人民币均衡实际汇率及汇率失调的开放宏观经济效应

发布时间：2018-07-03 04:48

本文选题：均衡实际汇率 + HSIAO程序　；参考：《华中科技大学》2014年博士论文

【摘要】：近年来,我国宏观经济平稳较快增长、在全球经济中地位举足轻重。然而,一方面,我国经济总体上消费不足而投资过剩,经常账户和资本账户持续保持着双顺差,国内外宏观经济存在失衡的局面；另一方面,以美国为首的西方发达集团不断对人民币汇率施加压力,声称我国是“汇率操纵国”,人民币实际汇率存在严重低估。国内外宏观经济形势都要求我们主动去解决内外部门失衡和汇率争端问题。我国如何实现国内外经济均衡,人民币实际汇率是否低估?实际汇率作为开放宏观经济的核心变量,它是连接国内经济和外部经济的桥梁。此外,均衡实际汇率反映一国国内外经济平衡状况的指标,也是衡量汇率合理与否的标准。因而本文以均衡实际汇率为切入点,来分析和解答上述问题。均衡实际汇率是指内外宏观经济均衡下的实际汇率,它既由国内外基本宏观经济变量决定(比价属性),同时也会反作用于国内外宏观经济变量(杠杠属性)。因而,对均衡实际汇率的研究,不仅要测算均衡实际汇率和评估实际汇率水平的合理性,还需要分析实际汇率失调对国内外宏观经济主要变量的影响,以便找到实现内外平衡、汇率合理稳定的途径,对于我国合理的宏观经济政策和相应的汇率政策具有重要的理论和实践意义。本文首先实证测算了均衡实际汇率,并对当前实际汇率状况进行了评估。在前人理论描述和实证研究的基础上,本文将BEER模型和ERER模型结合起来,采用Hsiao程序确定了最优解释变量,同时考虑了2005年汇改引起的结构突变,通过结构突变协整分析得出了均衡实际汇率与基本经济变量的长期均衡关系,代入由HP滤波得到的解释变量的长期均衡值,从而得到了均衡实际汇率的轨迹。实证结果表明：人民币实际汇率出现了四次低估和三次高估,其中高估时间幅度不大、时间也不长,平均不到1%水平；而1994-1997年、2003-2007年人民币实际汇率则经历了时间较长、幅度较大的低估,尤其是1994年-1997年平均低估5%以上。在估算出汇率失调程度后,本文进一步就实际汇率失调对国内外宏观经济的影响作了实证分析：(1)实际汇率失调对国内物价水平的影响。实际汇率失调对国内三个价格指数CPI、PPI和RPI的传递效应是不完全的,短期来看,PPI的弹性最大为-0.309,但长期来看实际汇率失调对CPI的影响最大为-0.028,实际汇率失调(错位)从总体上会造成国内物价水平的不稳定,给以通货膨胀为目标的货币政策带来不确定性；(2)汇率失调对经济增长和就业的影响。总的来看,实际汇率失调会给本国经济和就业带来不利的负面效应。具体地,短期,人民币实际汇率每低估1%,中国实际GDP增长率就增加0.289%,但长期不利于经济的可持续增长和产业结构的优化；实际汇率高估抑制经济增长,且效应大于0.289。实际汇率失调对就业增长率也有滞后的负面效应,实际汇率每低估0.1个百分点,就业增长率就提高5.6个百分点；(3)实际汇率失调对国际收支的影响。实际汇率失调对经常账户的影响是负向的,实际汇率低(高)估与净出口正(负)相关。具体地,实际汇率每低估1%,则出口增加1.967%、进口降低0.153%,对于以FDI为代表的资本项目,实际汇率失调与FDI负相关,实际汇率低估1%,会使得FDI增加4.24%,因而实际汇率低估反而有利于对国外资本的投资吸引,这或许是缘于外资对我国经济看好和人民币升值预期的综合反映。最后,作者还对引起实际汇率失调的原因作了定性分析,并就实现内外经济平衡的开放宏观经济政策和汇率机制提出了相应的政策建议或制度革新。一国汇率制度的选择、财政政策和货币政策等宏观调控手段的运用、贸易和资本政策是否合乎国情,都会引致实际汇率的失调。这需要一系列政策和工具的组合共同协调来实现我们的内外均衡和汇率稳定合理的目标：实际汇率的自我修复、与汇率政策相一致的财政和货币政策的调控、合理的贸易和资本政策的配合、辅之以适当的汇率政策。
[Abstract]:In recent years , China ' s macro - economy has been steadily increasing rapidly , which plays an important role in the global economy . However , on the one hand , China ' s economy generally has insufficient investment , the current account and the capital account continue to keep the double surplus , the domestic and foreign macro - economy has unbalanced situation ;
On the other hand , the western developed group , led by the United States , is constantly exerting pressure on RMB exchange rate , claiming that our country is " currency manipulator " , and the real exchange rate of RMB is seriously undervalued .

Based on the former theory description and the empirical research , the BEER model and the ERER model are combined , the long - term equilibrium relationship between the equilibrium real exchange rate and the basic economic variable is determined by using the program procedure , and the track of the equilibrium real exchange rate is obtained . The empirical results show that the real exchange rate of RMB has four times of undervaluation and three overvaluation , and the overvaluation time is not large , the time is not long , the average is less than 1 % ;
In 1994 - 1997 , the renminbi ' s actual exchange rate for 2003 - 2007 had experienced a longer time and a greater undervaluation , particularly in 1994 - 1997 , an average of more than 5 per cent .

After estimating the degree of exchange rate offset , this paper makes an empirical analysis on the effect of real exchange rate offset on domestic price level . The effect of real exchange rate offset on the domestic price index is incomplete . In the short term , PPI ' s elasticity is up to - 0.309 , but in the long run , the effect of real exchange rate offset on CPI is - 0.028 , and the real exchange rate offset ( offset ) can cause the instability of domestic price level , which brings uncertainty to monetary policy aiming at inflation .
( 2 ) The effect of exchange rate offset on economic growth and employment . In general , real exchange rate offset can bring adverse effects to domestic economy and employment . In particular , the real GDP growth rate of China is increased by 0 . 289 % , but it is not conducive to the sustainable growth of economy and the optimization of industrial structure .
Real exchange rate overvaluation suppresses economic growth , and the effect is greater than 0.289 . Real exchange rate offset has a negative effect on employment growth rate . The actual exchange rate is undervalued by 0.1 percentage point , and the growth rate of employment increases by 5.6 percentage points ;
( 3 ) The effect of actual exchange rate offset on the balance of payments is negative . The actual exchange rate is low ( high ) is related to net export positive ( negative ) . In particular , the actual exchange rate is 1 % lower than that of the net exports . In particular , the actual exchange rate is reduced by 1 % , and the real exchange rate is reduced by 0 . 153 % . The real exchange rate is undervalued by 1 % . Therefore , the actual exchange rate is undervalued , which is beneficial to the investment attraction of foreign capital , which may be due to the comprehensive reflection of foreign investment on our economy and the expectation of RMB appreciation .

Finally , the author makes a qualitative analysis on the causes of real exchange rate adjustment , and puts forward the corresponding policy suggestion or system innovation on the open macro - control policy and exchange rate mechanism of realizing internal and external economic equilibrium . The application of macro - control measures such as the choice of the country ' s exchange rate system , fiscal policy and monetary policy , etc .
【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.6

【参考文献】