人民币均衡汇率单方程模型实证分析  

Empirical Study Of Single Equation On RMB’s Equilibrium Exchange Rate

作　　者：李祺[1] 

机构地区：[1]上海社会科学院世界经济与政治研究院

出　　处：《数量经济技术经济研究》2006年第2期24-31,107,共9页Journal of Quantitative & Technological Economics

摘　　要：本文通过建立一般均衡下单方程模型，根据1980～2003年的年度数据，利用单位根检验、协整分析、误差修正模型对人民币的均衡汇率进行实证分析。本文研究认为：①20世纪80年代以来，人民币实际有效汇率始终围绕均衡汇率波动，并经历了不同程度的高估和低估；②贸易条件、开放度等基本经济因素对人民币实际有效汇率影响显著，财政政策、货币政策、外汇储备的规模对人民币实际有效汇率的影响不显著；③人民币汇率错位自我修正能力较强，钉住“一篮子”货币能较好地反映人民币实际有效汇率的波动。By setting up a general equilibrium single equation model, this paper estimates the equilibrium exchange rate of RMB based on the annual data from 1980 to 2003, unit root test, cointegration and error correction model. The paper draws some conclusions： ① real effective exchange rate of RMB fluctuates round the equilibrium exchange rate since 1980s and has been overestimated and underestimated;②basic economic factors such as term of trade, openning-up affect REER of RMB more markedly than fiscal policy, monetary policy and foreign exchange reserve;③RMB can modify misalignment by itself and pegging to a basket currency can reflect the fluctuation of REER of RMB preferably.

关 键 词：人民币 均衡汇率 实际有效汇率 

分 类 号：F830.7[经济管理—金融学]