人民币汇率的双向波动及失衡程度——基于行为均衡模型的协整研究  

The Two-way Fluctuation of the RMB Exchange Rate and the Degree of Imbalance:Behavior Equilibrium Exchange Rate Model

作　　者：魏荣桓[1] 

机构地区：[1]北京师范大学经济与工商管理学院,北京100875

出　　处：《经济管理》2017年第11期169-184,共16页Business and Management Journal ( BMJ )

摘　　要：保持人民币汇率在合理均衡水平上基本稳定,是我国新时期金融工作的主要任务之一。本文基于行为均衡汇率理论,运用协整方法研究人民币实际有效汇率的均衡水平、失衡程度和长期影响因素等问题。研究结果显示,在1994—2016年期间,人民币实际有效汇率的失衡情况呈现阶段性变化,具体可以划分成"低估(1994年第一季度—2000年第二季度)—高估(2000年第三季度—2003年第三季度)—低估与高估双向变动(2004年第一季度—2014年第二季度)—高估(2014年第三季度至今)"四个阶段。综合来看,人民币实际有效汇率高估和低估的情况在研究的区间中交替出现,除去1994年央行取消双轨制、汇率并轨这一时期外,人民币汇率失衡的程度并不严重,而且人民币汇率的调整与失调程度的减弱、消除以及反转较为灵活。2005年"811汇改"后人民币实际有效汇率存在一定程度高估,预期未来会双向波动,其均衡水平出现回调是大概率事件,但并不具备大幅贬值的基础。根据行为均衡汇率模型的协整方法研究结果,可贸易部门的相对生产率、经常账户余额、贸易条件、货币相对供应量、政府支出和外商直接投资等变量,长期内是人民币实际均衡汇率的主要影响因素。基于误差修正模型,人民币汇率自身具备较显著的反向修正机制,外商直接投资在长期、短期内对于汇率的影响都是正向的,不存在滞后效应;贸易条件和货币相对供给量长期内将导致汇率贬值,但短期内,贸易条件改善和中美之间货币相对供应量增加对人民币汇率起到正向作用。本文认为,中国应该进一步完善人民币汇率形成机制,提高人民币汇率弹性,加强与市场沟通,向投资者释放坚定、明确的政策信号,增强市场机制在维持人民币汇率稳定中的作用,调整过往我国招商引资的政策,重点关注引资的质量,并在国际化过程中建立�One of the major assignments of Chinese new period financial tasks is keeping RMB exchange rate stable around its equilibrium level,in order to reduce the risk of exchange rate,make sure the RMB internationaliza-tion progress operating well. Based on Behavioral Equilibrium Exchange Rate （BEER） theory, Chinese economic fundamental elements are represented by relative productivity in trade department N current account balance N term of trade N relative money supply Nforeign direct investment and government expenditure, then the co-integration approach is applied for establish Renminbi （RMB） real effective exchange rate’ s （REER） equilibrium model,used to analy-sis the determinants elements and misalignment. The empirical result shows that during 1994 ？ 2016, the misalign-ment of RMB exchange rate could divide into u undervalue （the first quarter of 1994 ~ the second quarter of 2000）-overvalue （the third quarter of 2000 ~ the third quarter of 2003） -two-way fluctuate between undervalue and overvalue （the first quarter of 2004 ~ the second quarter of 2014） -overvalue （the third quarter of 2014 ~ up to now） ／ In summary,the overvalue period of RMB REER approximately equal to undervalue period,except the peri-od of unification of exchange rate, the degree of RMB misalignment is not serious. The RMB exchange rate has been overvalued since 2015 ,so its equilibrium level will retracement in the future. According to the results of BEER mod-el, the relative productivity in trade department ^current account balance^ term of trade ^ relative money supply ^for-eign direct investment and government expenditure are main influence elements of RMB equilibrium exchange rate in long-term. Specifically the relative productivity in trade department N current account balance ^foreign direct invest-ment and government expenditure have positive influence on RMB real effective exchange rate in long-term, while relative money supply and term of trade have negative influence on RMB real effective exchange

关 键 词：实际有效汇率 人民币汇率双向波动 人民币汇率失衡程度 

分 类 号：F830.7[经济管理—金融学]