人民币均衡汇率与贸易收支调整理论和实证研究

发布时间：2018-04-09 01:40

本文选题：人民币均衡汇率　切入点：贸易收支　出处：《宁波大学》2013年硕士论文

【摘要】：人民币均衡汇率与贸易收支调整关系是具有重要理论意义和现实意义的问题。本论文从理论和实证对这个问题进行了研究。本论文在理论上推导了人民币均衡汇率的理论模型，并且提出了人民币均衡汇率与贸易收支调整的弹性理论，即均衡汇率的马歇尔—勒纳条件。实证上在人民币均衡汇率的理论模型基础上，选取变量进行协整研究并建立误差修正模型(ECM)，测算人民币均衡汇率，以及失衡程度。本文采用1985—2011年中国相关的宏观经济数据，通过ADF单位根检验和扩展的Engle-Granger两步法，最终选择了政府支出占GDP比例、贸易开放度、贸易条件、税收余额、出口退税5个经济变量。测算结果显示人民币汇率存在不同程度的失调，1985—1998年汇率波动比较剧烈，失调严重，1999-2011年汇率波动的幅度和频率均有所下降，汇率比较接近均衡汇率水平。误差修正模型结果显示名义汇率在偏离均衡汇率后能够自动向着均衡汇率的方向恢复，变量之间的均衡是稳定的，，选取的经济变量在长期和短期对人民币均衡汇率的影响方向是一致的，且影响较为明显。进一步从马歇尔—勒纳条件入手，放松初始贸易收支平衡的假设，修正弹性条件，提出了人民币均衡汇率与贸易收支调整的弹性理论，其实证结果很好地解释了人民币均衡汇率变动与贸易收支调整的关系。再进一步建立人民币均衡汇率与贸易收支不平衡程度之间的VAR模型，量化了人民币均衡汇率变动对贸易不平衡的程度的影响。本论文的结论表明，人民币均衡汇率对贸易收支的调节作用与初始的贸易收支、进出口需求价格弹性有关系。并相应提出了人民币均衡汇率与贸易收支调整的政策建议。
[Abstract]:The relationship between RMB equilibrium exchange rate and trade balance adjustment is of great theoretical and practical significance.This paper studies this problem theoretically and empirically.This paper theoretically deduces the theoretical model of RMB equilibrium exchange rate, and puts forward the elasticity theory of RMB equilibrium exchange rate and trade balance adjustment, that is, the Marshall-Lerner condition of equilibrium exchange rate.On the basis of theoretical model of RMB equilibrium exchange rate, this paper selects variables to study cointegration and establishes error correction model to calculate RMB equilibrium exchange rate and the degree of imbalance.This paper adopts the relevant macroeconomic data of China from 1985 to 2011, through the ADF unit root test and the extended Engle-Granger two-step method, finally selects the ratio of government expenditure to GDP, trade openness, terms of trade, tax balance, etc.Export tax rebate 5 economic variables.The results show that the RMB exchange rate has different degrees of misalignment. The exchange rate fluctuated sharply from 1985 to 1998, and the amplitude and frequency of the exchange rate fluctuations decreased from 1999 to 2011, and the exchange rate was close to the equilibrium exchange rate level.The result of error correction model shows that the nominal exchange rate can automatically recover to the equilibrium exchange rate after deviating from the equilibrium exchange rate, and the equilibrium between variables is stable.The influence of the selected economic variables on the RMB equilibrium exchange rate is consistent in the long term and in the short term, and the influence is obvious.Starting with the Marshall-Lerner condition, the assumption of initial trade balance is relaxed, the elastic condition is revised, and the elasticity theory of RMB equilibrium exchange rate and trade balance adjustment is put forward.In fact, the empirical results explain the relationship between the RMB equilibrium exchange rate and the adjustment of trade balance.Furthermore, the VAR model between the equilibrium exchange rate of RMB and the degree of trade imbalance is established to quantify the influence of the change of RMB equilibrium exchange rate on the degree of trade imbalance.The conclusion of this paper shows that the adjustment effect of RMB equilibrium exchange rate on trade balance is related to the initial trade balance and the price elasticity of import and export demand.And put forward the policy suggestion of RMB equilibrium exchange rate and trade balance adjustment accordingly.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F752.6

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