巴拉萨—萨缪尔森汇率决定理论的拓展及其实证

发布时间：2018-01-30 18:37

本文关键词： 实际汇率 B-S效应劳动生产率工资率宏观因素　出处：《南京理工大学》2015年硕士论文　论文类型：学位论文

【摘要】：我国的人民币汇率制度经过多次的改革,从2005年7月21日起实行以市场需求为基础、参考一篮子货币的、有管理的浮动汇率制度。近几年,人民币汇率呈现不断升值的态势。中国的经济迅猛发展,在国际上的竞争力和地位得到提升,带来人民币的不断升值。汇率决定理论分析的是汇率受什么因素决定和影响,它随经济形势的发展而发展。主要有国际借贷学说、购买力平价学说、利率平价学说、国际收支说、资产市场说。其中最著名的是购买力平价说。而在实际汇率的研究中,巴拉萨—萨缪尔森效应(以下简称B-S效应)是最早以购买力平价为基础,从生产率的角度解释实际汇率偏离购买力平价的一种理论,它研究的是实际汇率与生产率之间存在的联系。该效应认为当外国贸易品与非贸易品部门的相对劳动生产率的提高程度低于本国时,本币有升值的趋势。近年来,我国经济长期快速增长,劳动生产率水平不断得到提升,人民币升值趋势势不可挡,近年来,国内外很多学者试图用B-S效应研究人民币实际汇率的走势。购买力平价模型仅从价格方面考虑名义汇率的变动,不能全面考虑影响汇率的因素,故宜引入宏观变量GDP分析名义汇率的变动。本文从贸易品和非贸易品两部门的划分标准以及两国间生产率的差异出发,结合购买力平价理论,检验GDP是否对实际汇率有影响。而购买力平价中价格由工资和生产率决定,因而本文添加了工资这一因素对B-S效应进行拓展,得到实际汇率与两国工资差异、两国各部门生产率差异之间的多元线性方程。本文把第二产业中的制造业作为贸易品部门的代表,第三产业整体划分为非贸易品部门。国内外许多文献都认为制造业的贸易程度较高,从而把它划分到贸易品部门；而对于非贸易品部门的划分,很多文献各不相同,本文把第三产业总体归为非贸易品部门,是因为第三产业大部分行业的贸易程度都不高,整体作为非贸易品部门囊括的范围更广。本文选取了中美两国1995-2012年的名义汇率、CPI数据计算实际汇率；利用各部门增加值和从业人数计算各部门劳动生产率；由于假设工资在一国内均等,为简化计算,用国民收入代替工资。本文运用eviews6.0软件对影响实际汇率的变量之间的协整关系进行实证检验,得到实际汇率的多元线性回归方程。最后的结果显示,两国GDP的差异对实际汇率没有影响；非贸易品部门生产率的差异与实际汇率的线性关系不显著；工资的差异和贸易品部门生产率的差异与实际汇率之间存在协整关系,人民币汇率符合原B-S效应和拓展的B-S效应。
[Abstract]:The RMB exchange rate system of our country has been reformed many times since July 21st 2005, which is based on the market demand, referring to a basket of currencies, the managed floating exchange rate system. In recent years. The RMB exchange rate shows a trend of continuous appreciation. China's economy is developing rapidly, and its competitiveness and status in the international arena have been enhanced. The theory of exchange rate determination analyzes what factors determine and influence the exchange rate, and it develops with the development of economic situation. There are mainly international lending theory and purchasing power parity theory. Interest rate parity theory, balance of payments theory, asset market theory. One of the most famous is purchasing power parity theory. And in the real exchange rate research. Balassa-Samuelson effect (hereinafter referred to as B-S effect) is the first theory based on purchasing power parity (PPP) to explain the deviation of real exchange rate from PPP from the perspective of productivity. It studies the link between real exchange rates and productivity, an effect that assumes that relative labour productivity increases in foreign and non-tradable goods sectors are lower than at home. In recent years, the economy of our country has been growing rapidly for a long time, the level of labor productivity has been continuously improved, and the appreciation trend of RMB is unstoppable, and in recent years, the trend of RMB appreciation is unstoppable. Many scholars at home and abroad try to use B-S effect to study the trend of RMB real exchange rate. PPP model only considers the change of nominal exchange rate from the price aspect, but not the factors that affect the exchange rate. Therefore, it is advisable to introduce the macro variable GDP to analyze the change of nominal exchange rate. This paper combines the theory of purchasing power parity with the criterion of the division of the two sectors and the difference of productivity between the two countries. To test whether GDP has an effect on the real exchange rate, and the price in purchasing power parity is determined by wages and productivity, this paper adds the factor of wage to expand the B-S effect. The multivariate linear equation between the real exchange rate and the wage difference between the two countries and the productivity difference between the two countries is obtained. In this paper, the manufacturing industry in the secondary industry is regarded as the representative of the trade goods sector. The third industry as a whole is divided into non-trade products sector. Many domestic and foreign literature think that the manufacturing trade level is high, so it is divided into the trade products sector; For the division of non-trade products, many documents are different, this paper classified the tertiary industry as a non-trade sector, because most of the tertiary industry trade level is not high. The whole includes a wider range as a non-tradable goods sector. This paper selects the nominal exchange rate CPI data of China and the United States from 1995 to 2012 to calculate the real exchange rate. Calculating the labor productivity of various sectors by using the added value and the number of employees in each sector; Because of the assumption that wages are equal in one country, in order to simplify the calculation, the national income is used to replace the wage. This paper uses eviews6.0 software to test the cointegration relationship between the variables that affect the real exchange rate. The multivariate linear regression equation of real exchange rate is obtained. The result shows that the difference of GDP between the two countries has no effect on the real exchange rate. The linear relationship between the productivity difference of non-tradable goods sector and the real exchange rate is not significant; There is a cointegration relationship between the wage difference and the productivity difference in the trade goods sector and the real exchange rate. The RMB exchange rate accords with the original B-S effect and the extended B-S effect.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.6

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