摘要
人民币汇率政策效应机制直接关系到我国宏观经济调控体系的完善，完善宏观调控体系和人民币汇率制度改革是中国经济长河中两个长期的热点问题，随着经济总量的显著提升和宏观经济对外依存度的增强，我国宏观经济调控目标逐步确立为保持经济增长稳定和币值稳定，这既是经济处于调整期的基本保障，又是我国当前及今后时期发展的核心策略。汇率是联结一国经济内部与外部的重要枢纽，人民币汇率政策效应作为货币政策效应的重要组成部分共同促进我国货币政策最终目标的顺利实现。与西方发达国家浮动汇率制下市场化汇率政策不同，人民币汇率政策一直以来被我国央行所控制，根据相关理论，此汇率制度下二者在实现政策目标的过程中不可避免会相互影响、相互制约，因此本文重在分析货币政策与汇率政策同时对国内经济产生影响的情况下，人民币汇率政策效应的具体表现和货币政策对汇率政策经济效应机制的影响情况，以及人民币汇率政策与货币政策的冲突与协调性。
货币政策与汇率政策通过各自政策效应预期搭配以实现宏观调控目标，但是这种搭配在我国长久以来汇率制度限制的作用下往往效率一般，宏观经济环境又可能对二者的效应产生影响，因此，本文希望通过对人民币汇率政策效应进行实证检验的方式探寻人民币汇率政策对货币政策效应的影响程度，以及人民币汇率政策受货币政策的影响程度，以此对人民币汇率政策效应的有效性以及货币政策的独立性进行客观的分析与评价，最后对央行汇率政策以及货币政策的制定给予建设性意见和建议。
“Meade冲突”开启了理论界对汇率政策与货币政策相互关系研究的大门，本文以经典的M-F模型入手，分析了货币当局选择不同汇率政策与资本流动情况下的货币政策有效性，在此基础上以人民币汇率政策实际出发，对模型进行扩展，研究人民币汇率政策下货币政策调控机制。之后，借助四象限模型洞察了Dornbusch模型中商品价格与资产价格变量动态调整的过程，和汇率水平调整的幅度以及利率与汇率联动的特征，并以Redux为样板介绍了NOEM分析政策效应的基本框架。由此对汇率政策和货币政策相互问题从根源到发展都进行了详细的介绍，并针对人民币汇率政策进行了扩展分析。
实证部分，首先基于通货膨胀环境变化视角对人民币汇率政策的通货膨胀传递效应进行了实证检验，通过ARDL模型对我国的“Taylor效应”进行了验证，无论是长期还是短期，人民币汇率的CPI传递效应均较低，而且低通胀环境下汇率传递效应显著低于总样本期的传递效应。汇率传导渠道效应检验对通货膨胀环境影响汇率传递效应进行了合理的解释，低通货膨胀环境下直接渠道和货币渠道均受到阻碍；高通货膨胀环境下，直接渠道的传递效应通畅，但是货币渠道的反向作用对传递效应的低效率起到了决定性作用。
其次，基于贸易商品定价货币选择视角对人民币汇率政策支出转换效应进行了研究，从出口厂商利润最大化模型入手导出了本章的实证计量模型，以NOEM模型为基础，在前人的思路下对贸易商品定价货币内生性进行了模型分析。通过Wald系数检验和基于时变参数状态空间模型的分析发现，人民币汇率政策的支出转换效应在一定程度上受制于人民币货币政策，但是货币政策对其影响程度有限。因此，要提高人民币汇率政策的支出转换政策效应，需要战略性的将贸易商品的定价货币选择权与人民币货币政策实施情况相互配合，在不使人民币供给波动过大的情况下提高人民币汇率政策的支出转换效应。
再次，对人民币汇率—利率联动效应的实证检验，兼论了我国金融状况指数的构建。基于利率平价模型和粘性货币模型在我国的适用性，对人民币汇率—利率联动效应进行了实证检验，在此基础上运用多变量VAR模型脉冲响应分析，对人民币汇率—利率的影响方向及程度和对人民币汇率、利率对其他价格变量的冲击响应进行了更加细致的分析。在此基础上构建了我国的FCI，并分析了其作为央行应对汇率市场冲击和金融市场冲击的重要政策工具的可行性。实证结果表明，人民币汇率—利率联动效应的货币渠道比较通畅，汇率可以通过影响利率水平来对国内经济产生影响，因此我国货币政策利率工具和人民币汇率政策的搭配对整体经济价格的影响是比较显著的。加入真实汇率、真实利率、股票价格和房地产价格的我国FCI，对CPI的解释能力较强，可以作为我国央行应对汇率市场冲击和金融市场冲击的重要政策工具。
最后，是基于MS-VAR非对称性模型对人民币汇率政策与货币政策冲突效应实证检验，分析了1994年人民币汇率制度改革至今，人民币汇率政策与货币政策冲突表现形式和原因，发现人民币汇率政策与货币政策的冲突在于对市场流动性的控制上，汇率政策通过外汇储备对流动性进行控制，货币政策通过公开市场操作以冲销汇率政策对流动性的影响，尽可能维持其独立性。在对MS-VAR模型进行简要介绍的基础上，选取MSIH(3)-VAR(2)模型对我国实际情况进行检验，通过模型估算和分区制的脉冲响应分析，根据模型估算结果和分区制脉冲响应图分析人民币汇率政策与货币政策的冲突性与协调性。实证结果表明，高通货膨胀区制下，我国外汇储备的增加会导致市场流动性迅速增加，通货膨胀相对平稳的区制下，虽然外汇储备量的增加导致市场流动性的增加不是特别显著，但是由于通畅的传导机制，物价水平的上升幅度比预期的快；在高通货膨胀区制下外汇储备的上升会制约我国宏观经济的增长，而且此区制下外汇储备的增加会对金融市场造成泡沫化程度增加的危险。人民币汇率的升值会在一定程度上减少外汇储备，央行在制定汇率政策的时候必须对这两者进行权衡。
本文在研究人民币汇率政策几个重要效应的文章主线基础上，侧重研究了人民币货币政策对汇率政策效应的影响程度，以及现行汇率政策对货币政策效应的冲击。通过实证分析可以充分了解人民币汇率政策的各种宏观经济效应有效性，以及汇率政策与货币政策相互影响的作用机制，为我国央行今后制定货币政策操作目标和最终目标、人民币汇率政策的调整方向给出了中肯的建议和意见。
RMB exchange rate policy effects directly related to the improvement of China'smacroeconomic control system. Improveing macro-control effects and the reform of RMBexchange rate regime are hot issues of the Chinese economy, with significantly improveingGDP and enhancing macroeconomic external dependence, macroeconomic targets graduallyestablished in order to maintain economic grow stably and stability of RMB, which is both anadjustment of the basic economic security and a core strategy during the current and futuredevelopment of our country. Exchange rate as a link inside and outside a country's economy, animportant hub for the RMB exchange rate policy as an important instrument of monetarypolicy, them should work together to achieve the ultimate goal of monetary policy. Differentfrom policies and market-oriented floating exchange rate system in developed countries, RMBexchange rate policy has long been under the control of the central bank, according to thetheory, both of the two polices will inevitably affect each other in the process of achievingpolicy objectives, this paper focus on the analysis when monetary policy and exchange ratepolicy impacting on the domestic economy, the effects of RMB exchange rate policy and thespecific performance of monetary policy on the exchange rate mechanism of the economiceffects, as well as the conflict and coordination effect of exchange rate policy effects ofmonetary policy.
Monetary policy and exchange rate policy mix to achieve the expected effect of themacro-control goals, but this match for a long time within the limits of the exchange rateregime often inefficient in general, and policy effects arising from the macroeconomicenvironment itself might effect the impact between them, therefore, this article hopes in themode of texting the RMB exchange rate policy effects to explore the situation RMB exchangerate policies affect the monetary policy, in order to find the effectiveness of RMB exchangerate policy and independence of monetary policy objective, and give some constructivecomments and suggestions in the future.
"Meade conflict" knock the door of researching on the exchange rate and monetarypolicies relationships, the classic M-F model analyzes the effects of monetary policy under thedifferent exchange rate policys and capital flow restrictions, on this basis, this paper extend toresearch the effect of monetary policy under the RMB exchange rate policy. Four-quadrantperspective insight into the process of dynamic adjustment variable price and asset prices ofDornbusch model, and the linkage magnitude and characteristics between exchange rate adjustments and interest rates change. Redux model describes the basic framework for theanalysis of policy of NOEM. This part introduce the exchange rate and monetary policies fromthe root to the development of mutual problems detailly, and extended analysis for the RMBexchange rate policy.
Firstly, an empirical test of RMB exchange rate policy pass through of inflation based onthe changes of inflation environment is resrsched, frist through ARDL model test the “Tayloreffect”, it shows that either long-term or short-term CPI pass-through effect of the exchangerate is lower and the effect of exchange rate pass under low inflation environment issignificantly lower than the pass-through effect of the total sample period. Effects of exchangerate transmission channel give a reasonable explanation on the impact on inflation ratepass-through effect, under the direct channel and monetary channel are hampered by lowinflation environment; under high inflation environment, the pass-through effect of directchannels goes smoothly, but monetary channels reverse the role of inefficient transmissioneffect has played a decisive role.
Secondly, based on the pricing currency options, empirical test on the RMB exchange ratepolicy expenditure switching effect, starting from the profit maximization model from exportmanufacturers to get the empirical measurement model, then analyzing the selected currencypricing factors endogenous based NOEM model. By Wald coefficient test and analysis oftime-varying parameters based on State Space model found that RMB exchange rate policyexpenditure switching effect some extent constrained by RMB monetary policy, but the impactis limited. Therefore, policies should improve the RMB exchange rate expenditure switchingeffect by cooperateing the pricing currency of imported goods and RMB monetary policystrategic, and to improve the RMB exchange rate policy expenditure switching withoutexcessive fluctuations in the RMB supply situation effects.
Again, empirical test study on the RMB exchange rate-interest rate linkage effect, andbuild the China’s Financial Condition Index. RMB exchange rate-interest rate linkage effecttest wants to text the feasibility interest rate parity model and viscous monetary modelapplicability in China, using a VAR model impulse response to analysis the direction and theextent of RMB exchange rate influence the of interest rates, and detailed analysis on the shocksinfluence other prices responses. Finally, this paper analyzes the feasibility of the China’s FCI,and the impact of the financial market as an important policy tool of the central bank torespond. The empirical results show that, the RMB exchange rate on the interest rate effect ofmonetary channel is relatively smooth, the exchange rate can have an impact on the domesticeconomy by affecting the level of interest rate, thus affecting the mix of monetary policyinterest rate instruments and the RMB exchange rate policy on the overall economic prices ismore significant. China’s FCI joining with the real exchange rate, real interest rates, stockprices and real estate prices, having the ability to interpretate CPI, so it can serve as animportant policy tool of the central bank to deal with the impact of the exchange rate market and financial market shocks.
Finally, is the empirical test of the effect of exchange rate policy and monetary policyconflict based on the asymmetry of MS-VAR model, analyzing the reason of RMB exchangerate and monetary policies conflict. First, founding the main reason of RMB exchange ratepolicy and monetary policy conflicts is xcess of the market liquidity, exchange rate policycontrols liquidity through rising foreign exchange reserves, monetary policy through openmarket operations to offset the impact of exchange rate policy on liquidity as possible tomaintain their independence. Based on the briefly selected MSIH (3)-VAR (2) model to test theactual situation of China, model estimated and respectively impulse response analysises findthe conflict effect and the coordination effect of exchange rate policy and monetary policy.Empirical results show that, under the high inflation regime, increasing foreign exchangereserves will lead to a rapid ascension of market liquidity, under the smooth regime, althoughthe increase in foreign exchange reserves has led to an increase in market liquidity but notparticularly remarkable, may because of the smooth transmission mechanism, the price levelrise faster than expected; under high inflation regime, rising foreign exchange reserves wouldlimit the growth of China's macro-economy, and under this regime, increaseing foreignexchange reserves cause the bubble in financial markets. Appreciation of the RMB exchangerate will reduce foreign exchange reserves, the central bank's exchange rate policy formulationmust be weighed between them.
In this paper, besides the important articles mainline researching on the several importanteffects of RMB exchange rate policy, specially researchs the impacts of monetary policy on theRMB exchange rate policy effects, as well as the impacts of the current exchange rate policyon monetary policy effects. Through the empirical analysises we can understand effectivenessof various macro-economic effects the RMB exchange rate policy, as well as the mechanism ofexchange rate and monetary policies affect each other. Last, this paper brings somerecommendations and opinions for the development of China's central bank monetary policygoals and the ultimate goal of the operation, as well as the adjustment of the RMB exchangerate policy direction.
引文
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