二元结构与央行最优目标选择对人民币汇率的影响研究

发布时间：2018-07-11 22:06

本文选题：二元结构 + 央行最优目标　；参考：《重庆大学》2013年博士论文

【摘要】：自2000年以来，在中国经济高速发展、“双顺差”的背景下，人民币汇率问题引发了热烈的争论。中国经济有显著的二元结构特征，且央行的干预行为明显，但是目前人民币汇率的研究涉及二元结构和央行的政策抉择的工作较少。本文主要研究了二元结构和央行最优目标下的政策选择对人民币汇率的影响，其基本逻辑结构：（1）由于二元结构的存在，人民币汇率的走势不同于传统的理论预测，即所谓“人民币汇率之谜”，二元结构对人民币汇率的走势应该产生很大的影响；（2）央行由于二元结构引起的市场失灵而干预市场，解决市场失灵问题，寻求最优的发展路径，央行的干预行也为会影响汇率的走势；（3）央行最优目标的政策抉择，可分为内部市场的最优干预和外部市场的最优干预。内部市场的最优干预是指央行在经济增长和通货膨胀之间的最优抉择，外部市场的最优干预指央行干预外汇市场，即央行在汇率波动和外汇储备之间的最优抉择。本文的研究主要内容及特点： ①应用非线性模型研究了二元结构对人民币汇率的影响。目前的文献将二元结构和B-S效应分别进行研究，无法从二元结构的角度，解释B-S效应是否存在内在机制。现有研究虽然发现结构转型削弱了B-S效应，但是没有指明B-S效应和二元结构内在的、定量关系。由于二元结构的存在，在一国经济追赶的过程中，劳动供给弹性大，导致劳动生产率、工资率和一国价格水平之间的传导效率不高，出现实际汇率长期保持稳定、甚至贬值的现象。本文将二元结构和B-S效应纳入到一个统一的框架下，采用Hansen的非动态面板门限模型，研究了处于不同二元结构门限值下的B-S效应，揭示了B-S效应随二元结构变化而变化机制。研究结果有助于解释“人民币汇率之谜”和近年来“用工荒”与人民币汇率升值的内在关系。研究发现B-S效应存在基于二元结构“双门限效应”，中国2001年二元结构跨过了第一门限值，其后逐渐接近第二门限值。2001年之前B-S效应不显著，也即B-S效应不存在，然而这期间贸易条件恶化、开放度的上升和货币供给的增加，推动人民币实际汇率贬值，就出现所谓的“人民币实际汇率之谜”。2005年以来，贸易条件、开放度和政府支出较为稳定，货币的供给量相对增长。人民币实际汇率的趋势升值，表明随着二元结构的改善，劳动生产率的传导效率提高，特别是“用工荒”导致工资上涨，是人民币汇率升值的内在原因之一。 ②通过拓展的Ronald Shone动态开放宏观经济模型，研究央行内部干预行为对人民币汇率的影响。中国社会二元结构的现状、隐性失业和双顺差的特点，不符合现有理论关于均衡汇率的假设，现有文献在央行最优目标下的汇率研究，只是对人民币升值路径的推演，不涉及央行最优目标下人民币均衡汇率的研究，，更没有涉及到均衡汇率区间和央行最优政策选择对人民币均衡汇率边界影响的分析。本文假设中国央行的内部市场干预，是在一定的通货膨胀目标下追求最大经济增长，同时要求内、外市场均衡，表现在均衡汇率方面，即在经济增长和通胀的最优决策函数下，追求内外同时均衡的汇率。通过建立动态开放宏观经济模型，利用动态规划和贝尔曼方程推导出了人民币汇率表达式，在一定的资本管制系数下，研究了央行最优目标下的政策选择对人民币汇率的影响，并测算了人民币均衡汇率区间，研究工作的优点在于不仅要求内外同时达到均衡，而且要求央行的成本最小或者效用最大。研究发现：央行的政策选择影响了人民币均衡汇率边界，资本项目的开放步伐是适宜的；超前的资本开放或僵硬的资本管制，都会造成人民币均衡汇率的较大失衡；资本项目进一步调整，已具备的较适宜的宏观经济环境；1994以来央行的相机抉择政策，就人民币均衡汇率来看是行之有效的，没有造成人民币均衡汇率失衡。 ③应用区间二次偏好损失函数，研究央行外部市场的最优干预对人民币汇率的影响。本文假设外部市场的最优干预指央行在汇率波动和外汇储备之间的最优抉择。央行连续的线性干预会带来很大的政策成本和政治成本，所以理论上央行应该存在非连续、非线性的干预，也即存在非对称干预区间。目前的文献中使用的标准的二次损失函数，只能刻画央行对外汇市场的连续线性干预行为，无法描述央行的非线性和区间偏好。为此，本文应用区间二次偏好损失函数，通过泰勒级数展开式建立人民币汇率波动门限模型，利用GMM方法，计量央行在人民币汇率管理中的波动门限，分析了我国央行干预外汇市场的机制和方式，解释了我国央行干预外汇市场的行为偏好和人民币汇率目标区间，研究了央行干预偏好、汇率波动和外汇储备之间的相互关系，分析了央行的区间干预对人民币汇率的影响。结论显示：央行存在非对称干预行为，且使人民币汇率在一个较小的、非对称的区间内波动，且央行存在一定程度“害怕升值”趋向；2005年7月以来，央行的非对称干预减弱，人民币汇率波区间对称性增强；央行的非对称干预，一定程度造成了外汇储备的激增。
[Abstract]:Since 2000 , under the background of the high - speed development of China ' s economy and the " double surplus " , the RMB exchange rate has caused a heated debate . The Chinese economy has obvious two - dimensional structural characteristics , and the intervention of the central bank is obvious , but the current research of RMB exchange rate involves the binary structure and the central bank ' s policy choice .

This paper mainly studies the influence of the policy choice of the binary structure and the central bank on the RMB exchange rate . The basic logic structure : ( 1 ) Because of the existence of the binary structure , the trend of RMB exchange rate is different from the traditional theory prediction , that is , the so - called " RMB exchange rate " , the binary structure should have great influence on the RMB exchange rate .
( 2 ) The central bank can intervene the market due to market failure caused by the binary structure , solve the market failure problem and seek the best development path , and the intervention line of the central bank will also affect the trend of exchange rate ;
( 3 ) The policy choice of the optimal target of the central bank can be divided into the optimal intervention of the internal market and the optimal intervention of the external market . The optimal intervention of the internal market is the optimal choice between the central bank in the economic growth and inflation . The optimal intervention in the external market means the central bank ' s intervention in the foreign exchange market , that is , the central bank ' s optimal choice between exchange rate fluctuation and foreign exchange reserve .

The main contents and characteristics of this paper are as follows :

( 1 ) The effect of binary structure on RMB exchange rate was studied by using nonlinear model .

In the present study , the duality structure and B - S effect are studied separately . It is impossible to explain whether the B - S effect has an internal mechanism from the angle of the binary structure . However , although the structural transformation is found to weaken the B - S effect , there is no indication of the inherent and quantitative relationship between the B - S effect and the binary structure . Because of the existence of the binary structure , the labor supply elasticity is large , which leads to the low transmission efficiency between the labor productivity , the wage rate and the price level of a country , and the phenomenon of long - term stability and even depreciation of the real exchange rate .

In this paper , the binary structure and the B - S effect are integrated into a unified framework , and the B - S effect under the threshold of different binary structures is studied by Hansen ' s non - dynamic panel threshold model . The mechanism of B - S effect with the change of the binary structure is revealed . The results of the study are helpful to explain the internal relationship between " the riddle of RMB exchange rate " and " labor shortage " and the appreciation of RMB exchange rate in recent years .

The study shows that the B - S effect is based on the double threshold effect of binary structure . In 2001 , the binary structure of China crossed the first threshold value and then gradually approached the second threshold value . Since 2005 , the B - S effect is not significant , that is , the B - S effect does not exist . However , since 2005 , the trade conditions , openness and government expenditure are more stable , and the supply amount of money is relatively increased .

( 2 ) To study the effect of central bank ' s internal intervention on RMB exchange rate through expanding the macro - economic model of Ronald Shone dynamic opening .

The present situation of the binary structure of Chinese society , the hidden unemployment and the double surplus are not in conformity with the hypothesis of equilibrium exchange rate in the current theory . The exchange rate research under the central bank ' s optimal target is only the deduction of the yuan appreciation path , but does not involve the study of the RMB equilibrium exchange rate under the central bank ' s optimal target , and does not involve the analysis of the influence of the equilibrium exchange rate interval and the central bank ' s optimal policy choice on the RMB equilibrium exchange rate boundary .

This paper assumes that China ' s central bank ' s internal market intervention is to pursue the maximum economic growth under certain inflation targets . At the same time , the equilibrium exchange rate of RMB is sought under the optimal decision function of economic growth and inflation . By establishing the dynamic open macro - economic model , the paper studies the effect of the policy choice under the central bank ' s optimal target on the RMB exchange rate , and calculates the equilibrium exchange rate interval of RMB . The research finds that the policy choice of the central bank affects the RMB equilibrium exchange rate boundary , and the opening step of the capital project is appropriate ;
The leading capital - opening or rigid capital controls will lead to a greater imbalance in the renminbi ' s equilibrium exchange rate ;
The further adjustment of the capital project , the better macroeconomic environment that has already been possessed ;
Since 1994 , the central bank ' s camera choice policy has been effective in terms of RMB equilibrium exchange rate , and has not caused the imbalance of RMB equilibrium exchange rate .

( 3 ) To study the effect of the optimal intervention of central bank external market on RMB exchange rate by applying interval quadratic preference loss function .

This paper assumes that the optimal intervention of the external market means the optimal choice between the central bank ' s exchange rate fluctuation and the foreign exchange reserve . The continuous linear intervention of the central bank can bring great policy cost and political cost . Therefore , the central bank should have non - continuous and non - linear intervention , that is , there is an asymmetric intervention interval . The second loss function of the standard used in the current literature can only depict the continuous linear intervention of the central bank to the foreign exchange market , and cannot describe the non - linear and interval preferences of the central bank .

This paper applies interval quadratic preference loss function to establish RMB exchange rate fluctuation threshold model by Taylor series expansion . The paper analyzes the mechanism and mode of central bank ' s intervention in foreign exchange market , analyzes the relationship between central bank ' s intervention preference , exchange rate fluctuation and foreign exchange reserve , and analyzes the influence of central bank ' s intervention preference , exchange rate fluctuation and foreign exchange reserve .
Since July , 2005 , the asymmetric intervention of the central bank has been weakened , and the symmetry of the RMB exchange rate wave interval is enhanced ;
The central bank ' s asymmetric intervention , to some extent , has caused a surge in foreign exchange reserves .
【学位授予单位】：重庆大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.6

【参考文献】