人民币实际汇率“免行动区间”的量化与估计  

Quantification and Estimation of "Band of Inaction" of RMB Real Exchange Rate

作　　者：王亮 王海琳 Wang Liang;Wang Hai-lin

机构地区：[1]大连民族大学经济管理学院,大连116600

出　　处：《亚太经济》2021年第5期21-31,共11页Asia-Pacific Economic Review

基　　金：教育部人文社会科学研究规划基金项目“人民币实际汇率‘免行动区间’估计与应用研究”(17YJA790072)。

摘　　要：使用连续时间序列模型对2005年7月至2020年11月间人民币实际汇率"免行动区间"进行了量化和估计,结果显示:"免行动区间"介于6.0854和7.2355之间,人民币实际汇率偏离"免行动区间"的均值回复过程具有显著的非对称特征,升值偏离比贬值偏离的回复速度更慢,且非对称强度较强。2005年7月至2010年6月,人民币实际汇率贬值偏离了"免行动区间",这一时段内购买力平价假说在中国不成立,此时的人民币汇率是被低估的。2010年7月至2020年11月,人民币实际汇率在"免行动区间"内围绕均衡实际汇率(购买力平价)做随机游走运动,此时段人民币实际汇率并未出现长期严重偏离"免行动区间"的情况,人民币汇率购买力平价假说成立。此外估计结果还显示:人民币实际汇率离开"免行动区间"的预期时间为6.63年,时间较长(大于5年),说明在"免行动区间"内人民币实际汇率变化相对稳定,风险相对较小。In this paper, Continuous-Time Model is used to quantify and estimate "Band of Inaction" of RMB real exchange rate during period of July 2005 and November 2020. Conclusion shows that "Band of Inaction" is between 6.0854 and 7.2355. Significant asymmetric characteristics exist in the recovery process of RMB real exchange rate deviating from "Band of Inaction", the recovery speed of depreciation deviation is less than that of appreciation deviation, and the asymmetry is intense. From July 2005 to June 2010, the depreciation of RMB real exchange rate deviated from "Band of Inaction", during which purchasing power parity hypothesis was not established in China, and RMB exchange rate was undervalued. From July 2010 to November 2020, RMB real exchange rate ran randomly around equilibrium real exchange rate(purchasing power parity) in "Band of Inaction". At this time, RMB real exchange rate did not deviate seriously from "Band of Inaction" for a long time, and RMB exchange rate PPP hypothesis was established. On top of that, estimate result shows that the expected time for RMB real exchange rate to leave "Band of Inaction" is about 6.63 years, which is a little bit long(longer than 5 years), which means RMB real exchange rate is relatively stable and the risk is relatively small in "Band of Inaction".

关 键 词：人民币实际汇率 连续时间序列模型 “免行动区间” 

分 类 号：F820.3[经济管理—财政学]