博弈论视角下的人民币汇率决定探索

发布时间：2018-12-31 18:01

【摘要】：近几年市场对人民币汇率有较强的升值预期。判断人民币汇率是否合理,首先要测算出人民币均衡汇率水平。均衡汇率是汇率理论中的核心问题之一,是判断实际汇率水平是否失调及汇率政策是否需要调整的主要客观依据。本文在借鉴国内外学者研究成果的基础上,以马克思主义汇率理论为指导,结合我国的经济特征,分别从理论分析和实证分析的角度对人民币汇率决定进行探索。理论研究部分基于博弈论的视角,通过构建双层博弈模型,分别分析了人民币汇率在国家层次和国际层次上的博弈。实证部分是基于单方程模型理论对人民币汇率进行分析。首先采用ADF方法对各变量时间序列进行平稳性分析,并进行协整检验,继而建立反映短期调整的误差修正模型。在此基础上,运用H-P滤波法估算出人民币均衡汇率水平,并对人民币实际汇率水平进行合理性评估。实证结果表明2005年汇改到2008年之间,人民币实际有效汇率与人民币均衡实际汇率相比,相对低估,经过这一轮的升值,人民币有效汇率在2008年基本接近均衡实际汇率。2008年以后,一方面由于经济危机影响,另一方面欧美等国给人民币施压及美元对外大幅度贬值导致了人民币实际有效汇率轻微的高估。笔者判断,随着后危机时代的到来,人民币汇率将重新回到均衡水平,并逐渐趋于稳定。基于上述理论、实证研究结果,最后通过与日元升值的比较分析,本文对人民币汇率升值的影响进行探讨,进而提出进一步完善人民币汇率改革机制的建议。
[Abstract]:In recent years, the market to the RMB exchange rate has a strong appreciation expectations. To judge whether the RMB exchange rate is reasonable, we must first measure the RMB equilibrium exchange rate level. Equilibrium exchange rate is one of the core problems in exchange rate theory. It is the main objective basis to judge whether the real exchange rate level is misaligned and whether the exchange rate policy needs to be adjusted. Based on the research results of domestic and foreign scholars and guided by Marxist exchange rate theory, this paper probes into the determination of RMB exchange rate from the angle of theoretical analysis and empirical analysis, combined with the economic characteristics of our country. Based on the perspective of game theory, the theoretical study analyzes the game of RMB exchange rate at the national and international levels by constructing a two-tier game model. The empirical part is based on the theory of single equation model to analyze the RMB exchange rate. Firstly, the ADF method is used to analyze the stationarity of the time series of variables, and the cointegration test is carried out, and then an error correction model reflecting the short-term adjustment is established. On this basis, the equilibrium exchange rate level of RMB is estimated by H-P filtering method, and the rationality of the real exchange rate level of RMB is evaluated. The empirical results show that the real effective exchange rate of RMB is relatively undervalued compared with the equilibrium real exchange rate of RMB between 2005 and 2008. The effective exchange rate of the RMB was basically close to the equilibrium real exchange rate in 2008. After 2008, on the one hand, because of the impact of the economic crisis, On the other hand, countries such as Europe and the United States have put pressure on the renminbi and the dollar has fallen sharply abroad, which has led to a slight overvaluation of the renminbi's real effective exchange rate. The author judges that with the arrival of the post-crisis era, the RMB exchange rate will return to equilibrium level and gradually stabilize. Based on the above theory, the empirical research results, and finally through the comparative analysis with the appreciation of the yen, this paper discusses the impact of RMB exchange rate appreciation, and then puts forward suggestions to further improve the mechanism of RMB exchange rate reform.
【学位授予单位】：福建师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6;F224.32

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