人民币汇率均衡、失衡与政策调节  

Equilibrium,Imbalance and Policy Adjustment of RMB Exchange Rate

作　　者：郭红 张荧天 张培杰 Guo Hong;Zhang Yingtian;Zhang Peijie(School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China;Coordinated Innovation Center for Binhai Finance in China,Tianjin University of Finance and Economics,Tianjin 300222,China;Pearl River College,Tianjin University of Finance and Economics,Tianjin 301811,China)

机构地区：[1]天津财经大学金融学院,天津300222 [2]天津财经大学中国滨海金融协同创新中心,天津300222 [3]天津财经大学珠江学院经济学院,天津301811

出　　处：《统计与决策》2023年第14期131-136,共6页Statistics & Decision

基　　金：国家社会科学基金一般项目(21BTJ014)。

摘　　要：文章基于行为均衡汇率理论(BEER),选取2008年1月至2020年12月的时间序列数据测算出人民币均衡汇率及其失衡程度,并构建TVP-SV-VAR模型实证检验了宏观政策对汇率暂时性失衡和长期失衡的调节作用。结果发现:人民币实际有效汇率被低估和高估呈常态化,最高不超过7%,且相较于高估而言,被低估的时间更长;不同类型的宏观经济政策对长、中、短期汇率失衡的调节效应存在异质性,汇率政策在短期调节效果较好,货币政策在中期调节效果较好,宏观审慎政策在短期和中长期均有助于缓解汇率失衡;短期资本流动会加剧汇率暂时性失衡程度。Based on behavioral equilibrium exchange rate(BEER)theory,this paper selects time series data from January 2008 to December 2020 to calculate the equilibrium exchange rate of RMB and the degree of imbalance,and then constructs the TVP-SV-VAR model to empirically test the adjustment effect of macro policy on temporary and long-term exchange rate imbal-ances.The results turn as follows:The real effective exchange rate of RMB is both undervalued and overvalued on a regular basis,with a maximum of no more than 7%.Compared with overvaluation,undervaluation lasts longer.There is heterogeneity in the ad-justment effects of different types of macroeconomic policies on the long,medium and short term exchange rate imbalances.The exchange rate policy has a good adjustment effect in the short term;the monetary policy has a good adjustment effect in the medi-um term,and the macro-prudential policy helps to alleviate the exchange rate imbalance in both the short and medium term.Short-term capital flows can exacerbate temporary exchange rate imbalances.

关 键 词：人民币均衡汇率 暂时性失衡 长期失衡 宏观政策调节 

分 类 号：F832.6[经济管理—金融学]