基于半参数变系数的人民币均衡汇率测算  

Measurement of the Equilibrium Exchange Rate of RMB Based on Semiparametric Coefficients of Variation

作　　者：丁咏梅[1] 安志琪 

机构地区：[1]武汉科技大学理学院,湖北武汉430000

出　　处：《浙江金融》2023年第8期27-40,共14页Zhejiang Finance

基　　金：湖北省教育厅科学研究计划指导性项目(B2022001)。

摘　　要：在“双循环”的新发展格局下,人民币汇率是维持经济发展和贸易平衡的重要经济变量,测算人民币汇率是否失调成为经济问题中探讨的热点话题。本文基于2008年-2022年的人民币实际有效汇率指数月度数据,在行为均衡汇率理论下,验证人民币实际汇率有效指数与劳动生产率、贸易开放度、广义货币供应量、政府支出、外汇储备、外商投资之间存在长期的协整关系,在此基础之上加入半参数变系数理论,构建出时变系数方程,用三种不同的核函数对其进行拟合,发现Tripweight核函数的均方根误差最小,并用其进行失调程度的计算,计算出近三年的人民币总失调程度不超过3%,人民币汇率处于合理均衡水平。Under the new development pattern of"double cycle",RMB exchange rate is an important economic variable to maintain economic development and trade balance,and measuring whether the RMB exchange rate is out of balance has become a hot topic in economic issues.Based on the monthly data of the real effective exchange rate index of RMB from 2008 to 2022,this paper verifies the long-term cointegration relationship between the real effective exchange rate index of RMB and the labor productivity,trade openness,broad money supply,government expenditure,foreign exchange reserve and foreign investment under the theory of behavioral equilibrium exchange rate,and then constructs the equation of time-varying coefficient by adding the semi-parametric coefficient of variation theory,and uses three different kernel functions to measure the time-varying coefficient of RMB's exchange rate.Three different kernel functions are used to fit it,and it is found that the Tripweight kernel function has the smallest root-mean-square error,and it is used for the calculation of the degree of misalignment,and it is calculated that the total degree of misalignment of the RMB in the recent three years is not more than 3%.

关 键 词：均衡汇率 行为均衡汇率理论 时变系数 

分 类 号：F822.1[经济管理—财政学]