基于状态空间模型的人民币均衡汇率研究  

RMB Equilibrium Exchange Rate Based on State Space Model

作　　者：孙章杰[1] 傅强[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《管理工程学报》2014年第4期112-117,共6页Journal of Industrial Engineering and Engineering Management

基　　金：中央高校基本科研业务费资助项目(CDJXS11021112);国家教育部博士点基金资助项目(20100191110033)

摘　　要：本文改进传统回归均值系数分析的缺陷,引进汇率风险变量和适应性预期变量,通过构建行为均衡汇率（BEER）的状态空间模型,利用卡尔曼滤波估计时变系数,同时估计了人民币汇率的ECM模型,研究2000年1月～2011年12月各因素对人民币均衡汇率的动态影响,并测算了人民币均衡汇率.研究发现：政府支出、TOT、FDI对人民币的升值影响显著增强,其中贸易条件对人民币升值贡献最大;利率差R、汇率风险RIS和适应性预期变量,逐渐符合理论预测.人民币均衡汇率失衡均在6％以内,不存在较大偏差.近期人民币升值压力主要来自热钱流入,非经济基本因素的内在需求.解释变量对人民币汇率的长期影响符合理论预期,但短期内各因素对人民币汇率的影响与长期影响有一定的冲突.Renminbi （RMB） fluctuation is a major issue during rapid economic development in China.This issue creates many interesting research questions.Is RMB exchange rate overvalued or undervalued？ What are the factors influencing the equilibrium exchange rate of RMB？ Are these factors associated with structural changes in the Chinese economy changing？ There is not a unified conclusion about RMB equilibrium exchange rate.The results show that the range of the RMB exchange rate misalignment is from-66% to 162%.The conclusions of foreign scholars are quite different because of the model and the selected variables.However,most of the results show that RMB is undervalued.The current study has no consistent results because different theoretical models are used.The domestic scholars choose the right model and variables to analyze the impact factors of RMB equilibrium exchange rate and estimate RMB equilibrium exchange rate by applying foreign theories.The current studies are basically establishing co-integration equation by VAR.The coefficients are the mean values which are estimated by the co-integration equation and doesn＇t reflect dynamic changes of economic structure.Some scholars have noted the economic structure mutation.They use either the margin co-integration analysis method or the Bai-Perron endogenous multiple structural breaks test method to study RMB equilibrium exchange rate.However,the coefficients of the two mutations are also a mean value,which cannot explain the dynamic changes of RMB Equilibrium Exchange Rat＇s factors.The impact of these factors on the RMB Equilibrium Exchange Rate cannot be analyzed.Very few studies pay attention to the impact of the exchange rate risk variable and the adaptive expectations variable so it is necessary to improve the current study.Based on the state-space model of BEER,we improve the traditional regression analysis by applying the Kalman filter to estimate time-varying coefficients of various factors.We study the dynamic effects of various factors and estimate

关 键 词：人民币均衡汇率 行为均衡汇率模型 状态空间模型 

分 类 号：F222.3[经济管理—国民经济]