人民币均衡汇率及汇率特性与传递效应研究

发布时间：2018-01-07 10:12

本文关键词：人民币均衡汇率及汇率特性与传递效应研究　出处：《南京航空航天大学》2013年博士论文　论文类型：学位论文

【摘要】：自从十一届三中全会以来，随着改革开放政策的实施，我国对外贸易日益活跃。在1981-1989年之间，我国对外贸易逆差平均每年为41.72亿美元，2008年我国贸易顺差2954.7亿美元，在不到20年的时间内，我国不仅扭转了贸易逆差的局面，而且使贸易顺差达到了接近3000亿美元的峰值。巨额的贸易顺差，使得人民币汇率问题也越来越受到国际社会的关注。在西方社会特别是美国普遍认为：中国对外贸易收支持续保持大幅度顺差的原因，是由于人民币人为地被低估了，低估了的人民币使得中国在与西方贸易交往过程中保持了不正当贸易优势。特别是近几年，国际社会要求人民币升值的压力不断增大。可以说，这种压力是促使2005年7月21日人民币汇率制度改革的主要推动力之一。据统计，按照2005年汇改当日的人民币对美元中间价8.11来计算，至2011年为此，人民币对美元已经升值超过20%；但是，要求人民币继续升值的呼声并没有因此而减弱。因此，人民币汇率问题自中国对外贸易存在巨大顺差以来，一直是最热门的研究话题之一。研究人民币汇率均衡、相关特性及其对其它经济变量的影响，不仅具有重大的理论价值，同样，也具有重大的现实意义。本文通过构建新模型，创建多重复合协整技术（MICCT）计量方法，运用ARFIMA-FIGARCH、VAR-GARCH-BEKK等前沿性计量方法，对人民币均衡汇率及其相关问题进行了深入研究，通过研究发现：第一、运用多重复合协整技术（MICCT）研究人民币汇率长期均衡问题最为合理，多重复合协整技术（MICCT）不仅能捕捉某个对人民币汇率有长期影响的未知影响因素，，又提高了人民币汇率长期均衡失调pm时间序列的稳定性检验水平，运用多重复合协整技术研究中国的人民币汇率均衡问题较为合理。从实证的结论可以看出，在样本时间段内，人民币汇率确实发生了结构突变，结构突变点发生在人民币汇率剧烈变化的时间点上，表明对汇率生生剧烈变化的外部经济因素对人民币汇率有着长期影响，也就是说，在运用BEER模型研究人民币汇率长期均衡问题时，应该在模型中加入中国元素，特别是具体的外部经济因素不容忽视。研究结果还表明：在样本时间段内，人民币汇率不存在显著的低估现象，人民币实际汇率偏离长期均衡水平仅为0.012％，远远小于国外认为的人民币汇率低估约40%的水平；且从2009年4季度以来，人民币汇率基本处在长期均衡汇率水平，并有逐渐高估的趋势。第二、人民币实际有效汇率及人民币对美元双边汇率时间序列的自相关函数图以及R/S检验，显示人民币实际有效汇率及人民币对美元双边汇率的均值过程（一阶矩过程）均存在显著的长记忆性特征。因此，差分自回归动平均模型即ARIMA模型难以准确刻化与描述人民币实际有效汇率及人民币对美元双边汇率均值的动态过程，运用分整自回归动平均模型即ARFIMA模型进行刻画较为合理。但人民币实际有效汇率与人民币对美元双边汇率的ARFIMA模型的残差存在异方差现象，因此，运用ARFIMA模型用以刻画与描述人民币实际有效汇率与人民币对美元双边汇率存在明显的不足。但无论是ARFIMA模型及R/S检验，均无法否定人民币实际有效汇率与人民币对美元双边汇率存在长记忆效应。人民币实际有效汇率及人民币对美元双边汇率的一阶矩过程的长记忆性特征表明人民币实际有效汇率及其对美元双边汇率存在一定的粘性、其走势具有一定的持续性，一些突发的外部事件对于人民币实际有效汇率及其对美元双边汇率将产生长期的滞后影响。通过对人民币对美元双边汇率建立ARFIMA-FIGARCH与ARFIMA-FIAPARCH-M模型发现，人民币对美元双边汇率时间序列不仅存在长记忆性，其波动也存在显著的长记忆性，也就是人民币对美元双边汇率存在“双长记忆”特征；表明人民币对美元双边汇率当前水平及当前波动性水平都依赖于自身较长时期的历史信息；同样，其当前水平及当前波动水平也将对未来较长时期产生影响。第三、人民币对美元汇率对国内物价水平具有一定的影响作用，人民币对美元汇率每上升一个百分点，国内物价指数上升0.117个百分点，而人民币对日元汇率相对于美元汇率影响作用更小，传递效应更低。由于我国在很长一段时间内实行的是人民币盯住美元的外汇政策，且美国是我国主要的贸易伙伴大国，人民币对美元汇率的变化会较为显著地影响我国国内宏观经济变量；而人民币对非美元的双边汇率由于上述原因，显然不会像美元那样敏感，传递效应与其相比较小。从实证研究的结果来看，人民币汇率系数均明显小于1，表明人民币汇率不存在完全的传递效应。同时，从三个均值方程中的汇率系数的统计显著性来看，无论是人民币名义汇率、人民币对美元汇率还是人民币对日元汇率我国国内消费者物价指数均不存在明显的价格溢出效应，因此，通过人民币对外汇率升值的方法，难以达到抑制国内消费物价水平的目的。人民币名义汇率、人民币对美元汇率以及人民币对日元汇率均呈现出一定的的波动溢出效应；但从其数值的大小来看，要大于三者的均值溢出效应，表明人民币汇率与国内物价水平的一阶矩相互影响较小，但两者之间的二阶矩具有一定程度相互影响作用。总的来说，人民币汇率对国内物价水平有一定的影响，它们之间也存在波动溢出效应，当然也有一些其它因素影响了汇率对国内物价水平的价格上的信息传导，如人民币对美元汇率的浮动区间管制、我国的外汇管理制度等。第四、贸易收支、人民币对美元双边实际汇率、我国国内生产总值、美国对外总进口额以及经济结构5个变量之间确实存在长期稳定的协整关系。从协整方程可以看出，人民币对美元实际汇率与我国贸易收支呈同方向变化，表明人民币对美元实际汇率上升，即人民币对美元贬值，我国贸易收支得以改善；同时，从脉冲响应函数来看，短期内，人民币对美元实际汇率与我国贸易收支并没有表现出“J曲线”效应，但长期内，两者存在协整关系；从Granger因果检验结果来看，两者之间不存在Granger因果关系，这就表明人民币对美元实际汇率并不是我国贸易收支变化的统计上的原因，以逼迫人民币升值达到平衡贸易的目标注定难以实现。我国的经济结构与贸易收支之间也存在长期均衡关系，两者呈同方向变化，从脉冲响应函数来看，经济结构才是中美贸易顺差产生的重要原因。由于要素资源禀赋及产业层次不同，中美两国经济在很长时间内都具有较强的互补性。由于两国经济的互补性强，美国对中国的许多出口商品在美国都存在管制，也就必须产生中美贸易顺差现象，美国不改变对华出口政策，无论如何逼迫人民币对美元升值，可以预见这种贸易顺差将会持继下去，因为人民币升值解决不了中美贸易结构性问题。从脉冲函数来看，对人民币对美元汇率作一单位的正向冲击后，在脉冲期内，我国二元经济结构呈现正向效应，表明人民币对美元汇率越小，也就是人民币对美元升值，第一产业产值越小，非农产业产值增加，表明人民币对美元升值有利于促进我国非农产业的发展，有利于我国产业结构向高级化1调整。
[Abstract]:Since the third Plenary Session of the 11th CPC Central Committee, with the implementation of the policy of reform and opening up, China's foreign trade has become increasingly active. In 1981-1989 years, China's foreign trade deficit in the average of $4 billion 172 million per year in 2008, China's trade surplus of $295 billion 470 million in less than 20 years, our country not only reversed the trade deficit situation, but also make the trade surplus reached a peak of nearly $300 billion. The huge trade surplus, the RMB exchange rate issue has become increasingly concerned by the international society. In western society, especially in the United States generally believe: China foreign trade continued to maintain close support the reason for the substantial surplus, is because the renminbi artificially undervalued, undervalued yuan makes China maintains the unfair trade advantage in the process of communication with Western trade. Especially in recent years, the international community for the renminbi appreciation pressure rising Great. It can be said that this kind of pressure is one of the main impetus for reform of exchange rate regime in July 21, 2005. According to statistics, in 2005 the exchange rate reform the RMB against U.S. dollar 8.11 to 2011 to calculate, therefore, the RMB against the U.S. dollar has appreciated more than 20%; however, the yuan appreciation to continue the voice and not so weakened. Since the issue of the RMB exchange rate, since there is a huge surplus of foreign trade China, has been one of the most popular topic. Research on RMB equilibrium exchange rate, related properties and their effects on other economic variables, not only has theoretical value, also important, is of great practical significance.
In this paper, we build a new model to create multiple composite cointegration Technology (MICCT) measurement method, and use ARFIMA-FIGARCH, VAR-GARCH-BEKK and other frontier econometric methods to conduct in-depth research on RMB equilibrium exchange rate and related issues.
First, using the multiple cointegration technique (MICCT) long-term equilibrium problems of RMB exchange rate is reasonable, multiple cointegration technique (MICCT) can not only capture the factors a long-term impact on the RMB exchange rate and improve the effect of the unknown, the RMB exchange rate long-term equilibrium stability test of the level of imbalance of PM time series, using the research the technology of multiple Co China RMB exchange rate equilibrium problem is more reasonable.
From the empirical results can be seen in the sample period, the RMB exchange rate is the structural change, structural change point occurred in the RMB exchange rate changes on the time point of the external economic factors exchange students a drastic change in the exchange rate of RMB has a long-term effect, that is to say, the long-term equilibrium problem in the use of the RMB exchange rate should be added to the BEER model, China elements in the model, especially the external economic factors can not be ignored.
The results also showed that in the sample period, the RMB exchange rate is not significantly undervalued, RMB real exchange rate deviates from the long-term equilibrium level is only 0.012%, far less than the RMB exchange rate that underestimate the level of about 40% since; and from the 4 quarter of 2009, the RMB exchange rate basically in the long-term equilibrium exchange rate, and gradually overestimate the trend.
Second, the real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate time series autocorrelation function diagram and R/S test shows the real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate mean process (first moments process) was significant long memory characteristic. Therefore, differential autoregressive moving average model ARIMA model is difficult to accurately characterize the dynamic process and describe the real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate means, with the autoregressive moving average model that ARFIMA model is more reasonable. But there are residual characterizations of RMB real effective ARFIMA model for the dollar bilateral exchange rate RMB exchange rate and the phenomenon of heteroscedasticity therefore, the use of ARFIMA the model used to characterize and describe the obvious shortage of real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate. But whether ARFIMA model And R/S test can not deny the long memory effect of the RMB real effective exchange rate and the RMB's bilateral exchange rate on the dollar.
Long memory characteristics of the real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate of first order moment process shows that there is a viscous and real effective exchange rate of RMB against the U.S. dollar bilateral exchange rate, the trend has a certain degree of persistence, some unexpected events external to the RMB real effective exchange rate and bilateral exchange rate against the dollar will have a lagging effect in the long term.
Through the discovery of RMB to establish ARFIMA-FIGARCH and ARFIMA-FIAPARCH-M model of the U.S. dollar bilateral exchange rate, the RMB has not only a long memory time series of bilateral exchange rate against the dollar, its volatility is significant long memory, which is the bilateral exchange rate of RMB against the U.S. dollar has "double long memory" feature; that the RMB against the U.S. dollar bilateral exchange rate volatility and the current level the level depends on the long period of historical information; similarly, the current level and the level of volatility will also affect the future long period of time.
Third, the RMB exchange rate against the dollar has a certain effect on the domestic price level, every one percent increase in the RMB exchange rate against the dollar, the domestic price index rose 0.117 percentage points, while the RMB exchange rate against the yen against the dollar exchange rate impact smaller, transfer effect is lower. Because our country in a long period of time is RMB the dollar exchange rate policy, and the United States is China's major trading partner countries, changes in the exchange rate of RMB to dollar will greatly affect China's domestic macroeconomic variables; and the RMB against non dollar bilateral exchange rate because of the above reasons, as the dollar is clearly not so sensitive, and transfer effects are relatively small.
The empirical research shows that the RMB exchange rate coefficient is significantly less than 1, indicated that the RMB exchange rate does not exist completely transfer effect. At the same time, the statistics from the exchange rate coefficient of three in the mean equation significant point of view, whether the RMB nominal exchange rate of RMB against the U.S. dollar exchange rate and the RMB exchange rate against the yen in China's domestic consumer price index there are no obvious price spillover effect, therefore, the RMB exchange rate appreciation method, it is difficult to inhibit the domestic consumer price level.
The nominal exchange rate of RMB, the RMB exchange rate of the dollar and the RMB against the yen showed some volatility spillover effect; but from the size of the value of the view, mean spillover effect is greater than three, that first moment of the RMB exchange rate and the domestic price level are less affected, but the two moments between the two is the degree of interaction.
In general, the RMB exchange rate has a certain impact on the domestic price level, there is volatility spillover effects between them, of course there are some other factors that affect the information transmission rate on the domestic price level on the pipe system such as the floating range of the RMB exchange rate against the dollar, China's foreign exchange management system.
Fourth, there is a long-term stable cointegration relationship between the trade balance, the real exchange rate of RMB to the US dollar, China's gross domestic product, the total import volume of the US and the economic structure of the 5 variables.
From the cointegration equation can be seen, the real exchange rate of RMB dollar and trade balance of China with the same tendency, that the real exchange rate of RMB against the U.S. dollar to rise, the devaluation of the renminbi against the dollar, China's trade balance is improved; at the same time, from the impulse response function, in the short term, the real exchange rate of RMB dollar and trade balance in China did not exhibit "J curve" effect, but in the long term, there is a cointegration relationship between the two; from the results of Granger causality test, there is no Granger causal relationship between the two, which shows the reason statistics of RMB real exchange rate against US dollar is not China's trade balance on the change, by forcing the appreciation of the RMB trade balance the target is difficult to achieve.
There is a long-term equilibrium relationship between China's economic structure and trade balance, both with the same tendency, the impulse response function, the economic structure is an important reason for the Sino US trade surplus produce. Because of different levels of resource endowments and industrial factors, the economy of both countries for quite a long time due to have strong complementarity. The complementarity of the two economies, the United States of Chinese many export commodities are regulated in the United States, also must have the Sino US trade surplus phenomenon, American exports to China in any case does not change the policy, forcing the appreciation of the renminbi against the dollar, it is expected that this trade surplus will continue indefinitely, because of the appreciation of the RMB can not solve the structural problems of Sino US trade.
From the point of view for the positive impact of impulse function, a unit of the RMB exchange rate against the dollar after the pulse period, two yuan of China's economic structure has a positive effect, that the RMB exchange rate against the dollar is small, also is the appreciation of the renminbi against the dollar, the first industry output value is small, non industrial output value increased, indicating that the yuan is conducive to the promotion of the development of China's non-agricultural industries to the dollar, is conducive to China's industrial structure adjustment to the advanced 1.

【学位授予单位】：南京航空航天大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.6;F224

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