基于行为均衡汇率方法的人民币汇率均衡的条件研究

发布时间：2018-09-06 07:46

【摘要】：中国的宏观经济均衡对整个世界经济均衡的实现发生着深远的影响。作为一种重要的经济变量,汇率对国民经济发展影响越来越大。人民币是否应该升值,到一个什么水平,这对于人民币均衡汇率研究有重要的现实意义。本文介绍了汇率相关概念和均衡汇率理论条件及测算方法,并选择以行为均衡汇率方法测算人民币均衡汇率。行为均衡汇率模型是从统计学意义上通过对实际汇率有影响的基本经济变量,来发现实际汇率和各种汇率决定因素之间的协整关系,以此作为确定均衡汇率的基础。笔者根据国情,以实际有效汇率、劳动生产率、净出口、政府支出、贸易开放度、国外净资产、央行干预指数作为基本经济变量,运用ADF单位根检验、H-P滤波法等计量方法,构造了人民币均衡汇率与基本经济因子的数理模型。然后测算我国人民币均衡汇率水平和汇率失调程度。研究发现实际有效汇率高估和低估交替出现,高估主要发生2000Q4～2003Q1,2005Q4～2006Q1,2008Q1～2009Q3,2013Q2～2013Q4 和整个 2015 年,低估主要发生在 2000Q1-2000Q3,2003Q2～2005Q3,2006Q2～2007Q4,2009Q4～2013Q1 和 2014Q1～2014Q3。高估与低估幅度并不大,最大仅为8.3%。本文在前人的基础上,结合中国的国情,选取了几个具有重要影响力的因素作为变量,并加入央行干预这一因素,以此得出人民币均衡汇率与各影响因素的关系,并提出关于人民币汇率政策和宏观经济调控的建议。最后笔者建议中国政府应推动产业结构调整优化、降低对外需的依赖、汇率政策与货币政策协调搭配、加强资本流动监控,打击热钱流入、推进跨境人民币结算和人民币国际化。
[Abstract]:China's macroeconomic equilibrium has a profound impact on the realization of the world economic equilibrium. As an important economic variable, exchange rate has more and more influence on the development of national economy. Whether or not the RMB should appreciate, to what level, this has important practical significance for the study of RMB equilibrium exchange rate. This paper introduces the related concepts of exchange rate, the theoretical conditions and calculation methods of equilibrium exchange rate, and chooses the behavioral equilibrium exchange rate method to measure the equilibrium exchange rate of RMB. The Behavioral equilibrium Exchange rate Model is to find out the cointegration relationship between the real exchange rate and various determinants of the exchange rate through the basic economic variables that influence the real exchange rate statistically, which is used as the basis for determining the equilibrium exchange rate. Based on the actual effective exchange rate, labor productivity, net export, government expenditure, trade openness, foreign net assets and central bank intervention index as basic economic variables, the author uses the ADF unit root test and H-P filtering method to measure the real effective exchange rate, labor productivity, net export, government expenditure, trade openness, foreign net assets and so on. The mathematical model of RMB equilibrium exchange rate and basic economic factors is constructed. Then we calculate the equilibrium exchange rate and the misadjustment of RMB exchange rate. The study found that the real effective exchange rate was overvalued and undervalued alternately, and the overvaluation occurred mainly in 2000Q4 / 2005Q1/ 2005Q4/ 2006Q1/ 2008Q1/ 2009Q3Q22013Q4 / 2013Q4 / 2013Q4 / 2013Q4 / 2013Q4 / 2003Q22003Q22003Q22003Q22007Q4/ 2007Q4Q4 / 2007Q4Q4Q1 and 2014Q12014Q3Q1 / 2014Q3Q3 / 2003Q22003Q22003Q22003Q22007Q4Q4 / 2007Q4Q4Q4 / 2007Q4Q@@ Overestimate and underestimate the range is not big, the biggest is only 8.3. On the basis of the predecessors, this paper selects several influential factors as variables, and adds the central bank intervention factor to obtain the relationship between the equilibrium exchange rate of RMB and the influencing factors. And put forward about RMB exchange rate policy and macroeconomic regulation and control suggestion. Finally, the author suggests that the Chinese government should promote industrial structure adjustment and optimization, reduce dependence on external demand, coordinate exchange rate policy with monetary policy, strengthen capital flow monitoring, and crack down on hot money inflow. To promote cross-border RMB settlement and RMB internationalization.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

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