汇率预期影响下的人民币汇率与中美贸易收支关系的研究

发布时间：2019-06-02 01:45

【摘要】：人民币汇率走势及其升值预期已经成为国际焦点话题。美国等西方国家不断向中国政府施加压力,要求人民币升值,导致了人民币汇率的升值预期进一步上升。我国从2005年7月的汇率改革至今,人民币升值幅度已经达到30%之多,而且一直是单边升值。截至2011年12月,人民币对美元汇率降至1美元兑6.3281元人民币。从中长期看,人民币仍有升值压力。根据经典的国际收支理论,一国进出口贸易条件只要满足“马歇尔—勒纳”条件,货币升值会恶化一国贸易收支,贬值则能改善一国贸易收支。然而本文通过对人民币汇率制度的演变过程和中美贸易收支关系的发展历程的回顾,发现除了1994年我国汇率改革使人民币汇率瞬时大幅贬值对中国贸易收支改善有比较明显的促进作用以外,大多数时间里,人民币汇率升值并未使中国对美国巨额顺差得到显著改善。在第一章中,本文针对人民币升值预期这一热点话题展开讨论,试图解释实际现象与经典理论不符的原因。提出了本文的研究思路、论文框架及创新和不足。基本观点是：人民币汇率对中美贸易收支的影响有限,除汇率以外的其他因素却对中美贸易收支具有比较大的影响。其中,汇率预期应作为一个不容忽略的影响因素存在。因为现实经济中,一国居民作为长期效用最大化者,其选择行为不仅受到当期价格的影响,必然也会受到所预期的未来价格(汇率预期)的影响。在第二章中,本文将分别对汇率及汇率预期与贸易收支关系的理论和实证研究进行梳理。从现有研究文献可以发现,汇率变动与国际贸易收支之间的关系,长期以来一直是国内外学者集中研究的问题。由于所使用的实证方法、数据以及研究的目标时间段和关系不同,这部分文献还比较凌乱,尚未形成一致的结论。尤其是关于汇率预期与贸易收支关系的研究,国内外尚处于初步探索阶段。理论研究并没有建立在消费者行为的基础上,而是直接对宏观变量的关系进行假设,缺乏必要的微观基础；实证研究尚不完善,未能给出包含汇率预期在内的变量间的动态过程,也没有探索影响贸易余额各因素的相对重要性。本文力图在继承以上研究成果的基础之上,从这些方面加以改进。在第三章中,本文对人民币汇率制度的演变和中美贸易收支关系的发展历程进行了回顾。可以看出,人民币汇率制度的发展历程大致是一个由完全被政府控制的固定汇率制到形成人民币市场汇率的过程,是政府干预逐渐减弱、市场作用不断增强、人民币汇率弹性不断加大的过程。其间,人民币汇率经历了大幅贬值、基本稳定到缓步升值的发展阶段。但是现阶段的人民币汇率制度,很大程度上还依赖于政府的干预,没有形成完全市场化的汇率。实际上,人民币汇率升值并未使中国对美国巨额顺差得到显著改善。在第四章中,本文针对以上问题,提出相关假设,并构建了一个两国家,分别生产两种贸易品,在两个时期的收入为确定,并且共同面临既定的世界利率,拥有相同的效用函数的跨期消费选择模型。从理论模型的角度来分析人民币实际汇率、人民币汇率预期、中国收入、美国收入对中美贸易余额的影响。得出结论是：中美贸易余额是人民币实际汇率、人民币汇率预期、中国收入、美国收入4个变量的函数；中国对美国贸易顺差受到人民币汇率和美国收入的正向影响、受到汇率预期和中国收入的反向影响。因此,本币贬值对出口需求的影响有可能会被同方向的汇率预期的变动所抵消,当期本币的贬值未必会带来贸易余额的改善,特别是在汇率的变动呈现出一定趋势,汇率预期稳定的情况下。在第五章中,本文将通过实证研究对理论模型的结论进行验证。先对1999年1月至2011年4月期间相关变量月度数据的对数值进行平稳性检验,得出所有变量均为一阶单整单位根过程。再运用Johansen协整检验的方法和向量误差修正模型(VEC)分析各个变量之间的关系。结果表明,在中美贸易余额、人民币实际汇率、人民币汇率预期、中国实际收入和美国实际收入之间存在协整关系,并且其相互关系同理论模型的结论一致。此外,本文在向量误差修正模型的基础上,进行了方差分解和脉冲响应函数的计算。结果表明,中美贸易余额并不存在“J曲线效应”；人民币汇率与汇率预期对中美贸易余额的影响是暂时性的,从长期来看,人民币汇率及汇率预期对中美贸易余额的解释力远远小于收入因素。而其中,美国收入因素又是最具有解释力的,因此可以认为,中美双边贸易失衡,中国巨额贸易顺差形成的最主要原因在于美国方面对中国的进口需求而不是人民币汇率水平及汇率制度。在第六章中,本文进行了研究结论总结,并基于我国外汇市场的现状和我国国情,从引导汇率预期的角度出发,提出了相关政策建议。认为把中美贸易不平衡的问题简单归咎于人民币被低估的说法是不正确的,美国各界所鼓吹的人民币升值论根本无法缓解美国巨额的贸易逆差。这一观点直接导致要求人民币升值的呼声高涨,使人民币形成持续的升值预期,反而将继续导致中国对美贸易顺差居高不下。对我国人民币汇率的关注焦点不应该脱离我国的利益诉求,并且不能违背对市场技术规律的把握。在面对外界施加的人民币升值压力时,我国需要自己化解,也需要国际社会能给予理解和融通。中国是发展中国家,人民币作为中国的本币尚未完全开放,缺少制度保障体制,并不能超越货币资质承担不能也不应该驾驭的国际责任,中国的汇率政策应满足自身所处阶段的发展诉求,以及自我保护对策的原则。
[Abstract]:The trend of RMB exchange rate and its appreciation are expected to be the subject of international focus. Western countries, such as the United States, are constantly putting pressure on the Chinese government to appreciate the yuan's appreciation, which has led to a further increase in the value of the yuan's exchange rate. Since the reform of the exchange rate in July 2005, the appreciation of the RMB has reached as much as 30% and has been a one-sided appreciation. As of December 2011, the currency fell to a dollar of 6.3281 yuan against the dollar. In the medium and long term, the yuan still has a pressure of appreciation. According to the classical balance-of-payments theory, a country's trade-of-trade terms can improve a country's trade and expenditure, and the depreciation can improve a country's trade and expenditure as long as it meets the "Marshall 'sellner" conditions. However, through the review of the evolution of the RMB exchange rate system and the development of the relationship between China and the U.S. trade and expenditure, it is found that, in addition to the effect of China's exchange rate reform in 1994, the rapid depreciation of the RMB exchange rate has a significant effect on the improvement of China's trade and expenditure, most of the time In the past, the appreciation of the RMB exchange rate did not significantly change China's huge surplus to the United States In the first chapter, this paper discusses the topic of appreciation of the RMB, and tries to explain that the actual phenomenon is not in line with the classical theory. The reason of this paper is to put forward the thought, framework and innovation of this paper. The basic point of view is that the effect of the RMB exchange rate on the trade and expenditure of China and the United States is limited, but other factors other than the exchange rate have a great effect on the trade and expenditure of China and the United States The effect of the exchange rate is expected to be an unnegligible effect. In that real economy, the choice behavior of a country is not only influenced by the current price, but also be subject to the expected future price (expected of the exchange rate). In the second chapter, the paper will study the relationship between the exchange rate and the exchange rate expectation and the trade income and expenditure, respectively. The relationship between exchange rate and international trade and expenditure has long been the focus of domestic and foreign scholars. The problem of the study is that, due to the different empirical methods, data and the target time period and relationship of the study, this part of the literature is also messy and has not yet been formed. A consistent conclusion. In particular, the study on the relationship between the expected exchange rate and the balance of trade and expenditure, at home and abroad, is at the beginning of the year. The research of the theory is not based on the behavior of the consumer, but the relationship between the macro variables is assumed, the necessary micro-base is lacking, the empirical study is not perfect, and the variable room, including the expected exchange rate, is not given. The dynamic process of the trade balance has not been explored and the factors that affect the balance of trade balance are not explored. The paper tries to find out the relative importance of the above research results. The development of the RMB exchange rate system and the development of the relationship between China and the U.S. trade and expenditure in the third chapter The course is reviewed. It can be seen that the development of the RMB exchange rate system is a process of the exchange rate of the fixed exchange rate fully controlled by the government to the formation of the RMB market exchange rate, which is the gradual weakening of the government's intervention, the continuous enhancement of the role of the market and the elasticity of the RMB exchange rate The process of increasing, in which the RMB exchange rate has experienced a significant depreciation, is basically stable to a slow step However, the current RMB exchange rate system is largely dependent on the government's intervention and has not been formed The full-market exchange rate. In fact, the appreciation of the yuan's exchange rate did not make China's big difference to the U.S. In the fourth chapter, this paper puts forward the relevant assumptions and constructs a two-country two-country production of two kinds of trade products. The income of the two periods is determined and the established world interest rate is faced together, and has the same utility function. From the perspective of the theoretical model, the real exchange rate of the RMB, the expected rate of the RMB exchange rate, the income of China and the income of the United States are analyzed. The effect of Sino-US trade balance is that the trade balance between China and the United States is a function of the real exchange rate of the RMB, the expected exchange rate of the RMB, the income of China and the income of the United States. China's trade surplus with the United States is positively influenced by the RMB exchange rate and the income of the United States, and is expected by the exchange rate. As a result, the impact of the depreciation of the local currency on the export demand can be offset by the expected change of the exchange rate in the same direction. The depreciation of the local currency in the current period does not necessarily lead to the improvement of the trade balance, especially in the exchange rate. The rate is expected to be stable. In the fifth chapter, this paper will adopt an empirical study. The results of the theoretical model are verified. The numerical values of the monthly data of the relevant variables from January 1999 to April 2011 are tested for stationarity, and all the variables are obtained. The method of Johansen co-integration test and vector error correction model (VEC) are used. The results show that there is a cointegration relationship between China and the U.S. trade balance, the real exchange rate of the RMB, the expected exchange rate of the RMB, the real income of China and the real income of the United States, and it is related to each other. In addition, on the basis of the vector error correction model, the variance analysis is carried out on the basis of the vector error correction model. The results show that the trade balance between China and the United States does not exist in "J-curve effect". The effect of RMB exchange rate and exchange rate on Sino-US trade balance is temporary. In the long term, the exchange rate and exchange rate of RMB are expected to be the balance between China and the United States. The explanation is far less than the income factor, and in which the U.S. income is the most explained, it can be said that the two-way imbalance between China and the United States, the most important reason for China's huge trade surplus, is the U.S. import demand for China, not the one On the basis of the present situation of the foreign exchange market and the national conditions of our country, the paper makes a summary of the exchange rate and the exchange rate system of the people's currency, and based on the present situation of the foreign exchange market in our country and the national conditions of our country, from the angle of the expected value of the From the point of view, the relevant policy suggestions are put forward. It is not correct that the issue of the imbalance between China and the United States is simply attributed to the undervaluation of the RMB, and the value of the RMB appreciation advocated by the various circles of the United States is not correct. The huge trade deficit in the U.S. could not be alleviated. This view directly led to a surge in the call for a rise in the yuan, which would continue to lead to a sustained appreciation of the renminbi. China's trade surplus with the United States is high. The focus of China's RMB exchange rate should not be separated from the interests of our country, and not can run counter to the grasp of the market technical law. In the face of the pressure of the RMB appreciation, China needs to resolve itself, and also need to China is a developing country, the currency is not fully open in the local currency of China, the system guarantee system is missing, and cannot exceed the international responsibility that cannot be controlled by the qualification of the currency. China's exchange rate policy should To meet the development of the stage of the self.
【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;F752.7;F224

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