中国经济的内外均衡与人民币均衡汇率

发布时间：2018-01-03 14:30

本文关键词：中国经济的内外均衡与人民币均衡汇率　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文首先对中国经济的内外失衡现状进行了分析,认为中国的内外失衡本质上是源白外部失衡的内部货币供给失衡,即在资本管制和货币错配下的外部顺差对国内货币供给结构的冲击。因此国内均衡的一大目标是控制货币供给进而通货膨胀。同时,根据中国国情保增长也作为内部均衡的重要目标,而维持一定程度的经常账户失衡对实现这一目标有重要意义。汇率将发挥其杠杆属性成为实现这两个目标的政策工具。之后本文分析了汇率与经常账户以及国内货币供给之间的关系,提出人民币汇率对维系一定程度合意的经常账户顺差将发挥作用；同时本文基于费雪方程式,推导了人民币汇率对国内通货膨胀率的调节机制。而前者为中国的外部均衡目标,后者为中国的内部均衡目标。接下来本文基于上述机制对现实经济进行实证检验,结果表明相关变量之间是长期均衡的,汇率与外部均衡目标(合意的经常账户占GDP比重)的长期均衡(协整)关系如下：CAGDPSAt=0.94×PPPt-0.52×IRPt-1.43×WECt+0.11 其中CAGDPSAt为经常账户占GDP比重(季调),PPPt为购买力评价形式的人民币汇率,IRPt为利率平价,WECt为世界经济产出周期。同时,在使用人民币的购买力平价形式之前,我们计算了美元兑人民币双边名义汇率的PPP,发现人民币汇率自1996年三季度至2007年四季度符合相对购买力平价形式,2008年1季度至今符合绝对购买力平价形式。汇率与内部均衡目标(通货膨胀率)的长期均衡(协整)关系如下：RMBt=1.25×CPIt-0.33×IRPt+0.001 其中RMBt为人民币名义汇率同比升值幅度,CPIt为国内消费者价格指数同比增幅,IRPt为利率平价。最后本文根据汇率在上述内外均衡机制中的作用,估算了相应的汇率错配并计算了对应的均衡汇率水平。结果显示人民币除2008年金融危机前一段时间以及2011年至今存在一定超过均衡水平的升值幅度外基本处于均衡水平。
[Abstract]:This paper first analyzes the present situation of internal and external imbalances in China ' s economy , believes that China ' s internal and external imbalances are essentially the internal monetary supply imbalance of the external imbalance of the source and white , that is , the impact of the external surplus on the domestic money supply structure under the capital control and the currency mismatch . The goal of domestic equilibrium is to control the supply of money and inflation . At the same time , the balance of the current account balance is of great significance to the achievement of this goal . The exchange rate will exert its leverage attribute to be the policy tool to realize these two objectives . After analyzing the relationship between exchange rate and current account and domestic money supply , this paper puts forward that RMB exchange rate will play a role in maintaining a certain degree of common account surplus . At the same time , based on Fisher ' s equation , the adjustment mechanism of RMB exchange rate on domestic inflation rate is derived . The former is the external equilibrium goal of China , which is the internal equilibrium goal of China . Then , based on the above - mentioned mechanism , this paper empirically tests the real economy . The results show that the long - term equilibrium between the relevant variables and the long - term equilibrium ( co - integration ) relationship between the exchange rate and the external equilibrium goal ( the common current account for GDP ) is as follows : CAGDPSAt = 0.94 脳 PPPt - 0.52 脳 IRPt - 1.43 脳 WECt + 0.11 Among them , CAGDPSAt is the regular account accounting for GDP ( quarterly ) , PPPt is the exchange rate of the purchasing power evaluation form , IRPt is the interest rate flat rate , and WECt is the world economic output period . At the same time , we calculated PPP against RMB bilateral nominal exchange rate before using the purchasing power parity form of RMB , and found that RMB exchange rate was in the form of relative purchasing power parity in the third quarter of 1996 to fourth quarter of 2007 . In the first quarter of 2008 , it was in the form of absolute purchasing power parity . The long - term equilibrium ( co - integration ) relationship between the exchange rate and the internal equilibrium goal ( inflation rate ) is as follows : RMBt = 1.25 脳 CPIt - 0.33 脳 IRPt + 0.001 Among them , RMB t is the nominal exchange rate of RMB on the basis of the year - on - year appreciation of RMB , CPIt is the year - on - year increase of domestic consumer price index , and IRPt is the interest rate parity . At last , according to the role of the exchange rate in the above - mentioned internal and external equilibrium mechanism , the corresponding exchange rate mismatch is estimated and the corresponding equilibrium exchange rate level is calculated . The results show that the RMB has been basically at the equilibrium level except for some time before the 2008 financial crisis and in 2011 to date .

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52

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