人民币汇率决定修正模型及实证分析
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摘要
随着经济和金融全球化的加速推进,世界经济一体化的特征愈加明显。2007年美国次贷危机迅速演变为全球金融危机也表明世界各国经济的紧密联系。在各国应对此次危机的措施中,保持汇率相对稳定已经成为共识。汇率作为宏观经济中的重要变量,对世界各国经济稳定起着举足轻重的作用。
各国政府根据自身经济发展水平和经济运行状况自主选择汇率制度和汇率政策。2005年7月21日,我国放弃盯住单一美元,开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。人民币汇率形成机制改革后,人民币汇率持续升值。从2005年7月21日到2009年12月底,人民币汇率累计升值20%。虽然汇率较改革初期有了较大幅度的升值,但升值压力并未消除。金融危机以来,美国、日本再次以人民币汇率问题向中国施压；多个国家对华采取反倾销等手段,目标直指中国汇率。
汇率决定理论是国际金融理论的核心内容之一,主要分析汇率由哪些因素决定和影响。本文在介绍和对比西方主流汇率决定理论的基础之上,选取理论假设接近我国的多恩布什汇率模型进行修正,结合我国特定国情建立人民币汇率决定修正模型,并通过1994年至2009年季度数据进行实证分析,为人民币汇率形成机制改革提出建议。
本文的框架结构分为四个部分：
第一部分是本文的理论基础,介绍了金本位制崩溃之后提出的汇率决定理论,分为早期汇率决定理论和现代汇率决定理论。早期汇率决定理论包括购买力平价说、利率平价说和传统的流量分析理论。现代汇率决定理论大致分为货币分析法和资产市场分析理论。
第二部分先介绍人民币汇率决定理论的相关文献,然后选择与我国实际较接近的多恩布什模型结合我国发展现状进行修正,建立由商品市场、货币市场和国际资产市场均衡构成的汇率决定修正模型,进行图式分析,并推导出汇率决定修正方程。
第三部分对本文推导出的人民币汇率决定修正方程进行实证分析。变量包括人民币汇率均值、货币供给量、中国国内生产总值、美国联邦基金利率、中国资本控制程度、中国关税收入和进口金额。其中中国资本控制程度通过Kalman滤波方法估计求得。选取数据是从1994年到2009年的季度数据。
第四部分是本文结论和政策建议。随着世界经济的融合,中国逐步降低甚至取消了一些关税,现在关税对汇率影响已经很微弱。中国对资本控制也在逐渐放开,资本能够自由转移,汇率也能够较好地反映人民币的供求状况。但是还不能真实地反映我国经济实力。为了保持汇率稳定并且反映我国真实经济状况,我国应当加快经济结构调整,转变经济发展方式；加速利率市场化进程,这样利率能够真正代表货币市场均衡的水平,从而汇率能够合理波动；继续推动汇率机制改革,完善外汇做市商制度；按照顺序逐步放松资本管制。本文选取的是人民币对美元汇率,采用的直接标价法,即以一美元为标准可兑换多少人民币。
Along with the rapid globalization of economy and finance, the integration of world economy is obvious day by dy. The global financial crisis, which is caused by the US subprime crisis in 2007, indicates that countries become more closely related, especially in economic field. Exchange rate is such a key variable in macro economy that its fluctuations have great influence on resource allocation.
Governments choose matching rate regime and policies in accordance with their economic development and domestic economy movement condition, respectively. On July 21st 2005, the People's Bank of China(PBOC) announced its adoption of a managed floating exchange rate regime based on market condition with reference to a basket of currencies, and the USD was on longer the only foreign currency to which RMB pegged. After the reform of the mechanism for setting the RMB exchange rate, RMB continues to appreciate. The appreciation of RMB against USD had been up to 20% from Jul.21st 2005 to Dec.31st 2009. Although RMB has a significant appreciation, there are still more upward pressures. Since the financial crisis, America and Japan bring up the exchange rate issue again and clamp down on China; Some countries adopt anti-dumping measures to China, targeting RMB exchange rate.
Exchange rate determination theories are one of the cores of the international financial theory, which study about which factors determine and affect the exchange rate, This paper choose to modify Dornbusch model according to the actual conditions in China on the base of the introduction and contrast of Western exchange rate determination theories. This paper constructs a new RMB exchange rate determination correction model, and does an empirical analysis using quarter data from 1994 to 2009. At the end of the paper, the author give some advices on the reform ofthe RMB rate forming mechanism.
The main framework of this paper includes four parts:
The first part is the theoretical basis of this paper, which introduced exchange rate determination theories after the collapse of the gold standard. These theories are divided into two categories:early exchange rate determination theory and modern exchange rate theory. The former includes PPP, IRPT and traditional flow analysis.
The second part first gives an outline of domestic literatures on RMB exchange rate determination theory. Though the analysis, this paper modifies Dornbusch model according to China'economic condition. Then under the premises, exchange rate determination correction model is built, which includes commodity market, currency market and international asset market. This paper analyzes the correction model though graphs, and derives the exchange rate determination correction equation.
The third part doer an empirical analysis on the correction equation derived in the above part. The variables concerned include the mean value of RMB exchange rate, money supply, GDP, federal fund rate, China's customs revenue, value of imports and capital control degree, which is obtained through Kalman filtering method. Selected seasonally data are from 1994 to 2009.
The last part mainly give policy advices according to the above conclusions. With the integration of world economy, China has gradually reduce customs tax, and even abolish some kinds. Now tariffs have weak impact on the exchange rate of RMB. The Chinese Government are relaxing capital controls. Capitals can freely transfer. In order to maintain a stable exchange rate and to reflect China's real economic conditions, China should accelerate economic restructuring, and transform the mode of economic development; China should speed up the process of interest rate liberalization. so the interest rate can truly represent the equilibrium of the money market; improve the foreign exchange market maker system, and continue to promote the reform of the exchange rate forming mechanism; relax capital controls step by step.
各国政府根据自身经济发展水平和经济运行状况自主选择汇率制度和汇率政策。2005年7月21日,我国放弃盯住单一美元,开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。人民币汇率形成机制改革后,人民币汇率持续升值。从2005年7月21日到2009年12月底,人民币汇率累计升值20%。虽然汇率较改革初期有了较大幅度的升值,但升值压力并未消除。金融危机以来,美国、日本再次以人民币汇率问题向中国施压；多个国家对华采取反倾销等手段,目标直指中国汇率。
汇率决定理论是国际金融理论的核心内容之一,主要分析汇率由哪些因素决定和影响。本文在介绍和对比西方主流汇率决定理论的基础之上,选取理论假设接近我国的多恩布什汇率模型进行修正,结合我国特定国情建立人民币汇率决定修正模型,并通过1994年至2009年季度数据进行实证分析,为人民币汇率形成机制改革提出建议。
本文的框架结构分为四个部分：
第一部分是本文的理论基础,介绍了金本位制崩溃之后提出的汇率决定理论,分为早期汇率决定理论和现代汇率决定理论。早期汇率决定理论包括购买力平价说、利率平价说和传统的流量分析理论。现代汇率决定理论大致分为货币分析法和资产市场分析理论。
第二部分先介绍人民币汇率决定理论的相关文献,然后选择与我国实际较接近的多恩布什模型结合我国发展现状进行修正,建立由商品市场、货币市场和国际资产市场均衡构成的汇率决定修正模型,进行图式分析,并推导出汇率决定修正方程。
第三部分对本文推导出的人民币汇率决定修正方程进行实证分析。变量包括人民币汇率均值、货币供给量、中国国内生产总值、美国联邦基金利率、中国资本控制程度、中国关税收入和进口金额。其中中国资本控制程度通过Kalman滤波方法估计求得。选取数据是从1994年到2009年的季度数据。
第四部分是本文结论和政策建议。随着世界经济的融合,中国逐步降低甚至取消了一些关税,现在关税对汇率影响已经很微弱。中国对资本控制也在逐渐放开,资本能够自由转移,汇率也能够较好地反映人民币的供求状况。但是还不能真实地反映我国经济实力。为了保持汇率稳定并且反映我国真实经济状况,我国应当加快经济结构调整,转变经济发展方式；加速利率市场化进程,这样利率能够真正代表货币市场均衡的水平,从而汇率能够合理波动；继续推动汇率机制改革,完善外汇做市商制度；按照顺序逐步放松资本管制。本文选取的是人民币对美元汇率,采用的直接标价法,即以一美元为标准可兑换多少人民币。
Along with the rapid globalization of economy and finance, the integration of world economy is obvious day by dy. The global financial crisis, which is caused by the US subprime crisis in 2007, indicates that countries become more closely related, especially in economic field. Exchange rate is such a key variable in macro economy that its fluctuations have great influence on resource allocation.
Governments choose matching rate regime and policies in accordance with their economic development and domestic economy movement condition, respectively. On July 21st 2005, the People's Bank of China(PBOC) announced its adoption of a managed floating exchange rate regime based on market condition with reference to a basket of currencies, and the USD was on longer the only foreign currency to which RMB pegged. After the reform of the mechanism for setting the RMB exchange rate, RMB continues to appreciate. The appreciation of RMB against USD had been up to 20% from Jul.21st 2005 to Dec.31st 2009. Although RMB has a significant appreciation, there are still more upward pressures. Since the financial crisis, America and Japan bring up the exchange rate issue again and clamp down on China; Some countries adopt anti-dumping measures to China, targeting RMB exchange rate.
Exchange rate determination theories are one of the cores of the international financial theory, which study about which factors determine and affect the exchange rate, This paper choose to modify Dornbusch model according to the actual conditions in China on the base of the introduction and contrast of Western exchange rate determination theories. This paper constructs a new RMB exchange rate determination correction model, and does an empirical analysis using quarter data from 1994 to 2009. At the end of the paper, the author give some advices on the reform ofthe RMB rate forming mechanism.
The main framework of this paper includes four parts:
The first part is the theoretical basis of this paper, which introduced exchange rate determination theories after the collapse of the gold standard. These theories are divided into two categories:early exchange rate determination theory and modern exchange rate theory. The former includes PPP, IRPT and traditional flow analysis.
The second part first gives an outline of domestic literatures on RMB exchange rate determination theory. Though the analysis, this paper modifies Dornbusch model according to China'economic condition. Then under the premises, exchange rate determination correction model is built, which includes commodity market, currency market and international asset market. This paper analyzes the correction model though graphs, and derives the exchange rate determination correction equation.
The third part doer an empirical analysis on the correction equation derived in the above part. The variables concerned include the mean value of RMB exchange rate, money supply, GDP, federal fund rate, China's customs revenue, value of imports and capital control degree, which is obtained through Kalman filtering method. Selected seasonally data are from 1994 to 2009.
The last part mainly give policy advices according to the above conclusions. With the integration of world economy, China has gradually reduce customs tax, and even abolish some kinds. Now tariffs have weak impact on the exchange rate of RMB. The Chinese Government are relaxing capital controls. Capitals can freely transfer. In order to maintain a stable exchange rate and to reflect China's real economic conditions, China should accelerate economic restructuring, and transform the mode of economic development; China should speed up the process of interest rate liberalization. so the interest rate can truly represent the equilibrium of the money market; improve the foreign exchange market maker system, and continue to promote the reform of the exchange rate forming mechanism; relax capital controls step by step.
引文
6UIRP是Uncovered Interest Rate Parity的缩写CIRP是Covered Interest Rate Parity的缩写。
7姜波克： 《国际金融新编》。上海：复旦大学出版社,2000。
10 多恩布什： 《预期和汇率动态》,载《政治经济学月刊》,1976,84期
13 张晓朴：《人民币均衡汇率理论与模型》,载《经济研究》,1999(12)；《人民币均衡汇率研究》,北京,中国金融出版社,2001.。
14 唐国兴、提云涛： 《汇率决定的资产组合平衡模型的修正及其实证研究》,载《数量经济技术经济研·究》,1999(5)。
15 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》,载《经济研究》,2002(12)。
16 孙茂辉： 《人民币自然均衡实际汇率：1978-2004》,载《经济研究》,2006(11)。
17 施建淮,余海丰： 《人民币均衡汇率与汇率失调：1991-204》,载《经济研究》,2005(4)
18 来源于新华网。标题为《2009年世界前18大经济体GDP排名：：前三名分别为美国(142587亿美元),日本(50730.45亿美元),中国(49092.81亿美元)
23 Hugo Restall, "Robert Mundell and the Yuan Riddle", The Wall Street Journal, June,2007.
24 姜波克： 《国际金融学》,复旦大学出版社(第二版),2000：94.
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7姜波克： 《国际金融新编》。上海：复旦大学出版社,2000。
10 多恩布什： 《预期和汇率动态》,载《政治经济学月刊》,1976,84期
13 张晓朴：《人民币均衡汇率理论与模型》,载《经济研究》,1999(12)；《人民币均衡汇率研究》,北京,中国金融出版社,2001.。
14 唐国兴、提云涛： 《汇率决定的资产组合平衡模型的修正及其实证研究》,载《数量经济技术经济研·究》,1999(5)。
15 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》,载《经济研究》,2002(12)。
16 孙茂辉： 《人民币自然均衡实际汇率：1978-2004》,载《经济研究》,2006(11)。
17 施建淮,余海丰： 《人民币均衡汇率与汇率失调：1991-204》,载《经济研究》,2005(4)
18 来源于新华网。标题为《2009年世界前18大经济体GDP排名：：前三名分别为美国(142587亿美元),日本(50730.45亿美元),中国(49092.81亿美元)
23 Hugo Restall, "Robert Mundell and the Yuan Riddle", The Wall Street Journal, June,2007.
24 姜波克： 《国际金融学》,复旦大学出版社(第二版),2000：94.
[1]Abuaf, N.& P. Jorion. Purchasing Power Parity in the Long Run [J]. Journal of Finance,1990, (45):157-174;
[2]Bilson, J. F. O. The Monetary Approach to the Exchange Rate:Some Empirical Evidence [J]. International Monetary Fund Staff Papers,1978,(25): 48-75;
[3]Branson, W. H. Macroeconomic Determinants of Real Exchange Risk [A]. In R.J. Herring(eds.). Managing Foreign Exchange Risk [C]. Cambridge: Cambridge University Press.1983;
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