人民币均衡汇率及其影响因素研究

发布时间：2018-06-22 14:32

本文选题：均衡汇率 + BEER　；参考：《天津财经大学》2014年硕士论文

【摘要】：汇率会影响资源的有效配置,汇率的合理与否对贸易部门和非贸易部门资源流动具有重要的调节和引导作用。汇率的失衡即汇率的高估或低估会使得一国付出巨大的福利成本,还会错误地引导资源配置和经济重心的发展,甚至造成经济的不稳定。均衡汇率构成一国货币交换的基础,在现实操作中,特别是在国际货币基金组织牙买加体系下,世界各国货币当局的政策制定越来越依赖均衡汇率水平作为参考。本文通过比较分析的方法梳理了国内外均衡汇率理论及其指导下的实证模型的发展脉络,点评了各模型的优缺点；本文运用理论与实证结合分析的方法,从准确性、可操作性、科学性角度入手选用了行为均衡汇率理论模型进行优化并以作为基础来研究人民币均衡汇率相关问题,在实证研究中,本文运用了约翰森协整检验、ADF检验、H-P滤波等现代计量手段,提高了模型的准确性及科学性；本文还采用了定性与定量结合的方法设计了方差分解模型来探讨均衡汇率各影响因素变化对均衡汇率变化的贡献度。本文通过行为均衡汇率模型对1996-2013年间人民币均衡汇率进行测度,得出人民币汇这十几年既有高估也有低估,1996年一季度到1999年二季度、2000年4季度到2003年1季度、2008年二季度到2009年二季度皆为汇率高估阶段,期间为汇率低估阶段。2009年3季度以后人民币汇率失衡程度有所缓和,开始了小幅震荡阶段,这与汇改重启有关。通过VAR方差分解模型得出,在长期影响均衡汇率变化的主要因素是自身因素、劳动生产率和M2货币量。本文从国际收支失衡、影响资源配置效率、产业结构升级及资本积累等方面分析了汇率失衡的危害,并提出了应对失衡完善人民币汇率改革的政策建议。本文对BEER模型进行了创新,加入了新的解释变量使得模型的准确性大大提高,模型的数据选取考究得当。约翰森协整检验、H-P滤波等现代计量技术的运用使得模型更加科学。本文开创性的设计了方差分解模型,测度了均衡汇率与各影响因素间的关系。本文根据模型结果探讨了汇率失衡的影响,在探讨人民币汇率改革历程及如何应对人民币汇率失衡问题方面本文观点独特鲜明。
[Abstract]:Exchange rate will affect the effective allocation of resources. Whether the exchange rate is reasonable or not plays an important role in regulating and guiding the flow of resources in the trade and non-trade sectors. The imbalance of exchange rate, that is, overvaluation or undervaluation of exchange rate, will make a country pay a huge welfare cost, mislead the allocation of resources and the development of economic center of gravity, and even cause economic instability. Equilibrium exchange rate forms the basis of a country's currency exchange. In practical operation, especially in the Jamaica system of the International Monetary Fund, the policy formulation of monetary authorities in the world is increasingly dependent on the equilibrium exchange rate level as a reference. This paper combs the development of equilibrium exchange rate theory and its empirical model under the guidance of domestic and foreign through comparative analysis, and reviews the advantages and disadvantages of each model, using the method of combining theory and empirical analysis, from the accuracy, maneuverability, From the scientific point of view, this paper selects the behavioral equilibrium exchange rate theory model to optimize and studies the RMB equilibrium exchange rate related problems on the basis of the empirical study. In this paper, the accuracy and scientificity of the model are improved by using modern metrological means such as Johnson cointegration test (ADF) and H-P filter. The variance decomposition model is designed by combining qualitative and quantitative methods to study the contribution of the influence factors of equilibrium exchange rate to the change of equilibrium exchange rate. This paper uses the behavioral equilibrium exchange rate model to measure the RMB equilibrium exchange rate from 1996 to 2013. It is concluded that the RMB exchange rate has been overestimated and undervalued for more than ten years. From the first quarter of 1996 to the second quarter of 1999, from the fourth quarter of 2000 to the first quarter of 2003, and from the second quarter of 2008 to the second quarter of 2009, the exchange rate was overvalued. The currency undervalued period. After the third quarter of 2009, the RMB exchange rate imbalance eased somewhat, began a small period of volatility, which is related to the resumption of currency reform. Based on the VAR variance decomposition model it is concluded that the main factors affecting the equilibrium exchange rate in the long run are their own factors labor productivity and M2 monetary quantity. This paper analyzes the harm of exchange rate imbalance from the aspects of balance of payments imbalance, affecting resource allocation efficiency, upgrading industrial structure and capital accumulation, and puts forward some policy suggestions on how to deal with the imbalance and perfect the reform of RMB exchange rate. In this paper, the BEER model is innovated, and the accuracy of the model is greatly improved by adding new explanatory variables, and the data selection of the model is appropriate. The use of modern metrology techniques such as Johnson's cointegration test and H-P filtering makes the model more scientific. In this paper, the variance decomposition model is designed to measure the relationship between the equilibrium exchange rate and the influencing factors. Based on the results of the model, this paper discusses the influence of exchange rate imbalance, and makes a unique point of view on the course of RMB exchange rate reform and how to deal with the problem of RMB exchange rate imbalance.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

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