都将促使人民币实际汇率升值。相对来说，提高不可贸易品方面的政府支出比例对人民币实际汇率的影响更大。
第三，人民币实际汇率变动的货币冲击。通过运用结构性向量自回归(SVAR)方法，我们对货币扩张与人民币实际汇率变动间的关系进行实证检验并得出：一个正向的货币供给冲击会立即导致人民币实际汇率升值，随着时间的推移，这一影响越来越小。
在从不同角度出发分析了基本经济因素变动对于实际汇率水平影响及其作用机制的基础上，最后一部分，我们引出了“均衡实际汇率”概念，并在此框架下通过选取包括生产率(prod)、政府支出(ge)、广义货币供应量(m_2)和开放度(open)在内的四个中长期经济基本面变量对人民币实际均衡汇率和实际汇率失调程度进行估算。通过研究我们发现：(1)中国生产率的提高对人民币实际有效汇率有正向推动作用；中国政府支出的增加也会推动人民币实际有效汇率升值；中国货币供给量的提高对人民币实际有效汇率有负向作用；中国开放度的提高也会导致人民币实际有效汇率贬值。在所有解释变量中，生产率对人民币实际有效汇率的影响最大，其次是货币供给量，然后是开放度，而政府支出的影响作用相对最小。(2)1980—2005年间人民币实际汇率的总失调程度的变动可分为以下几个阶段：1980—1985年期间，人民币实际有效汇率处于高估状态。我们认为这一时期的高估主要是由于人民币名义汇率值较高造成的。1986—1995年期间，人民币实际有效汇率处于低估状态。我们认为这一时期的低估主要是由于人民币名义汇率在此期间持续大幅贬值造成的。自1994年人民币汇率并轨以来，人民币实际汇率的低估幅度在逐渐缓解。1996—2003年期间，人民币实际有效汇率处于高估状态。而自2004年开始，人民币实际有效汇率开始出现低估，不过低估程度较小。针对人民币实际汇率处于小幅低估的现状，我们应采取相应的调整措施以实现人民币均衡实际汇率。
As an important variable of open economy, real exchange rate can affect and explain economic growth in wide way. According to the widely held belief, the country, which is undertaking rapid economic growth, will face up real exchange rate appreciation from international experience. Since 1978's reform, RMB real exchange rate presents different moving trend at 1993 with China long-term fast economic growth. Therefore, it is very important for China to study on the issue of RMB real exchange rate. This paper contains three parts, Part I considers issues that arise in the definition and measurement of real exchange rate. Part II focuses on the sources of the fluctuations of RMB real exchange rate. Part III turns to the RMB equilibrium real exchange rate.
In part I , we provide a general summary of conceptual and empirical issues relevant with defining and measuring the real exchange rate. Then we analyze the changes of RMB external and intenal real exchange rate and the shocks of its changes during 1985-2005. Based on the analysis, we draw the following conclusions:(1)The tendency of RMB external real exchange rate can basically be divided into two stages
during the investigating period-the wide devaluation stage during 1985-1993,
which mainly result from RMB nominal effective exchange rate devaluation in that period, and slight appreciation stage during 1993-2005, which is decided by RMB nominal effective exchange rate and Chinese trading partners relative price index in that period together. (2) The tendency of RMB internal real exchange rate can
basically be divided into two stages during the investigating period-the wide
devaluation stage during 1985-1994, which mainly result from the increase of China's CPI as nontradable goods proxy in that period, and slight fluctuation stage during 1994-2005 which is decided by China's CPI and world unit import goods price index in that period together. (3) According to the above conclusions, we find that RMB external and internal real exchange rate move separately and the gap between them become wider and wider since 1990. In part II, we study real exchange rate fluctuation from three sources, including supply shock, demand shock and nominal shock, and carry on the empirical research on the relationship between them. Our study shows:
Firstly, RMB real exchange rate and supply shock. The tendency of China's labor productivity presents different moving trend at 1993. Labor productivity of nontradable goods sector increase faster than tradable goods sector before 1993. While Labor productivity of tradable goods sector increase faster than nontradable goods sector after 1993. On the basis of further analysis, we found tradable and nontradale goods sector wage move together. Since 1994, "Balassa-Samuelson effect" has been found in China, i.e., the increase on relative labor productivity between China and U.S. is the reason of appreciation of RMB real exchange rate against US Dollar, and the increase on relative labor productivity between China and OECD is the reason of appreciation of RMB real effective exchange rate.
Secondly, RMB real exchange rate and demand shock. In this part, we analyze theoretical relationship between government expends and real exchange rate. Then we carry on the empirical research on the relationship between RMB real exchange rate and government expends. Our study shows: an increase of China's government expends will lead to an appreciation of RMB real exchange rate, and an increase of the proportion which China's government expends on nontradable goods will also lead to an appreciation of RMB real exchange rate. Relatively, raise the proportion which China's government expends on nontradable goods can do more effect on RMB real exchange rate.
Thirdly, RMB real exchange rate and monetary shock. Through SVAR method, we carry on the empirical research on the relationship between RMB real exchange rate and monetary supply. We find: under fixed exchange rate system, an increase of monetary supply will lead to an appreciation of RMB real exchange rate immediately, but the effect is gradually decreasing.
Based on the analysis that how changes of Fundamental economy factors affect real exchange rate, we draw into the concept of "equilibrium real exchange rate" in part III. Under the frame of "equilibrium real exchange rate", we estimate equilibrium real exchange rate of RMB and misalignment of RMB. We select four variables as explaining variables of RMB real exchange rate, these variables including labor productivity, government expends, monetary supply and openness.Our study shows: (l)An increase of labor productivity will lead to an appreciation of RMB real exchange rate. An increase of government expends will lead to an appreciation of RMB real exchange rate. An increase of monetary supply will lead to a depreciation of RMB real exchange rate. An increase of openness will lead to a depreciation of RMB real exchange rate. (2)Misalignment of RMB real exchange rate in the period of 1980 to 2005 can be divided into several parts. In the period of 1980 to 1985, RMB real exchange rate is overvalued, which mainly result from RMB nominal exchange rate overvalued in that period. In the period of 1986 to 1995, RMB real exchange rate is undervalue, which mainly result from RMB nominal exchange rate depreciation in that period. The range of undervalue is smaller overtime since exchange rate regime reform in 1994. In the period of 1996 to 2003, RMB real exchange rate is overvalued. Since 2004, RMB real exchange rate has been undervalue, but the range of undervalue is small. To the situation of RMB's undervalue, we should regulate RMB real exchange rate to make it return to the equilibrium level.
本文的研究内容基本上是由以下三部分组成的：一是实际汇率的概念、分类与测算；二是实际汇率变动与冲击来源；三是均衡实际汇率的决定。
其中，在第一部分，我们首先对实际汇率的概念、分类及测算方法进行了系统的论述，在此基础上我们进一步测算了1985—2005年期间内的人民币实际外部实际汇率与内部实际汇率的变动趋势，并对其成因进行了分析与说明。通过研究我们发现：(1)1985—2005年期间的人民币外部实际汇率走势基本上可以分为两个阶段：第一阶段为1985—1993年，这一时期的人民币实际有效汇率呈现大幅下降态势，造成这一时期人民币实际有效汇率下降的原因在于人民币名义有效汇率的下降。第二阶段为1993—2005年，这一时期的人民币实际有效汇率呈现小幅上升态势，这一时期人民币实际有效汇率小幅上升是由人民币名义有效汇率和中国与其贸易伙伴国之间相对价格所共同决定的。(2)1985—2005年期间的人民币内部实际汇率走势基本上可以分为两个阶段：第一阶段为1985—1994年，这一时期的人民币内部实际汇率呈现大幅下降态势，其主要原因在于该时期内作为不可贸易品代理变量的消费者价格指数(CPI)的上升。第二阶段为1994—2005年，这一时期的人民币内部实际汇率变动有高有低，始终保持在较窄范围内浮动。而这一时期的消费者价格指数(CPI)和加权平均后的世界出口品与进口品的单位价格指数也都处于小幅的变动中，因此我们说该期间的人民币内部实际汇率的变动是有两者共同决定的。(3)最后我们通过综合考察1985—2005年期间人民币外部实际汇率与内部实际汇率的变动趋势发现，自1990年以来人民币外部实际汇率与内部实际汇率开始呈现不同的走势分布，且两者间的差距不断增大，人民币外部实际汇率变动造成此期间明显走势差距的主要原因。
在第二部分内容的研究过程中，我们用三章的篇幅、从三个不同角度出发分别对实际汇率变动的供给冲击、需求冲击与名义冲击进行了分析，并运用实证方法考察了它们对于人民币实际汇率变动的解释力。通过研究我们发现：
第一，人民币实际汇率变动的供给冲击。整个考察期间，我国两部门劳动生产率的相对变动情况以1992年为分界点呈现不同的变动态势。其中，1992年以前，我国可贸易品部门的劳动生产率增长速度并不快于不可贸易品的劳动生产率的增长速度；而自1992年以来，我国可贸易品部门的劳动生产率增长速度明显快于不可贸易品的劳动生产率的增长速度。同时，在整个考察期内，我国可贸易品部门与不可贸易品部门之间存在工资联动效应。进一步的，通过将1985—2004年期间的中国与美国、OECD国家之间生产率的“国内相对增长”进行比较分析后得出：自1994年以来，中国存在“巴拉萨——萨缪尔森效应”，即中国与美国、OECD间劳动生产率的“国际相对增长”的增长是推动人民币对美元实际汇率和人民币实际有效汇率升值的原因。
第二，人民币实际汇率变动的需求冲击。这一部分，在论述政府支出影响实际汇率变动的作用机制基础上，我们通过分析得出：中国政府无论是增加总支出水平还是在总支出水平不变的情况下提高不可贸易品方面的支出比例，都将促使人民币实际汇率升值。相对来说，提高不可贸易品方面的政府支出比例对人民币实际汇率的影响更大。
第三，人民币实际汇率变动的货币冲击。通过运用结构性向量自回归(SVAR)方法，我们对货币扩张与人民币实际汇率变动间的关系进行实证检验并得出：一个正向的货币供给冲击会立即导致人民币实际汇率升值，随着时间的推移，这一影响越来越小。
在从不同角度出发分析了基本经济因素变动对于实际汇率水平影响及其作用机制的基础上，最后一部分，我们引出了“均衡实际汇率”概念，并在此框架下通过选取包括生产率(prod)、政府支出(ge)、广义货币供应量(m_2)和开放度(open)在内的四个中长期经济基本面变量对人民币实际均衡汇率和实际汇率失调程度进行估算。通过研究我们发现：(1)中国生产率的提高对人民币实际有效汇率有正向推动作用；中国政府支出的增加也会推动人民币实际有效汇率升值；中国货币供给量的提高对人民币实际有效汇率有负向作用；中国开放度的提高也会导致人民币实际有效汇率贬值。在所有解释变量中，生产率对人民币实际有效汇率的影响最大，其次是货币供给量，然后是开放度，而政府支出的影响作用相对最小。(2)1980—2005年间人民币实际汇率的总失调程度的变动可分为以下几个阶段：1980—1985年期间，人民币实际有效汇率处于高估状态。我们认为这一时期的高估主要是由于人民币名义汇率值较高造成的。1986—1995年期间，人民币实际有效汇率处于低估状态。我们认为这一时期的低估主要是由于人民币名义汇率在此期间持续大幅贬值造成的。自1994年人民币汇率并轨以来，人民币实际汇率的低估幅度在逐渐缓解。1996—2003年期间，人民币实际有效汇率处于高估状态。而自2004年开始，人民币实际有效汇率开始出现低估，不过低估程度较小。针对人民币实际汇率处于小幅低估的现状，我们应采取相应的调整措施以实现人民币均衡实际汇率。
As an important variable of open economy, real exchange rate can affect and explain economic growth in wide way. According to the widely held belief, the country, which is undertaking rapid economic growth, will face up real exchange rate appreciation from international experience. Since 1978's reform, RMB real exchange rate presents different moving trend at 1993 with China long-term fast economic growth. Therefore, it is very important for China to study on the issue of RMB real exchange rate. This paper contains three parts, Part I considers issues that arise in the definition and measurement of real exchange rate. Part II focuses on the sources of the fluctuations of RMB real exchange rate. Part III turns to the RMB equilibrium real exchange rate.
In part I , we provide a general summary of conceptual and empirical issues relevant with defining and measuring the real exchange rate. Then we analyze the changes of RMB external and intenal real exchange rate and the shocks of its changes during 1985-2005. Based on the analysis, we draw the following conclusions:(1)The tendency of RMB external real exchange rate can basically be divided into two stages
during the investigating period-the wide devaluation stage during 1985-1993,
which mainly result from RMB nominal effective exchange rate devaluation in that period, and slight appreciation stage during 1993-2005, which is decided by RMB nominal effective exchange rate and Chinese trading partners relative price index in that period together. (2) The tendency of RMB internal real exchange rate can
basically be divided into two stages during the investigating period-the wide
devaluation stage during 1985-1994, which mainly result from the increase of China's CPI as nontradable goods proxy in that period, and slight fluctuation stage during 1994-2005 which is decided by China's CPI and world unit import goods price index in that period together. (3) According to the above conclusions, we find that RMB external and internal real exchange rate move separately and the gap between them become wider and wider since 1990. In part II, we study real exchange rate fluctuation from three sources, including supply shock, demand shock and nominal shock, and carry on the empirical research on the relationship between them. Our study shows:
Firstly, RMB real exchange rate and supply shock. The tendency of China's labor productivity presents different moving trend at 1993. Labor productivity of nontradable goods sector increase faster than tradable goods sector before 1993. While Labor productivity of tradable goods sector increase faster than nontradable goods sector after 1993. On the basis of further analysis, we found tradable and nontradale goods sector wage move together. Since 1994, "Balassa-Samuelson effect" has been found in China, i.e., the increase on relative labor productivity between China and U.S. is the reason of appreciation of RMB real exchange rate against US Dollar, and the increase on relative labor productivity between China and OECD is the reason of appreciation of RMB real effective exchange rate.
Secondly, RMB real exchange rate and demand shock. In this part, we analyze theoretical relationship between government expends and real exchange rate. Then we carry on the empirical research on the relationship between RMB real exchange rate and government expends. Our study shows: an increase of China's government expends will lead to an appreciation of RMB real exchange rate, and an increase of the proportion which China's government expends on nontradable goods will also lead to an appreciation of RMB real exchange rate. Relatively, raise the proportion which China's government expends on nontradable goods can do more effect on RMB real exchange rate.
Thirdly, RMB real exchange rate and monetary shock. Through SVAR method, we carry on the empirical research on the relationship between RMB real exchange rate and monetary supply. We find: under fixed exchange rate system, an increase of monetary supply will lead to an appreciation of RMB real exchange rate immediately, but the effect is gradually decreasing.
Based on the analysis that how changes of Fundamental economy factors affect real exchange rate, we draw into the concept of "equilibrium real exchange rate" in part III. Under the frame of "equilibrium real exchange rate", we estimate equilibrium real exchange rate of RMB and misalignment of RMB. We select four variables as explaining variables of RMB real exchange rate, these variables including labor productivity, government expends, monetary supply and openness.Our study shows: (l)An increase of labor productivity will lead to an appreciation of RMB real exchange rate. An increase of government expends will lead to an appreciation of RMB real exchange rate. An increase of monetary supply will lead to a depreciation of RMB real exchange rate. An increase of openness will lead to a depreciation of RMB real exchange rate. (2)Misalignment of RMB real exchange rate in the period of 1980 to 2005 can be divided into several parts. In the period of 1980 to 1985, RMB real exchange rate is overvalued, which mainly result from RMB nominal exchange rate overvalued in that period. In the period of 1986 to 1995, RMB real exchange rate is undervalue, which mainly result from RMB nominal exchange rate depreciation in that period. The range of undervalue is smaller overtime since exchange rate regime reform in 1994. In the period of 1996 to 2003, RMB real exchange rate is overvalued. Since 2004, RMB real exchange rate has been undervalue, but the range of undervalue is small. To the situation of RMB's undervalue, we should regulate RMB real exchange rate to make it return to the equilibrium level.
引文
3 李嘉图在其《政治经济学及赋税原理》一书中将一国的经济部门区分为“母国部门”和“制造业部门”，这两个部门的差异主要体现在生产函数的不同特征上，前者生产函数的特征在于较低的生产率且难以提高，边际收益递减，其典型代表就是农业部门；后者生产函数特这在于相对较高且可以不断提升的生产率，典型代表是可贸易品的生产部门。李嘉图认为，这两个部门在生产率上的差异会反映在其价格水平上。对于制造业部门迅速发展的国家来讲，该国的母国部门的价格水平会高于相对制造业部门发展滞后的国家。
4 这里的均衡汇率水平指的是由各国可贸易品部门的价格决定的汇率水平。
5 可参见Sachs Jeffrey D．与Larrain B．Felipe(1992)《全球视角的宏观经济学》，上海人民出版社，2004年；Paul R．Krugman与Maurice Obstfeld(1998)《国际经济学》，中国人民大学出版社，1998年。
6 参见关志雄“中国GDP何日更上一层楼”发表于2002年2月20日，引自其《做好中国自己的事—“中国威胁论”引发的思考》，一节中第152-153页，中国商务出版社，2005年版。
7 对于1985—1993年期间不同部门产出总值的数据，我们通过计算可以得到该期间不同部门产出增加值的数据。具体做法是：本年产出增加值=本年产出总值-上一年产出总值
8 在岗职工是指调查时期(时点)在本企业工作并领取工资的职工，包括长期职工和临时职工。
9 其他从业人员是指按劳动统计过多部作为职工统计，但实际参加本企业生产或工作并取得劳动报酬的人员，包括再就业的离退休人员、民办教师、聘用的港、澳、台外籍人员。
10 卢峰(2006)指出：“该研究具体数据讨论细节相当复杂，大体机构是首先利用1995年工业普查、投入产出表以及有关工业和运输部门统计年鉴，对相关统计指标进行了仔细比较和评估；然后利用1992年投入产出表中的工业和制造业部门增加值及相关数据估算出净产值，并用这一增加值和净产值之间数量关系将1992年以前年份工业和制造业部门净增加值转换为增加值。”
11 我们在附表14报告了这一统计结果。
12 参见卢锋《我国劳动生产率增长及国际比较(1978—2004)——人民币实际汇率长期走势研究之一》，北京大学中国经济研究中心讨论稿系列，C2006004，2006年4月3日。
13 具体数据可参见附表14。
14 平稳性是指一个时间序列x_t的均值为常数，方差为常数，且对任何t，h≥1，Cov(x_t．x_(t+h))只取决于h，不取决于t。这只是平稳性的一种较弱形式的定义，但已经足够了。
15 谬误回归是指变量间根本没有关系，但采用t统计量的OLS回归往往会标示它们之间存在某种关系。
16 OECD成员国包括澳大利亚、比利时、加拿大、丹麦、法国、德国、意大利、日本、荷兰、挪威、瑞典、英国、美国。
17 卢锋：“我国劳动生产率增长及国际比较”，北京大学ccer工作论文，NO．C2006004，2006。
18 美国两部门相对劳动生产率指数通过计算美国制造业劳动生产率指数与美国服务业劳动生产率指数之比得出。
19 OECD整体的各部门劳动生产率数据由卢锋(2006)根据OECD各成员国的就业人数对各成员国的数据加权得出。
20 OECD两部门相对劳动生产率指数通过计算OECD制造业劳动生产率指数与服务业劳动生产率指数之比得出。
21 该数值通过分别计算中国制造业部门的劳动生产率与美国和OECD制造业部门的劳动生产率之比得出。
22 该数值通过分别计算中国服务业部门的劳动生产率与美国和OECD服务业部门的劳动生产率之比得出。
23 该数值通过分别计算中国两部门相对劳动生产率与美国和OECD两部门相对劳动生产率之比得出。
24 卢锋(2006)认为自1978年以来，中国始终存在巴拉萨—萨缪尔森效应。他认为1978
1 如李广众(2005)未将居民收入作为影响居民消费的重要变量纳入到计量模型中，我们认为有所不妥。
2 李广众(2005)的研究当中还考察了1952—1978年之间中国政府支出对居民消费的影响。
3 具体可参见Jacob A. Frenkel, Assaf Razin "Fiscal Policies and Growth in the World Economy", Cambridge, Mass: MIT Press, 1996。
4 平稳性是指一个时间序列x_t的均值为常数，方差为常数，且对任何t，h≥1，Cov(x_t．x_(t+h))只取决于h，不取决于t。这只是平稳性的一种较弱形式的定义，但已经足够了。
5 谬误回归是指变量间根本没有关系，但用了t统计量的OLS回归往往会标示它们之间存在某种关系。
6 De Gregorio和Wolf等在不同假设条件下研究了出口品的价格决定模型，具体可参见De Gregorio和Wolf(1994) "Terms of trade, productivity, and the real exchange rate" NBER Working Paper No. 4807。
7 具体可参见Peter J. Montiel, "Determinants of the Long-Run Equilibrium Real Exchange Rate," In: Lawance E. Hinkle. And Peter J. M. Exchange Rate Misalignment: Concepts and Measurement for Developing Countries [M]. New York: The World Bank, 1999:264—290。
8 当政府消费和私人消费之间是互相替代关系时，只有z_g(g_t)＞0，才能保证u_g(c，g)＞0。
9 具体可参见马荣华“相对政府支出对人民币实际汇率的影响”，当代经济科学，2005(6)57-63。
10 严格的说，应该是中国与美国政府相对非贸易品支出增加1％将导致人民币对美元实际汇率升值0.72％。
1 参见简泽(2006)“货币冲击的动态效果”一文。
2 参见John H．Rogers的“Monetary shocks and real exchange rates”一文，Journal of International Economics 269—288页。
3 关于真实冲击与名义冲击的具体定义本文已在第一章中予以了详细的论述，这里不再重述。
4 本章接下内容如不特别说明，t与t+1分别表示连续的两个时期。
5 具体可参见Flood(1981)，“Explanations of Exchange Rate Volatility and other Empirical Regularities in Some Popular Models of the Foreign Exchange Market”；Mussa(1982)，“A Model of Exchange Rate Dynamics” 。
6 本文中关于SVAR和VAR模型的相关介绍均参考自高铁梅主编的《计量经济分析方法与建模》，249-278页，清华大学出版社，2006。
7 带系数的各内生变量的当期值原本在式(5-22)的等号右边，经过移项并与等号左边带单位系数的内生变量合并而得出式(5-22)。
8 在后文中我们会对各变量进行平稳性检验，以验证式(5-25)是否合理。
9 在检验变量间的协整关系时，首先需要建立VAR模型，VAR模型的滞后阶数由AIC和SC信息准则确定。
1 详细可参见Hinkle和Montiel“Exchange rate misalignment: concepts and measurement for developing countries”，第11页。
2 Dornbusch(1990)在“Real exchange rates and macroeconomics: a selective survey”一文中，详细描述和分析了以上四类研究方法。
3 Hinkle和Montiel在“Exchange rate misalignment: concepts and measurement for developing countries”指出：“……The actual real exchange rate observed at any moment may be influenced by a variety of factors that may prove to be transitory. These include speculative "bubble" factors, actual values of predetermined variables the differ from their long-run, and transitory movements in both policy and exogenous variables.……”
4 施建淮和余海丰(2005)在“人民币均衡汇率与汇率失调：1991—2004”一文中指出：已有的实证文献已证明，实际汇率的时间序列不是平稳的，并且当使用非常长的样本或使用面板数据而发现它是均值反转时，其调向用相对价格显示的均衡路径的速度也是非常慢的。因此难以用购买力平价原理概念来解释实际汇率对其均衡水平的持久偏离。
5 详细参见Clark和Macdonald (1998)“Exchange rates and economic fundamentals: a methodological comparison of BEERS and FEERS”一文。
6 Clark和Macdonald (1998)在 "Exchange rates and economic fundamentals: a methodological comparison of BEERS and FEERS" 一文中指出: "……Thus in the BEER approach the total exchange rate misalignment at any point in time can be decomposed into the effect of transitory factors, random disturbances, and the extent to which the economic fundamental are away from their sustainable values. Whereas the FEER is exclusively a medium-to long-run concept, the BEER is more general in that it can in principle be used to explain cyclical movements in the real exchange rate. ……"
7 可参见Stein和Allen等人编写的“Fundamental determinants of exchange rates”一书，第6页。Stein指出“……Nurkse (1945) identified these same standards for an equilibrium exchange rate, although he did not call his rate the NATREX……”
8 可参见“Fundamental determinants of exchange rates”一书，第9页。Stein指出“……It is the rate implied by the real fundamentals and by the existing economic policies. We make no claims that these policies are socially optimal or welfare maximizing, or that the NATREX is the optimal real exchange rate, only the it is the equilibrium rate implied by the prevailing fundamentals……”
9 名义汇率作为一种资产价格是在外汇市场上决定的，我们知道资产价格的调整要快于商品价格的调整。因此，货币供给量的变动将首先通过影响名义汇率而影响实际汇率。
10 这一时期人民币兑美元名义汇率在2元／美元左右。
11 可参见许少强、马丹《实际汇率与中国宏观国际竞争力管理研究》，复旦大学出版社，2006年。
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4 这里的均衡汇率水平指的是由各国可贸易品部门的价格决定的汇率水平。
5 可参见Sachs Jeffrey D．与Larrain B．Felipe(1992)《全球视角的宏观经济学》，上海人民出版社，2004年；Paul R．Krugman与Maurice Obstfeld(1998)《国际经济学》，中国人民大学出版社，1998年。
6 参见关志雄“中国GDP何日更上一层楼”发表于2002年2月20日，引自其《做好中国自己的事—“中国威胁论”引发的思考》，一节中第152-153页，中国商务出版社，2005年版。
7 对于1985—1993年期间不同部门产出总值的数据，我们通过计算可以得到该期间不同部门产出增加值的数据。具体做法是：本年产出增加值=本年产出总值-上一年产出总值
8 在岗职工是指调查时期(时点)在本企业工作并领取工资的职工，包括长期职工和临时职工。
9 其他从业人员是指按劳动统计过多部作为职工统计，但实际参加本企业生产或工作并取得劳动报酬的人员，包括再就业的离退休人员、民办教师、聘用的港、澳、台外籍人员。
10 卢峰(2006)指出：“该研究具体数据讨论细节相当复杂，大体机构是首先利用1995年工业普查、投入产出表以及有关工业和运输部门统计年鉴，对相关统计指标进行了仔细比较和评估；然后利用1992年投入产出表中的工业和制造业部门增加值及相关数据估算出净产值，并用这一增加值和净产值之间数量关系将1992年以前年份工业和制造业部门净增加值转换为增加值。”
11 我们在附表14报告了这一统计结果。
12 参见卢锋《我国劳动生产率增长及国际比较(1978—2004)——人民币实际汇率长期走势研究之一》，北京大学中国经济研究中心讨论稿系列，C2006004，2006年4月3日。
13 具体数据可参见附表14。
14 平稳性是指一个时间序列x_t的均值为常数，方差为常数，且对任何t，h≥1，Cov(x_t．x_(t+h))只取决于h，不取决于t。这只是平稳性的一种较弱形式的定义，但已经足够了。
15 谬误回归是指变量间根本没有关系，但采用t统计量的OLS回归往往会标示它们之间存在某种关系。
16 OECD成员国包括澳大利亚、比利时、加拿大、丹麦、法国、德国、意大利、日本、荷兰、挪威、瑞典、英国、美国。
17 卢锋：“我国劳动生产率增长及国际比较”，北京大学ccer工作论文，NO．C2006004，2006。
18 美国两部门相对劳动生产率指数通过计算美国制造业劳动生产率指数与美国服务业劳动生产率指数之比得出。
19 OECD整体的各部门劳动生产率数据由卢锋(2006)根据OECD各成员国的就业人数对各成员国的数据加权得出。
20 OECD两部门相对劳动生产率指数通过计算OECD制造业劳动生产率指数与服务业劳动生产率指数之比得出。
21 该数值通过分别计算中国制造业部门的劳动生产率与美国和OECD制造业部门的劳动生产率之比得出。
22 该数值通过分别计算中国服务业部门的劳动生产率与美国和OECD服务业部门的劳动生产率之比得出。
23 该数值通过分别计算中国两部门相对劳动生产率与美国和OECD两部门相对劳动生产率之比得出。
24 卢锋(2006)认为自1978年以来，中国始终存在巴拉萨—萨缪尔森效应。他认为1978
1 如李广众(2005)未将居民收入作为影响居民消费的重要变量纳入到计量模型中，我们认为有所不妥。
2 李广众(2005)的研究当中还考察了1952—1978年之间中国政府支出对居民消费的影响。
3 具体可参见Jacob A. Frenkel, Assaf Razin "Fiscal Policies and Growth in the World Economy", Cambridge, Mass: MIT Press, 1996。
4 平稳性是指一个时间序列x_t的均值为常数，方差为常数，且对任何t，h≥1，Cov(x_t．x_(t+h))只取决于h，不取决于t。这只是平稳性的一种较弱形式的定义，但已经足够了。
5 谬误回归是指变量间根本没有关系，但用了t统计量的OLS回归往往会标示它们之间存在某种关系。
6 De Gregorio和Wolf等在不同假设条件下研究了出口品的价格决定模型，具体可参见De Gregorio和Wolf(1994) "Terms of trade, productivity, and the real exchange rate" NBER Working Paper No. 4807。
7 具体可参见Peter J. Montiel, "Determinants of the Long-Run Equilibrium Real Exchange Rate," In: Lawance E. Hinkle. And Peter J. M. Exchange Rate Misalignment: Concepts and Measurement for Developing Countries [M]. New York: The World Bank, 1999:264—290。
8 当政府消费和私人消费之间是互相替代关系时，只有z_g(g_t)＞0，才能保证u_g(c，g)＞0。
9 具体可参见马荣华“相对政府支出对人民币实际汇率的影响”，当代经济科学，2005(6)57-63。
10 严格的说，应该是中国与美国政府相对非贸易品支出增加1％将导致人民币对美元实际汇率升值0.72％。
1 参见简泽(2006)“货币冲击的动态效果”一文。
2 参见John H．Rogers的“Monetary shocks and real exchange rates”一文，Journal of International Economics 269—288页。
3 关于真实冲击与名义冲击的具体定义本文已在第一章中予以了详细的论述，这里不再重述。
4 本章接下内容如不特别说明，t与t+1分别表示连续的两个时期。
5 具体可参见Flood(1981)，“Explanations of Exchange Rate Volatility and other Empirical Regularities in Some Popular Models of the Foreign Exchange Market”；Mussa(1982)，“A Model of Exchange Rate Dynamics” 。
6 本文中关于SVAR和VAR模型的相关介绍均参考自高铁梅主编的《计量经济分析方法与建模》，249-278页，清华大学出版社，2006。
7 带系数的各内生变量的当期值原本在式(5-22)的等号右边，经过移项并与等号左边带单位系数的内生变量合并而得出式(5-22)。
8 在后文中我们会对各变量进行平稳性检验，以验证式(5-25)是否合理。
9 在检验变量间的协整关系时，首先需要建立VAR模型，VAR模型的滞后阶数由AIC和SC信息准则确定。
1 详细可参见Hinkle和Montiel“Exchange rate misalignment: concepts and measurement for developing countries”，第11页。
2 Dornbusch(1990)在“Real exchange rates and macroeconomics: a selective survey”一文中，详细描述和分析了以上四类研究方法。
3 Hinkle和Montiel在“Exchange rate misalignment: concepts and measurement for developing countries”指出：“……The actual real exchange rate observed at any moment may be influenced by a variety of factors that may prove to be transitory. These include speculative "bubble" factors, actual values of predetermined variables the differ from their long-run, and transitory movements in both policy and exogenous variables.……”
4 施建淮和余海丰(2005)在“人民币均衡汇率与汇率失调：1991—2004”一文中指出：已有的实证文献已证明，实际汇率的时间序列不是平稳的，并且当使用非常长的样本或使用面板数据而发现它是均值反转时，其调向用相对价格显示的均衡路径的速度也是非常慢的。因此难以用购买力平价原理概念来解释实际汇率对其均衡水平的持久偏离。
5 详细参见Clark和Macdonald (1998)“Exchange rates and economic fundamentals: a methodological comparison of BEERS and FEERS”一文。
6 Clark和Macdonald (1998)在 "Exchange rates and economic fundamentals: a methodological comparison of BEERS and FEERS" 一文中指出: "……Thus in the BEER approach the total exchange rate misalignment at any point in time can be decomposed into the effect of transitory factors, random disturbances, and the extent to which the economic fundamental are away from their sustainable values. Whereas the FEER is exclusively a medium-to long-run concept, the BEER is more general in that it can in principle be used to explain cyclical movements in the real exchange rate. ……"
7 可参见Stein和Allen等人编写的“Fundamental determinants of exchange rates”一书，第6页。Stein指出“……Nurkse (1945) identified these same standards for an equilibrium exchange rate, although he did not call his rate the NATREX……”
8 可参见“Fundamental determinants of exchange rates”一书，第9页。Stein指出“……It is the rate implied by the real fundamentals and by the existing economic policies. We make no claims that these policies are socially optimal or welfare maximizing, or that the NATREX is the optimal real exchange rate, only the it is the equilibrium rate implied by the prevailing fundamentals……”
9 名义汇率作为一种资产价格是在外汇市场上决定的，我们知道资产价格的调整要快于商品价格的调整。因此，货币供给量的变动将首先通过影响名义汇率而影响实际汇率。
10 这一时期人民币兑美元名义汇率在2元／美元左右。
11 可参见许少强、马丹《实际汇率与中国宏观国际竞争力管理研究》，复旦大学出版社，2006年。
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