人民币内外价值偏离现象研究

发布时间：2018-01-03 22:02

本文关键词：人民币内外价值偏离现象研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：一国货币的价值一般有两种不同的表现形式：一种是对内价值,主要体现为货币在国内的单位购买力,即所谓的价格；另一种是对外价值,主要表现为其能换取多少外币,即所谓的汇率。按照传统国际金融理论,一国货币的对内、对外价值应当趋同,即成正比例地同升同贬。然而,进入21世纪以来,人民币出现了以对外升值与对内贬值并存为特点的内外价值偏离现象。一方面,人民币对外承受着巨大的升值压力,尤其是巨额贸易顺差压力和发达国家的国际舆论压力；另一方面,人民币对内却表现出贬值的趋势,不仅物价水平在长期“低迷”后突然全面上涨,股票证券和房地产等资产价格也被推高,人民币对内贬值在消费领域和投资领域双双突显。加之全球流动性过剩以及美元不断贬值的国际背景,这一现象不断强化。人民币内外价值背离异象是我国目前外部经济和内部经济同时失衡的阶段性表现,由于会影响货币政策的有效性以及经济的健康发展,所以必须谨慎对待这一问题。由此,为了我国制定出更有效的宏观经济调控政策,继续保持经济平稳较快的发展,深入了解人民币对外升值与对内贬值并存的成因是至关重要的。本文既旨在从理论和实证两个角度深入剖析该现象的原因,并提出相应的宏观政策建议。本文首先对国内外学者关于人民币对外升值和对内贬值现象的相关研究成果进行分类回顾总结的基础上,对人民币汇率决定的经典理论和三大国际货币体系进行了梳理。经典理论主要有：“一价定律”、购买力平价、利率平价、国际收支理论、汇兑心理理论；三大国际货币体系是：国际金本位制、布雷顿森林体系、牙买加体系。然后采用定性与定量相结合的研究方法,对影响人民币汇率升值的因素、通货膨胀的表现形式与成因、人民币内外价值偏离的原因进行了深入的分析与研究。第一,影响人民币升值的因素主要有：我国经济的高速增长、经常项目的巨额顺差、资本与金融项目的巨额顺差、外汇储备量迅猛攀升、国内外利差扩大以及人民币升值心理预期等因素。第二,国内通货膨胀主要的表现形式有三种：消费物价指数CPI的上涨、投资资产(金融资产和实物资产)价格的飙升以及长期为负数的实际利率。该轮通货膨胀是由多种因素综合促成的：①货币原因：外汇占款导致人民银行发行过多的基础货币,造成超额的货币供给；②经济原因：需求引致型通胀、成本推动型通胀、输入型通胀和结构型通胀和自然灾害等突发事件导致市场供给的减少。③制度原因：我国市场化改革不完善,不该过早市场化的领域过早交给了市场,造成国际大企业垄断市场,并联手操纵价格；相反,应该市场化的领域改革却相对停滞,大量资源受到国家的严格看管,不能进入市场满足需求,无法消化富余资金。第三,从宏观经济背景和新理论解释两方面阐述了人民币内外价值不协调的原因。①宏观经济背景原因包括我国经济失衡(经济增长模式失衡、对外经济制度失衡)和世界经济失衡(国际货币体系失衡、国际价格体系失衡)。②新经济学理论解释,主要有“双效应——三阶段曲线”理论和巴拉萨——萨缪尔森效应。前者认为国内外经济失衡严重导致通货膨胀与升值之间的互补效应超过了替代效应,从而综合表现出人民币“内贬外升”；后者认为目前人民币内外偏离现象实际上是人民币实际汇率升值的显著表现,这符合该效应的基本思想：经济增长较快的国家,可贸易品部门劳动生产力提高将引起该国货币实际汇率的升值。再接着运用2002年1月至2011年4月的相关月度数据进行了实证分析。主要采用平稳性检验、Johansen协整检验、格兰杰因果检验、脉冲响应函数、方差分解,以及建立误差修正模型作计量统计分析。各项检验结果如下：①平稳性检验得出人民币汇率E和消费价格指数CPI皆为一阶单整序列。②协整检验输出结果表明：在不考虑货币时间价值因素i的情况下,人民币汇率和通货膨胀率之间并不协整,即不存在长期均衡关系,说明人民币内外价值不具有趋同趋势；在将货币的时间价值因素i考虑进来后,汇率、利率、通货膨胀率之间存在协整,即汇率和通货膨胀率之间存在长期稳定的负相关关系,证明了人民币内外价值偏离的现象。③格兰杰因果检验得出人民币内外价值之间的传递和转换渠道在我国现行的经济制度下双向不通畅,导致内外价值不能趋同,购买力平价在我国并不适用。④脉冲响应函数显示E的结构冲击对CPI是长期负影响；CPI的结构冲击对E也是长期负影响。⑤方差分解示意图显示CPI对E的波动贡献度大于E对CPI的波动贡献度。⑥最后的向量误差修正模型输出结果加强了协整检验得出的结论,对外升值与通货膨胀之间确实存在长期稳定关系,内外价值偏离现象成为经济常态。本文最后,在分析世界上几大重要经济体的宏观经济数据的过程中,发现日本和德国两大发达国家在20世纪60—90年代出现过与我国目前类似的货币价值偏离现象。因此,在吸取日本的失败教训和学习德国的成功经验的基础上,结合本文的理论分析和实证结果提出了解决人民币内外价值不协调的政策建议,主要有以下几方面： ①增强人民币弹性,让人民币适度升值。一次足以消除当前升值预期的人民币升值可以缓解对外升值压力,同时也能通过商品渠道、货币渠道和预期渠道来调节内部经济失衡现状,即抑制国内的通货膨胀。 ②根据斯旺的内外均衡模型,我国缓解国内外经济失衡时应搭配支出转换政策和支出增减政策。在增强人民币弹性,让人民币适度升值的同时,坚决维护货币政策独立性。在近期继续推行稳健或适度从紧的货币政策,并通过提高政策透明度或采取多样化的货币冲销手段来提高货币政策的有效性。 ③加快我国经济增长模式的转变,继续推进产业结构的优化升级,进一步扩大内需。产业结构优化中,调整出口产品结构,提高产品技术含量,增加出口商品的附加值成为重中之重。调整我国收入分配不均现状、健全我国社会保障体系是扩大内需的两大主要渠道。 ④短期内除了尽力舒缓国际舆论压力外,还要有意识地扩大商品和服务进口,着力打造促进进出口平衡的中性贸易政策,变外汇资产储备为战略资源储备。在鼓励引进外资的同时,还需为国内资本的海外投资创造有利渠道,分流出国内过多的流动性。中长期里需逐步完善涉外经济政策,放弃对经常项目和资本项目的管制,实现向商品自由交易、资本自由流动的完美过渡,以消除国际收支的严重不对称。 ⑤加快国内金融市场发展,具体是要加快人民币衍生品市场的发展,在允许开办人民币远期和互换的基础上推出人民币期权和期货交易,使之成为有效的外汇风险规避工具,同时为发现合理的人民币即期汇率水平提供市场依据。 ⑥分阶段推进人民币汇率体制改革。短期让人民币在现有制度下实行适度“升值——减税”的搭配政策,释放部分升值压力并缓解国内通货膨胀；中期将有管理的浮动汇率制度过渡到目标区间制度(例如BBC制度),扩大人民币汇率波动的目标区间宽度。长期里逐步解除外汇管制,实现人民币汇率自由浮动,并加快推进人民币国际化进程。我国可借鉴德国检验,先让人民币先逐步在周边地区实现局部区域内的流通。通过各种渠道设法让人民币进入周边地区的生产资料市场(如原材料、机械设备、仪表仪器等),从而拓宽其使用范围并扩大其定价作用,将人民币的升值压力分散到了周边国家的货币上,一方面能缓解国内通胀,另一方面能为实现完全的浮动汇率制创造条件,最终解决人民币内外价值偏离的问题。
[Abstract]:A country's currency value generally has two different forms: one is the internal value, mainly reflected in the domestic purchasing power of the currency unit, the so-called price; the other is the external value, mainly for the return of any foreign currency, the so-called exchange rate. According to the traditional theory of international finance a country's currency, internal and external value should be proportional to convergence, i.e. the rise with praise. However, since twenty-first Century, the RMB appeared in the external appreciation and internal devaluation coexist for the characteristics of the internal and external value deviation phenomenon. On the one hand, the RMB against foreign under great pressure of appreciation, especially the international public opinion the pressure of huge trade surplus pressure and developed countries; on the other hand, the RMB has shown the trend of devaluation, not only the price level in the long term "downturn" after a sudden rise overall, stock and real estate prices Also to be high, the internal devaluation of the RMB in the field of consumption and investment both highlighted. The international background and the global liquidity glut and the falling dollar, this phenomenon has been strengthened. The internal and external value of RMB is away from the vision of stage performance of China's current external economy and internal economy and imbalance, because will affect the healthy development of currency the effectiveness of policy and economy, so this problem must be treated carefully. Thus, in order to develop China's macroeconomic regulation and control policy more effectively, continue to maintain steady and rapid economic development, in-depth understanding of the appreciation of RMB and is vital to the causes of internal devaluation coexist. The reason is to from two angles the theoretical and empirical analysis of this phenomenon, and puts forward the macro policy recommendations accordingly.
Firstly, the domestic and foreign scholars on the appreciation of RMB and the classification review based on the relevant research results in depreciation on a phenomenon of the classical theory of RMB exchange rate and the three international monetary system is carried out. The classical theories include the law of one price, purchasing power parity, interest rate parity, the theory of balance of payments exchange, psychological theory; three the international monetary system is the international gold standard, the Bretton Woods system and Jamaica system.
The research method and combination of qualitative and quantitative, the influence factors of RMB exchange rate appreciation, forms and causes of inflation, causes the internal and external value of RMB from the in-depth analysis and research. First, the main influence factors of RMB appreciation are: China's rapid economic growth, huge current-account surpluses, huge surplus of capital and financial projects, rapidly increasing foreign exchange reserves, the domestic and foreign interest rate spreads and RMB appreciation expectation and other factors. The second forms of domestic inflation mainly has three kinds: the consumer price index rose CPI, investment assets (financial assets and real assets) price soaring and long-term real interest rates are negative. This round of inflation is by many factors contributed to: monetary reasons: foreign exchange led to the people's Bank to issue too much of the base currency, making As the excess money supply; economic reasons: the demand caused by inflation, cost push inflation, imported inflation and structural inflation and natural disasters and other emergencies to reduce market supply. The institutional reasons: the market reform in China is not perfect, not the early market field early to market the international market caused by the monopoly of large enterprises, and manipulation of prices; instead, the field should be market-oriented reform is relatively stagnant, a lot of resources under strict custody of the country, can not enter the market to meet the demand, can not digest the surplus funds. Third, from the macro economic background and new theory explains why the internal and external value of RMB two of uncoordinated the reasons include the macroeconomic background. China's economic imbalances (imbalance, economic growth pattern of foreign economic system imbalance) and the imbalance of the world economy (Department of imbalances, the international monetary International The price system). The new interpretation of unbalanced economic theory, mainly the "double effect -- three stage curve" theory and the Pakistan Lhasa - Samuelson effect. The former that domestic and foreign economic imbalances lead to complementary effect between inflation and the appreciation of more than the substitution effect, and exhibits from the internal devaluation and external appreciation of RMB; the latter think at present, the RMB is actually significant deviation and the real exchange rate of RMB appreciation, which accords with the basic idea of the effect of economic growth is rapid, the tradable goods sector labor productivity will lead the country's currency appreciation of the real exchange rate.
Related monthly data from January 2002 to April 2011 and then use the empirical analysis. Mainly using the stationary test, Johansen cointegration test, Grainger causality test, impulse response function, variance decomposition, and establishes an error correction model for statistical analysis. The test results are as follows: the stationarity test that the RMB exchange rate and the consumer price index E CPI is a single whole sequence. The output of the cointegration test results show that without considering the time value of money factor I, between RMB exchange rate and inflation rate is not cointegration, there is no long-term equilibrium relationship, explains the internal and external value of RMB has no convergence trend; the time value of money I consideration come in, exchange rate, interest rate, there is a cointegration between the inflation rate and negatively related to the long-term and stable relationship between the exchange rate and inflation rate, that From the internal and external value of RMB phenomenon. The Grainger causality between the internal and external value of RMB transfer and conversion channels in China's current economic system under the two-way is not smooth, the internal and external value cannot lead to convergence, PPP is not suitable in our country. The impulse response function shows the impact of the structure of E is a long-term negative impact on CPI; CPI E is on the impact of long-term negative effects. The schematic shows the fluctuation of CPI's contribution to E is greater than E wave contribution to CPI degree. The variance decomposition of vector error correction model of the final output results reinforce the cointegration test concluded that there is a long-term stable relationship between the external appreciation and inflation the internal and external value deviation, become the norm.
Finally, in the process of analysis of the world a few important economies of macroeconomic data, found that two major developed countries Japan and Germany in twentieth Century 60 to 90s appeared deviation and present similar monetary value phenomenon. Therefore, based on the failure to learn the lessons of Japan and learn the successful experience of Germany on according to the theoretical analysis and empirical results of this paper put forward policy suggestions to solve the internal and external value of RMB is not coordinated, mainly in the following aspects:
The more currency flexibility, make a modest appreciation of the RMB. Once enough to eliminate the current expected appreciation of RMB appreciation can alleviate the external pressure of appreciation, but also through commercial channels, monetary channel and expectation channel to regulate the economic imbalance, which restrain domestic inflation.
According to the internal and external equilibrium model of Swan, China to ease domestic economic imbalance should be collocation expenditure policy expenditures and policies. In enhancing the flexibility of the yuan, make a modest appreciation of the RMB at the same time, resolutely safeguard the independence of monetary policy. We will continue to implement a prudent or moderately tight monetary policy in the near future, and by increasing the transparency of policies or take a variety of means of monetary sterilization to improve the effectiveness of monetary policy.
To accelerate the transformation of economic growth mode in China, continue to promote the optimization and upgrading of industrial structure, to further expand domestic demand. The optimization of the industrial structure, adjust the structure of export products, improve product technology content, increase the added value of export commodities has become the priority among priorities. The adjustment of China's income inequality situation, improve the social security system in China are the two main channels of expanding domestic demand.
In the short term in addition to try to relieve the pressure of international public opinion, but also consciously increase the import of goods and services, and strive to create and promote the neutral trade policy balance of import and export, foreign exchange reserves variable assets for strategic reserves. In encouraging foreign investment at the same time, also need to create favorable channels for domestic capital overseas investment flows out China too much. In the long term to gradually improve the foreign economic policy, give up on the current account and capital account control, to achieve free trade of goods, perfect transition of the free flow of capital, in order to eliminate international income serious asymmetric branch.
The accelerated development of domestic financial markets, in particular to accelerate the development of RMB derivatives market, RMB options and futures trading on the basis of allowing the RMB forwards and swaps, make it become the effective tool to avoid the risk of foreign exchange market, and provide basis for finding reasonable RMB spot exchange rate level.
To promote the reform of RMB exchange rate system and short-term stages. Let the yuan under the existing system to implement appropriate "appreciation tax" policy collocation, release some pressure of appreciation and ease domestic inflation; the middle of the managed floating exchange rate regime transition to the target range of system (such as the BBC system), the target range of the RMB exchange rate fluctuations to expand in the long run. Gradually lifting exchange controls, the RMB exchange rate to float freely, and accelerate the process of RMB internationalization. China can draw lessons from German test, let the RMB first gradually realize the local circulation within the region in the surrounding area. Through various channels managed to make RMB into the surrounding areas of production materials market (such as raw materials, machinery and equipment instrument, etc.), so as to broaden its use and expand the scope of its pricing, the pressure of RMB appreciation spread to the surrounding countries On the one hand, the currency can ease domestic inflation, and on the other hand, it can create conditions for the realization of a complete floating exchange rate system, and finally solve the problem of the deviation of value between inside and outside the RMB.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6

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