人民币实际有效汇率的长期决定:1994～2009  

Determinants and Misalignment of Renminbi Real Effective Exchange Rate:1994～2009

作　　者：黄昌利[1] 

机构地区：[1]中央财经大学金融学院,北京100081

出　　处：《金融研究》2010年第6期34-45,共12页Journal of Financial Research

基　　金：国家自然科学基金青年项目(编号:70603002)资助

摘　　要：本文进一步改进人民币实际有效汇率的研究视角和解释变量的选取处理,基于行为均衡汇率模型和协整方法,对人民币汇率的长期决定因素及失调问题进行实证研究。实证发现:1994年以来,中国可贸易部门生产率的相对增长、对外贸易持续失衡、政府支出上升是正向影响实际有效汇率的决定因素;而相对于美国的中国货币供求状况则起着负向影响;人民币汇率的失调程度近年来趋弱,但在2008年之后一度出现"高估",近期可能出现下调波动。基于实证结果,对中国经济增长与汇率问题进行了若干解读。Based on Balassa-Samuelson effect hypothesis and monetary exchange rate model, Behavioral Equilibrium Exchange Rate model （BEER） is employed to estimate Renminbi （RMB） real effective exchange rate＇s determinants and misalignment. We try to catch the characteristics of China＇ transition, and process variables more carefully. The sample period is from 1994Q1 to 2009Q4. Based on eointegration analysis, the basic findings is that, the main determinants are the relative productivity growth, the rapidly enlarged trade imbalance, and the expenditure to GDP, which lead to RMB real effective exchange rate＇ appreciation; Balassa-Samuelson effect exists to RMB; On the other side, China/USA＇ money and income differentials leads to RMB depreciation. And the misalign/nent can also be deemed to be convergent. Finally, some implications are presented.

关 键 词：实际有效汇率 行为均衡汇率模型 巴拉萨-萨缪尔森效应 人民币汇率失调 

分 类 号：F224[经济管理—国民经济] F832.6