人民币汇率失调及汇率调整的经济效应研究

华侨大学硕士学位论文人民币汇率失调及汇率调整的经济效应研究姓名：董世钦申请学位级别：硕士专业：数量经济学指导教师：王志江20090601I9720051994120086BEERADFJohansenH-P5%5VARGrangerII:IIIAbstractCurrencycrisisanditsinfluencetoeconomicgrowthin1997insoutheastofAsianindicatedtheimportanceofexchangerateregimeandexchangeratepolicy.Toscientificallyvaluatewhethertheexchangerateofacountrysmoneyisreasonable,thekeyistojudgewhethertherealeffectiveexchangeratecoincideswiththeequilibriumrealexchangerate.SincetherateinformationofRMBin2005,Chinaeconomyhasgrownrapidlyandplacidly,currentaccountsurpluseshasenlargedandforeignexchangereserveshasincreasedrapidlyinChina,expectationoftheappreciationoftheRMBhasbeenprevalentintheinternationalfinancialmarkets.Therefore,itisverymeaningfultostudyRMBexchangerate.Afterthebaseofthecomparisonandassessmentofseveralwesternequilibriumexchangeratetheories,thispaperhasanalyzedtheexchangeratemisalignmentseconomiceffectswhentheratewasoverestimatedandunderestimated.ThispaperconstructstheequilibriumexchangeratemodelofRMBusingJohansensmaximumlikelihoodestimationbasedonbehavioralequilibriumexchangeratetheory,andanalyzesthemisalignmentofRMBempirically.IVAccordingtothestudy,somemainconclusionscanbemade:RMBrealexchangeratemisalignmentisakindofnormalphenomenoninthesampleperiod.AtpresenttheRMBrateisattheunderestimateabout5%conditions,notlookliketheoverseascertainorganizationstodeclarethatgreatly,andhasfurtherreductiontendency.Thenthroughestablishes5VARmodels,usingGrangercausesandeffectsexaminationandpulseresponsefunction,thispaperhasanalyzedtheRMBrealeffectiveexchangeratefirstorderdifferencesteadysequencefluctuationtotheexport,theimport,theinvestmentinthefixedassets,thesocialconsumabletotalvolumeofretailsalesaswellasGDPandsoonfirstorderdifferencesteadysequencesinfluence.Accordingtocurrenteconomicsituationandthedifferentexchangeadjustmentwaytoeconomyinfluenceanalysis,IputsomeforwardpolicyimplicationsaboutthereformofRMBexchangeratemechanism.Keywords:equilibriumexchangeratetheoryexchangeratemisalignmenteconomiceffectexchangeratetransformation11.11.1.10808220057228.11:12%0847.020%6.8-6.921.1.21.1.31994200819943FEERNATREXBEERBEERBEERADFJohansenH-P5VARADFAICSCGranger1.1.4VARX11AICSCADFJohansenH-PGranger4VARVAR5VARGDP1.21.2.1Kassel(1922),Nurkse1945Williamson1994FundamentalEquilibriumExchangeRate,FEERStein(1995)NaturalEquilibriumRealExchangeRate,NATREXEdwards(1989,1994)EquilibriumRealExchangeRate,ERERMacDonald(1998)BehavioralEquilibriumExchangeRate,BEERJohnWilliamson,2003FredBergsten,2003MorrisGoldstein,2004MorrisGoldsteinNicholasR.Lardy(2003)15%25%JeongMazier(2003)200333%CouderCecileCouharde(2005)200323%RonaldMckinnon,20035Edwards(1988)2080Edwards12Cottani,CavalloandKhan,1990GhuraeandGrennes199333DomacandShabsigh,19991.2.220031992-200119921994-20012.6%20036%-10%200519993-20024.24%20022-2004310%62008BEER94-9603-064%97-022%2001BEERERER902005GDPGDP20062008705382.1ExchangeRate2.1.1()1=6.801=1/6.800.147()2.1.2RealExchangeRateRER9iiiiPQEP∗=•2-1iQiiPiiP∗iEiQ11miiiTmiiiAPQEAp∗===•∑∑2-2,TQiAim11niiiniiiAPPQEEPAP∗∗===•=•∑∑2-3iAinP∗PQ102-3EEQQ2.1.3(NominalEffectiveExchangeRate,NEER)(RealEffectiveExchangeRate,REER)11058.2870(NEER)(MultipleNominalExchangeRate,MNER)(RealEffectiveExchangeRateREER)(MultipleRealExchangeRateMRER)2070100iWTiTitiENEERE=∏×2-4100iWTiTiTitiTEPREEREP=∏×2-5TNEERTREERTiEtiEiTiPTPi,iWiInternationalMonetaryFund,IMFIMF100100122.1.4EquilibriumRealExchangeRateERERNurkseSwanNurkse19632004,RealExchangeRateMisalignment13REERERER100REERERERMISERER−=×2-6REERERERMIS0REERERERMIS02.22.2.1(EquilibriumRealEzchangeRateERER)20Kassel1922PPPNurkse1945Swan()2-1SwanSwanSwan()()IBIBIB14IBEBEBEBEB2.2.2FEERWilliamson(1983)(FundamentalEquilibriumRealExchangeRateFEER)()()EBIBe2-1Swan15()0231()/dfFEERKAbbybyb=−−−−2-7KAdyfy0,1,2,3)ibi=FEERFEER,()()FEER,,()(),FEERFEERFEER2.2.3NATREXnaturalrealexchangeratesNATREXStein1994NATREXNATREXSteinNurkse(1945)NurkseNATREX0ISCA−+=2-80123dfCAbbqbyby=+++2-9ISCAdyfy0,1,2,3ibi=16NATREXSteinNATREX12NATREXNATREX3NATREX()NATREXNATREXSteinNATREXFEERNATREXFEERFEERNATREXNATREXNATREXNATREXFEERNATREX172.2.4BEERFEERClarkMacDonald(1999)(behavioralequilibriumexchangeratesBEER)FEERBEERreducedformBEER'''12ttteXYZββτε=+++2-102-10etXtYtZ'1β'2β'τε'e'''12tteXYββ=+2-11tXtY'''12tteeXYββ∆=−−2-122-102-112-12''''12[()()]tttttteZXXYYτεββ∆=++−+−2-13FEER,BEER18BEERBEERFEERBEERBEER(cointegration)19100REERERERMISERER−=×MIS0MIS03.13.1.1203-1REXIMEXIMXXIMR,1R2R3.1.2IM3-1EX.IMIMEXEX2RRRR213.1.3199219973.23.2.1223.2.23.2.3233.2.4808080BEER24BEER4.1BEER4.1.1McDonald(1998)BEERMcDonaldBEERBEEROPENGDPM1M1M0M1M1(NetForeignAssets,NFA)()251[(),(),(),()]ERERBEERfOPENGDPMNFA==−+−+4.1.2199412008620001IFS4.24.2.11987Engle-GrangerCointegration1988-1992JohansenVectorAuto-Regression,VARI(1)tXtYI1BEER26∂tttYXµ+∂=tµI0∂EngleGranger1987EGOLSYXYXEGEGOLSJohansen1988JohansenJuselius1990VARJohansenJJJohansen4.2.2OPENGDPM1NFAX11X1127LNGDPSALNOPENSALNAFSALNM1SA8.48.68.89.09.29.49.69.810.0949596979899000102030405060708LNGDPSA9.610.010.410.811.211.612.0949596979899000102030405060708LNM1SABEER288.08.