人民币均衡汇率理论分析及改进模型测算

发布时间：2018-05-20 13:44

本文选题：人民币均衡汇率 + 宏观均衡　；参考：《吉林大学》2014年硕士论文

【摘要】：国外的均衡汇率理论对人民币均衡汇率研究有一定的启发意义，但已有的均衡汇率模型并不能很好地拟合人民币汇率变动趋势。基于中国的基本国情和国内外宏观均衡建立创新的人民币均衡汇率模型非常必要。本文旨在结合中国基本国情，探索人民币汇率决定条件和制约人民币汇率变动的因素，研究市场供求因素和外部国际环境对人民币汇率决定的机制。首先，本文阐述并分析国内外已成体系的均衡汇率理论，并研究人民币均衡汇率的测算方法。然后在符合中国基本国情的条件下，利用行为均衡理论对人民币均衡汇率进行计量方法研究，发掘不同宏观经济变量对人民币均衡汇率形成机制的影响。此后结合我国宏观均衡分析，利用长中短期基本面因素对均衡汇率的决定作用构建人民币均衡汇率模型。本文采用1996年-2013年的季度数据对人民币均衡汇率模型进行协整分析，并写出长期均衡的协整模型。在长期模型基础上进行误差修正，得到均衡汇率的短期误差修正模型，并通过脉冲分析研究各解释变量对均衡汇率的冲击影响。最后，利用HP滤波法和长期协整模型求出各期人民币均衡汇率和实际汇率错位百分比，并绘制出直观的人民币汇率错位图，分析人民币的失调情况，给出减少失调程度的对策。论文在BEER模型（行为均衡模型）的理论基础上，从贸易自由化、全球经济发展、货币供求和外部国际市场环境等多个方面探索决定人民币均衡汇率的基本因素，建立符合中国基本国情的均衡汇率模型。在考虑长期、中期和短期三种因素对人民币汇率的决定过程中，创新性地加入固定资产投资、经济增速、房地产市场和金融市场等指标，，使用最新数据进行实证研究，并对人民币汇率的错位进行测算分析。汇率的短期误差修正模型分析能够很好的拟合实际情况，人民币汇率错位分析有助于找出失调的根源，给出调控的可操作性对策建议，有一定的实际意义。人民币均衡汇率短期模型的脉冲分析显示广义货币供应量对人民币均衡汇率的冲击影响最大，而反映我国外汇储备的国外净资产指标对人民币均衡汇率的冲击影响并没有想象中的剧烈。人民币实际有效汇率是指选取2010年为基期（REER2010=100），61个样本经济体作为货币篮子，中国与其他60个经济体价格水平比较，经过调整后的人民币名义有效汇率。人民币实际有效汇率排除了本国通货膨胀等因素的影响，能够真实反映人民币汇率的波动。人民币汇率失调的测算显示，1996年-2013年人民币汇率的失调主要受到两次世界经济危机的影响，且人民币实际有效汇率回复到均衡水平的速度相当缓慢。我国货币当局应在经济危机时采取相关措施，避免人民币汇率的大幅高估或大幅低估，提高对突发危机的应变能力。货币当局应充分考虑周边贸易经济体的双边汇率，根据贸易规模的大小设定权重，去除本国通货膨胀等因素，得到反映人民币真实有效汇率的指标，然后根据该指标偏离均衡汇率的程度设定合理的波动上下限。货币当局不应在制定汇率波动区间时过分保守，应放宽汇率波动区间，发挥市场供求调节作用，减少投机行为。
[Abstract]:The equilibrium exchange rate theory of foreign countries has some enlightening significance on the study of the RMB equilibrium exchange rate, but the existing equilibrium exchange rate model can not fit the change trend of the RMB exchange rate very well. It is necessary to establish an innovative RMB equilibrium exchange rate model based on the basic national conditions of China and the macroeconomic equilibrium at home and abroad. This paper aims to combine the Chinese basis with the Chinese basis. In the present situation, we explore the determinants of the RMB exchange rate and the factors that restrict the change of the RMB exchange rate, and study the mechanism of the market supply and demand factors and the external international environment on the determination of the RMB exchange rate.
First, this paper expounds and analyzes the equilibrium exchange rate theory of the domestic and foreign system, and studies the calculation method of the equilibrium exchange rate of RMB. Then, under the conditions of China's basic national conditions, we study the equilibrium exchange rate of RMB by using the theory of behavior equilibrium and explore the formation machine of the equilibrium exchange rate of RMB that is not the same as the macroeconomic variables. In this paper, the equilibrium exchange rate model of RMB is constructed by using the long medium and short term basic factors to determine the equilibrium exchange rate. This paper uses the quarterly data of 1996 -2013 to carry out Cointegration Analysis on the equilibrium exchange rate model of RMB, and write a long term equilibrium cointegration model. The short-term error correction model of the equilibrium exchange rate is obtained, and the impact of the explanatory variables on the equilibrium exchange rate is studied by the pulse analysis. Finally, the HP filtering method and the long-term cointegration model are used to find the equilibrium exchange rate of RMB and the percentage of the actual exchange rate dislocation in each period, and draw a visual exchange rate map of the RMB exchange rate. The imbalance of the renminbi gives the countermeasures to reduce the degree of maladjustment.
On the basis of the theory of BEER model (behavior equilibrium model), this paper explores the basic factors that determine the equilibrium exchange rate of RMB from the aspects of trade liberalization, global economic development, money supply and demand and the external international market environment, and establishes a balanced exchange rate model in line with the basic conditions of China. Three factors are considered in the long term, medium and short term. In the process of determining RMB exchange rate, the investment of fixed assets, economic growth, real estate market and financial market are used to make an empirical study, and the misposition of RMB exchange rate is calculated and analyzed. The analysis of the short-term error correction model of the exchange rate can well fit the actual situation, the exchange rate of RMB exchange rate. The misalignment analysis helps to find out the root of the imbalance and gives the maneuverability countermeasures and suggestions, which has certain practical significance. The pulse analysis of the short-term model of the RMB equilibrium exchange rate shows that the impact of the broad money supply on the RMB equilibrium exchange rate has the greatest impact, while the foreign net assets index of our foreign exchange reserves is balanced to the balance of RMB. The impact of the exchange rate has not been affected by the intensity of the imagination.
The actual effective exchange rate of RMB is to select the 2010 as the base period (REER2010=100), 61 sample economies as the currency basket, China and the other 60 economies, the nominal effective exchange rate after the adjustment. The real effective exchange rate of the RMB excludes the influence of domestic inflation and other factors, which can truly reflect people. The measurement of RMB exchange rate imbalance shows that the imbalance of RMB exchange rate in 1996 was mainly affected by two world economic crises, and the rate of RMB real effective exchange rate returned to the equilibrium level was very slow. The monetary authorities should take relevant measures to avoid the RMB exchange rate in the period of economic crisis. The monetary authorities should take full consideration of the bilateral exchange rate of the surrounding trade economies, set weights according to the size of the trade, remove the national inflation and other factors to reflect the real effective exchange rate of the RMB, and then deviate from the equilibrium exchange rate according to the index. The monetary authorities should not be excessively conservative in formulating the range of exchange rate fluctuations, and should relax the range of exchange rate fluctuations, play the role of market supply and demand, and reduce speculation.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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