《人民币汇率研究-文献综述》

2200040200433misalignment-1-1949-1978194919521949118119671953-196719552.46$1968-1978196711197219722.46$19801.50$19861.001.401.802.202.603.00195719581959196019611962196319641965196619671968196919701971197219731974197519761977197819791980PRINCIPALRATE,PD.AVERAGEinternationalfinancestatistics49-5354-561992ZhangZhichao2001-2-1,20021978111978-1993()0.01.02.03.04.05.06.07.08.09.010.079Q179Q380Q180Q381Q181Q382Q182Q383Q183Q384Q184Q385Q185Q386Q186Q387Q187Q388Q188Q389Q189Q390Q190Q391Q191Q392Q192Q393Q193Q3$internationalfinancestatistics1981-19841979819842198150102.8$ZhangZhichao20001985-19932.8$1985198831985-19901991492(2002),,P83-P86319791980101219818-3-4199019925660%70%80%90%100%110%120%130%140%150%1994-Jan=100%19941994115019930.8199419944300(Shen2001)19948.70$199514(1995)5HoeEeKher1993IMFPPAA/94/1198711199012310.44199111199312310.86LuMaoZu,ZhangZhichao(2000)-4-8.30$8.27$IMF1996121QFII1997719942001442520011117misalignmentPPP,purchasepowerparityCassel1922∗=tttPPePttPt*tettkPPettt)(∗=kk=e0P0*/P0,P0P0*e0(1999)77FrootandRogoff(1994)Edwards,S.andSavastana,M.A.(1999)-5-197510.46199419911680199719942.44$81993199419951004.2$19937$19947.3$19957.5$1997Balassa-SamuelsonEffect()βαππ−−−=−−−$11RMBttteeeRMBtett2001CPIWPICPIWPI709198820008(1997)9(1999)P161-162-6-024681019801981198219831984198519861987198819891990199119921993199419951996$internationalfinancestatistics1980-1993199419961+0.119801981-19841985-19861987-199310199419861997199580199410111∗+−=ttttppeq1011(2000b)-7-2()ttttuppe+−+=∗βα3ttttuppe+−+=∗21ββαChouShih(1998)2000b1978-199911994234Dornbucsh2001n+1122000b1923UIP,uncoveredinterestparityCIP,coveredinterestparity(RIP,realinterestparity)it,it*tt+1etEtet+1tt+1())1(1*1tttttieieE+=+++=•∗eEii-8-•eE12Ft())1(1*ttttieiF+=+it,it*tttifpi=−∗fpt0fpt0CumbyObstfeld(1984)ptpt*tii,tti()()∗∗+∗+−−=−−titttititttippEippEi,,r∗=titir,,CIPCIPCIPUIPCumbyObstfeld(1984)1976-1981Mishkin198419961232001199712(2000)-9-199713()λ+−=−−−$11rreeeRMBttet20001980-199820021999G.L.Goschen1861Theoryofinternationalindebtedness),,,,,,(fEeiiPPYYge∗∗∗=YY*PP*ii*Eef13(1997-10-20-30000-20000-100000100002000030000400005000060000828384858687888990919293949596979899000102internationalfinancestatistics2002(realtargetingapproachZhangZhichao2000)141986198115198819941994180162199443411997199514ZhangZhichao(2000)1516(2000)-11-1999Zhang(1996)()GrangerJZhangDevaluation(Inflationary)1999tttttuExAsiadGDPworldcExChinabaExport+∗+∗+∗+=ttttuGDPChinacExChinabaport+∗+∗+=Im1719971983-19961999LuMaoZuZhangZhichao20001987-199317IMF-12-Granger199218192002misalignmentttttPPeQ∗=QtettPtPt*t20NtTtttPPeQ=PtTPtNtttttCPIWPIeQ∗=21WPIt*tWPICPIttRPItREER1819Chi-ChurChaoandEdenS.H.Yu(1995)20506070(Williamson1994)21Edwards(1989)-13-wePePREERijjijjiii∏≠=jijPiPjijeiejijWij22ijREERiIMF∑∑××=ibiiiiiWCeeTTPPREER100Tiieii,ebiiPCPWREER19981993301994199919902000Q=eP*/P2001Williamson1985199423FundamentalEquilibriumExchangeRateFEER22:LawrenceHinkleandPeterJ.Montiel,Eds.(1999)LigangLiu,(1998)23Williamson,J.(1985)________ed.(1994):EstimatingEquilibriumExchangeRates-14-YdYfqKACA−≡CA⇒−=+++=KAYbYbqbbCAfd3210()1320bYbYbbKAFEERqfd−−−−==FEERFEERqFEERFEERFEERFEER24FEERFEERBehavioralEquilibriumExchangeRateBEERFEERClarkandMacDonald,199825BEERWilliamson(1985,1991)FEERgeneralequilibriumsimulationmodelsGESM26Edwards19891.2.3.14.Edwards1994[][][]111logloglogloglog−−−−+−−−=∆ttttttteeFFqqqϕλθqtFtett24(1999)25BEERFEERClarkandMacDonald(1998)26EstimatingEquilibriumExchangeRates,ed.byJ.Williamson,(1994),InstituteforInternationalEconomics,Washington,DC.-15-BEEREdwardsMontiel1999Montiel41995BEER199627ChouShih(1998)(1999)19802000Edwards199527-16-(1995)1970-1993CPIWPI∗×=EERREER1()(/)Edwards1989BEEROLS1979-19811985-19871991-1993()1.2.W.L.ChouY.C.Shih(1998)1978-19941.tUStttCPIWPISQ⋅≡2.(SPFE)1.2.(SPFE)*2PPPModel()SPFEModel:OLSADF1.2080902.80901.2.(1999)1990-1997CPI1990BEERCPI(/GDP)(/GDP)(1997)BEERDFOLS(stepwise)R1.,9395REERREER1.RERNER()2.(1999)1984-19993()(GDP)M2BEERGERM4ADFEngle-Granger1.1984198519891990198719882.1.19942.1997-17-(2000)1980-1997NTPPQ=BEEREdwards1989DFOLSH-P1.19802.19951997101.10(2000)1978-199951.GDP2.3.GDPEdwards(1989)Elbadawi(1994)OLSADFEngle-GrangerH-P1.1986-19871991-19952.1983-19851997-19981.2.(2001)1952-1997CPIWPIEQ∗⋅=ERER(6162788193)[Montiel(1999)]Montiel(1999)BEERARDFJohansenTech1.2.ARERERER1.RodTyers(2001)1987-1998DLR()(9495)Devarajan-Lewis-RobinsonOLSDF1199619962.1.10512-18-(2002)1955-2002RPIWPIEQUS⋅=(1990100)(GDP)M2[Montiel(1999)]Elbadawi(1994)HsiaoADFVARH-PGrangerCause1.19672.1.2.19992000(2002)1990-2000M2Montiel(1999)Turnovsky(1997)OLSWTO1.2.1*2()[]tmteSPEE+−=111()[]scsmbeSPEE++=1234GESMgeneralequilibriumsimulationmodels(Williamson,1991)5(1):()PPERERNP∗⋅=(2)NTPPRER=3wRPRPREERijjijjiii∏≠=-19-(1999)90802000Edwards(1989)Elbadawi(1994)2829HussainRadelet20001990ZhangZhichao(2001)Montiel(1999)19551999(2002)20502000RodTyers(2001)sustainableDevarajan-Lewis-Robinson(DLR)1987-199819961996(2002)30WTOTurnovskyCalibration1.2.3.31Edwards(1999)(2000a)28Elbadawi,I.(1994)29Edwards,S.(1999)3