人民币“内贬外升”的原因与机制研究

发布时间：2018-06-02 15:51

本文选题：人民币“内贬外升” + 购买力平价　；参考：《中国社会科学院研究生院》2014年博士论文

【摘要】：自2005年7月人民币汇率制度改革以来，人民币币值出现对内贬值、对外升值的现象。人民币的“外升”非常明显，既表现为人民币相对美元的升值，也表现为人民币相对一篮子货币的升值。人民币的“内贬”则体现在国内物价的上涨。人民币的“内贬外升”及背后的内外失衡给中国经济运行和政策制定带来了一系列巨大的冲击和挑战，例如企业生产经营环境恶化、中小微型企业融资难度加大、资源配置效率下降、货币政策操作难度加大、外汇储备及其管理风险大幅上升、商业银行盈利能力削弱、金融监管难度增大和金融风险上升等等。论文从购买力平价、利率平价、国际收支、全球视角这四个维度分析人民币“内贬外升”的原因与机制，探讨各维度之间的逻辑关系，并提出相应的政策建议。研究表明，人民币的“内贬外升”有五个方面的原因。第一，从相对购买力平价角度来看，1998-2002年人民币的“内升”（通货紧缩）导致人民币实际汇率贬值并偏离均值水平，，2005年之后的人民币“内贬外升”是人民币实际汇率均值回归的结果。第二，从绝对购买力平价和巴拉萨-萨缪尔森视角来看，中国在经济赶超阶段，可贸易品部门劳动生产率增长率远高于不可贸易部门以及劳动力供给拐点的出现，导致不可贸易部门（例如服务业）价格上涨较快，并造成国内结构性物价上涨和人民币实际汇率升值。从绝对购买力平价视角来看，随着中国人均收入的提高，人民币通过实际汇率升值逐步逼近购买力平价水平。第三，从利率平价视角来看，“套息交易循环”加剧了人民币的“内贬外升”。在外生变量作用下出现的人民币升值预期引发了套息交易，从而导致资本通过各个渠道大规模流入中国境内，并导致国内宽松的货币信贷环境和低利率，进而造成人民币“内贬”、中国央行加息和收紧银根，最终导致人民币升值预期的强化和套息交易的加剧。“套息交易循环”导致人民币“内贬外升”自我实现、自我强化，具有内生性的特征。第四，从国际收支视角来看，经济发展阶段、收入分配、人口结构、房价上涨、热钱流入等因素导致中国储蓄率升至异常高的水平，进而促使经常项目顺差占GDP之比从2000年的1.7%大幅提高至2007年的10.1%。巨大的经常项目顺差导致人民币的升值压力持续升温。“高储蓄循环”是导致人民币“内贬外升”自我强化的又一个内生机制。经济发展阶段等外生变量导致中国出现高储蓄率，并造成高顺差和人民币“外升”，从而推动热钱流入和宽松的货币信贷环境，进而导致人民币“内贬”和房价上涨。热钱流入和房价上涨导致储蓄率进一步提高。第五，从全球视角来看，全球失衡和“双速增长”导致人民币和其他新兴经济体货币“内贬外升”。2000年之后，新兴经济体储蓄率大幅提高，经常项目顺差持续扩大，而美国则出现巨额的经常项目逆差，这促使新兴经济体货币兑美元名义汇率升值。在美元本位的国际货币体系以及全球经济“双速增长”的背景之下，美元长期走弱和长期低利率加剧套息交易，导致包括中国在内的新兴市场经济体货币“内贬外升”。除此之外，论文还纠正了运用绝对购买力平价理论和巴拉萨-萨缪尔森理论判断人民币币值低估/高估研究中的误区：只要人民币兑美元汇率高于（绝对）购买力平价，人民币汇率就是低估的（例如英国《经济学家》杂志编制的巨无霸汉堡包指数）。从巴拉萨-萨缪尔森理论视角来看，在中国目前的发展阶段（人均收入仅为美国的八分之一），人民币兑美元汇率高于（绝对）购买力平价是符合发展规律的。论文的研究表明，国际金融危机爆发之后，世界经济发生深刻的变化，尤其是近一两年来人民币（以及其他新兴经济体货币）“内贬外升”出现阶段性缓解，甚至可能逆转。原因包括四个方面：第一，近年来由于人民币兑美元实际汇率升值过快（“内贬外升”过于剧烈），无论是从相对购买力平价理论视角来看，还是从巴拉萨-萨缪尔森理论视角来看，短期内人民币汇率均已达到合理水平，甚至有所高估。第二，“四万亿投资计划”等外生变量冲击导致中国的储蓄投资缺口缩窄、国际收支失衡大大改善，并在很大程度上打破了“高储蓄循环”、“套息交易循环”等促使人民币“内贬外升”自我强化的内生机制。第三，国际金融危机、欧洲主权债务危机迫使美国和欧洲国家进行经济结构调整，发达经济体经常项目逆差大幅缩窄，基本恢复国际收支平衡。第四，美联储启动缩减量化宽松货币政策规模导致套息交易资金回流，并引发新兴经济体金融市场动荡和货币贬值。尽管目前为止，人民币汇率并未受到大的冲击，但是人民币升值预期已经大大削弱。当然，长期来看，只要中国经济继续保持较快的增长率，全球经济“双速增长”的格局不变，中美人均收入和可贸易部门的劳动生产率差距持续缩窄，人民币实际汇率仍然将呈现升值的趋势。总而言之，人民币“内贬外升”既是外生变量引发的现象，又有内生机制（“套息交易循环”、“高储蓄循环”）在发挥作用。进一步看，“内贬外升”不是人民币特有的现象，而是新兴经济体所共有的现象。在美元本位制和“双速增长”背景下，新兴经济体陷入一个两难困境，要么忍受套息交易、“内贬外升”、货币政策独立性削弱等问题；要么牺牲经济和金融稳定。推动人民币国际化，加快推进国际货币体系改革，形成美元、欧元、人民币三足鼎立的国际货币体系是化解这一两难困境的重要途径。对中国而言，解决人民币“内贬外升”带来的问题，一方面，需要推动中国经济自身的结构调整和人民币汇率制度改革，另一方面，还需要积极稳妥推进资本项目可兑换、人民币国际化和国际货币体系改革。
[Abstract]:Since the reform of RMB exchange rate system in July 2005 , the value of RMB has been devalued and the phenomenon of external appreciation is the phenomenon of RMB ' s external appreciation . The RMB ' s internal and external imbalance has brought a series of great impacts and challenges to China ' s economic operation and policy formulation , such as the deterioration of the enterprise ' s production and management environment , the increase in the financing difficulty of the small and medium - sized enterprises , the weakening of the financial supervision difficulty and the rise of financial risk .

First , from the relative purchasing power parity point of view , the RMB " inner rise " ( deflation ) of RMB 1998 - 2002 has caused the RMB real exchange rate to devalue and deviate from the mean level , and the RMB " internal devaluation " after 2005 is the result of the return of the real exchange rate of RMB .

Secondly , from the perspective of absolute purchasing power parity and Barra - Samusen , China ' s labor productivity growth rate in the tradable goods sector is much higher than that of the non - tradable sector and labor supply inflection point , which leads to higher prices of non - tradable sectors ( e.g . , service industries ) and the appreciation of the real exchange rate of RMB . From the perspective of absolute purchasing power parity , with the increase of China ' s per capita income , the yuan gradually approaches the purchasing power parity level through the appreciation of real exchange rate .

Third , from the point of view of the interest rate parity , the " set - up trading cycle " has exacerbated the renminbi ' s " fall - down " . The renminbi appreciation , which appears under the influence of exogenous variables , is expected to lead to a set of interest - bearing transactions , leading to a large - scale inflow of capital through all channels into China , resulting in a stronger currency credit environment and low interest rates in China , resulting in a stronger currency credit environment and a tightening of silver , resulting in a stronger appreciation of the renminbi and an intensification of the hedging transaction . The " set - up transaction cycle " results in a self - realization , self - strengthening , and endogenic characteristics of the renminbi .

Fourth , from the point of view of balance of payments , the economic development stage , income distribution , population structure , house price rise , hot money inflow and other factors lead to the rise of China ' s savings rate to an abnormally high level .

Fifth , global imbalances and " double - speed growth " , from a global perspective , have led to the renminbi and other emerging economies ' currencies ' falling outside . ' In 2000 , the savings rate in emerging economies has risen dramatically , while the United States has seen a substantial deficit in the dollar ' s nominal exchange rate . The dollar ' s long - term weakness and long - term low interest rates have exacerbated the rate of interest - bearing deals in the dollar - based international monetary system and the global economy ' s double - speed growth , leading to " falling outside " currencies in emerging market economies , including China .

In addition to this , the paper also corrected the erroneous zone of using the theory of absolute purchasing power parity and Barraza - Samusen ' s theory to judge the undervalued / undervaluation of the RMB : as long as the exchange rate of RMB is higher than ( absolute ) purchasing power parity , the RMB exchange rate is undervalued ( for example , the Big Mac hamburger index compiled by British economist Yan Magazine ) . From the perspective of Barraza - Samusen , China ' s current development stage ( per capita income is only one eighth of the United States ) , and the exchange rate of RMB to the US dollar is higher than ( absolute ) purchasing power parity is in accordance with the development law .

The study shows that after the outbreak of the international financial crisis , the world economy has undergone profound changes , especially in the recent two years ( as well as the currency of other emerging economies ) .

Of course , in the long run , as long as the Chinese economy continues to maintain a faster growth rate , the global economy " double - speed growth " remains unchanged , and the gap between the average per capita income and the labor productivity of the tradable sector continues to narrow , and the renminbi ' s real exchange rate will still show a trend of appreciation .

All in all , the RMB " internal and external uplift " is not only the phenomenon of exogenous variable , but also the endogenous mechanism ( " hedging transaction cycle " and " high saving cycle " ) .
To promote the internationalization of RMB , accelerate the reform of international monetary system , form the international monetary system of USD , Euro and RMB is an important way to resolve the dilemma . On the one hand , it is necessary to promote the adjustment of China ' s economy and the reform of RMB exchange rate system . On the other hand , it is necessary to push forward the reform of capital project convertible , RMB internationalization and international monetary system .
【学位授予单位】：中国社会科学院研究生院
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F822.0;F832.6

【参考文献】