经济开放进程中的汇率波动研究

【作者】 刘峰；

【导师】 杨秋宝；

【作者基本信息】 中共中央党校 ， 政治经济学， 2008， 博士

【摘要】 无论从几千年的跨度还是数十年的间隔来看,经济开放都是不可阻挡的趋势,世界经济愈发密切地融为一体。经济开放的进程,不仅促进了经济和社会的发展,而且也带来了形形色色的经济冲击和负面影响,汇率波动就是其中一个令人头痛的问题。在与国外的经济交往中,汇率是个不可或缺的交易媒介。汇率的变化对经济是一种有益的调节机制,能实现相对价格变动和反映资源的稀缺。但是汇率调整超过一定的频率和幅度将会转变成灾难。历史上,很多国家在开放进程中遭遇了汇率波动引发的金融危机。精心设计的汇率体系和较低的汇率波动有益于经贸往来和社会稳定,尤其是对于市场机制不完善、抗冲击能力弱、增长严重依赖贸易的发展中国家,更是意义重大。国际货币体系的演变描述了人类试图稳定汇率的这种努力。从金本位、金汇兑本位、布雷顿森林体系,到牙买加体系,尽可能地固定汇率水平成为各国一致的努力方向。但事与愿违,伴随着全球经济的逐渐融合与一体化,我们看到的是汇率越来越难以固定的现象,国际货币体系进入了“没有体系”的浮动汇率时代。中国经济有步骤、分阶段的逐渐开放,只经历了二十多年的时间。到现在我们仍然没有积累起足够的汇率知识和汇率管理经验,也没有强大到有足够的经济实力应对一切汇率风险。担心和谨慎不可避免,也无可指责。当务之急是研究清楚随着国家经济的开放,汇率的变化模式以及影响因素。我们既要了解成熟市场国家的汇率波动规律,更要研究清楚中国等发展中国家的情况。不仅要发现经济规律,还要知道怎样来趋利避害。因此本篇论文对这个问题展开研究。前人对于经济开放进程中的汇率波动问题已经做了初步的研究。他们分别对经济开放度和汇率波动情况进行了深入研究,经济开放度影响汇率波动的规律已经有了初步的研究成果。Harald Hau(2002)通过检验48个国家,尤其是OECD子样本的横截面数据,验证了贸易品在实际汇率波动中的作用和猜测的开放——波动关系。贸易品在汇率渗透条件下能够利用相对价格调整,实际汇率波动与经济开放度负相关。而相对封闭的国家为了对相对价格做同样程度的调整,需要更大的实际汇率波动。孙焕民、李国柱(2004)采用Panel data模型方法,研究了15个国家1993～2002年的数据。研究发现,汇率的波动与一国经济开放度有较强的相关性,一国经济开放度的提高从长期看会有助于减缓汇率波动。但是,对于该问题的研究仍然存在很大缺憾:对于汇率波动的动因研究不够,也缺乏不同时限的全面考察;研究样本主要集中在发达国家,缺少对发展中国家的研究;对该问题的研究还只是刚起步,没有形成完整和统一的框架,检验结果的理论、实际意义也有待充分挖掘。在前人研究的基础上,本文建立如下的分析框架:首先探究汇率波动的根源,作为逻辑的起点。然后在新开放宏观经济理论的框架下,构建理论模型分析经济开放过程中汇率波动的特征。进而,对于研究结论尽可能做多视角的检验。如果理论观点没有被证伪,那么就可以落实到实践层面,根据国际经验和我国国情,对我国的汇率体系提出相应的政策建议。本文分为三个部分来进行详细阐述。第一部分(第一章)对引起汇率波动的经济冲击进行深入研究。从时间上划分,经济开放带来两种类型的冲击:一种是中长期冲击,它不会产生短时间的突变,变化相对缓慢,这种冲击带来汇率的趋势性变化;另一种则是短期冲击,它的变化具有突然性。贸易项目、直接投资等实体经济带来的冲击大多数是中长期冲击,证券资本、投机资本和预期变动的影响一般属于短期冲击。冲击的时间特性对汇率波动的分析会产生重要影响。总体上,汇率波动的情况取决于经济冲击的性质和经济体本身的抗冲击能力。第二部分(第二、三章)在新开放宏观经济理论的框架下,构建理论模型进行分析,并对结论进行多维度的检验。开放部门能够通过可贸易品的价格调整来减缓汇率波动,所以较大的开放程度有利于抑制实际有效汇率的波动。在不同期限结构的冲击下,基于购买力平价的稳定机制出现分化,有效性取决于PPP收敛的时间特性。总体上,稳定机制在中长期更加有效。冲击与缓冲机制在能力和时间结构上的不匹配,对汇率波动的影响是复杂的,这也导致了因国情不同而变化的汇率稳定政策。接下来,对理论观点进行多维度验证。在空间角度,对OECD发达国家和包括中国在内的新兴市场国家分别进行计量检验。在时间角度,我们检验短期资本冲击和长期货币体系演进对汇率波动的意义,再一次印证本文的逻辑和观点。本文认为随着开放程度的提高,中长期实际汇率的波动将会减小。在一些特定时点,会有短期冲击带来的剧烈影响。第三部分(第四、五章)重点阐述理论观点的经济含义和政策含义。市场并非总是加剧汇率波动,在满足一定条件下,市场是稳定汇率的力量。发展中国家经济开放程度低,市场平抑汇率波动的能力弱,那么固定汇率制度和资本管制就是不可或缺的;如果开放程度足够高,那么我们就不必过于担心汇率的中长期波动,市场的套利行为能够有效平抑汇率。我国对外开放程度快速提高,这既是研究汇率波动的好素材,也是本文研究的服务对象。根据本文结论和中国国情,借鉴国际经验,我们综合考虑稳定汇率的短期和长期措施,提出资本管制和汇率制度方面的政策建议。这不仅对汇率理论意义重大,而且对于中国在开放过程中稳定金融和管理汇率具有很大的政策意义。本文在多个方面做了创新性的努力:第一,本文将经济冲击引入对汇率波动的研究,深入研究经济开放带来的冲击性质,使研究框架更加完整。汇率波动取决于外部冲击和经济体的稳定性。冲击的不同性质和时间结构导致了汇率波动的复杂性,不同的经济体面对同样的冲击会有不同的反应,这些因素使政策含义变得复杂。第二,本文提出了经济开放具有稳定汇率的作用,并详细分析了这种稳定机制的价值和局限性。汇率稳定机制只在中长期有效,这说明随着经济的开放汇率制度应该逐渐转向浮动,加大市场对汇率的决定作用。发达国家的经济开放程度较高,更倾向于浮动汇率制度,开放程度较低的发展中国家则更适合固定汇率制度。这种分析框架对于汇率制度设计和稳定金融体系具有重要的政策意义。第三,研究样本突出了对新兴市场国家的研究。新兴市场国家的汇率波动对世界经济的影响越来越大,对这类国家的研究有利于提出适合中国的政策建议。但是对新兴市场国家的检验存在很多困难,例如数据少且质量不好、横向不可比等缺点,这也是前人缺乏此类研究的重要原因。本文通过努力克服了这些障碍,得出了一些非常有价值的检验结果,为寻找发展中国家的经济规律提供了有力支撑!更多还原

【Abstract】 The opening and globalization of economy is inevitable to any country, no mater in the interval of thousand years or decade years. The process of opening not only promotes the development of economy and society, but also brings many kinds of impacts and negatives, such as the exchange rate volatility.Exchange rate is trade medium in international business. Changing of exchange rate is a useful mechanism to allocate economic resources. But a huge volatility of exchange rate in short time will trigger disaster, which many countries had encountered in history when open their economy to the world. Of course, an suitable exchange rate system and low exchange rate volatility is significant for trade and social stabilization, especially to those developing countries relied heavily on trade with incomplete and vulnerable market.The evolution of International Monetary System, from gold standard, Bretton Woods System to Jamacia System, described the efforts of humans to stabilize exchange rates. Unfortunately, exchange rate became more volatile and floating arrangement prevailed in the process of globalization.Now China is not proficient to manage exchange rate and handle the risk of volatility after thirty years of opening and reformation. The most urgent work now is to research and comprehend the mode of exchange rate volatility and its affecting factors. We need to know well the rule of exchange rate fluctuation and how to deal with it especially in developing countries. So this paper will explore this question.Economists had do some fundamental research work in this field, such as the opening degree of economy, volatility of exchange rate and relationship between themselves. Harald Hau (2002) examined macroeconomic data of 48 countries, including OECD, and concluded that tradable products play an important role in the volatility of exchange rate. The change of tradable product price can substitute the change of exchange rate, so low-opening countries get a more volatile exchange rate. Sun huanmin and Li guozhu (2004) researched data of 15 countries in 1993~2002 with panel model. They found that volatility of exchange rate has a negative relationship with opening degree and opening thus can restrain the volatility of exchange rate.However these researches have a lot of faults. For example, there lacks considerations about reasons and time features of exchange rate fluctuation, integrated frame work of theory and practice. On the basis of that exploration, we research this problem in such a way: analyze the reasons of volatility of exchange rate and set the theory model in the new opening macroeconomics frame work. Then examine the theory conclusion in several angles of view. If our viewpoint is validated, policy suggestions will be put forward according to international experiences and situation of our country.We will research this topic in three sectors. First sector (ChapterⅠ) analyze the characters of economic impacts which bring exchange rate volatility. Economic opening will bring two kinds of impacts: long-term impacts which change slowly introducing tendency fluctuation of exchange rate such as trade and FDI, short-term impacts which change abruptly conducting volatility of exchange rate such as speculate capital-flow and forecast. In general, the features of impacts and shock-absorption characters of economy together determine the volatility of exchange rate.Second sector (ChapterⅡ,Ⅲ) builds the theory model and examine the conclusion in new macroeconomics frame work. High degree of economic opening will decrease volatility of real effective exchange rate because price of tradable products can be well adjusted. Impacts with different time structures will have different effects on economy according to the time characters of PPP. Generally, the stabile mechanism will be more effective in long run. Decouple between impacts and stabile mechanism brings complicated results and means different suggestions to different countries. Then we examine the conclusion in two ways: quantity test of the OECD and emerging market countries including China, qualitative analyze of financial crisis and evolution of International Monetary System. We believe that economic opening will restrain volatility of real effective exchange rate, though in some special times bring acute disorder.Third sector (ChapterⅣ,Ⅴ) focused on the implication of economics and policy: market can stabilize exchange rate under some conditions. Developing countries have a low level of opening degree and weak stabile mechanism, so fixed exchange rate arrangement and control of capital flow is necessary. In fully opening countries market arbitrage can restrain the change of exchange rate in long run, so we don’t need to worry about it.The rapid opening of China provides a good evidence for this paper and itself is the goal of research. In view of international experiences and China conditions, we consider the short and long term effect and provide suggests of capital-flow control and exchange rate arrangement. This is not only significant to theory of exchange rate, but also to policies of stabilizing financial system.There is some trial of innovation in this paper: first, economic impacts are introduced into research of exchange rate volatility which made the frame work comprehensive. Volatility of exchange rate depends on outside impacts and stabile characters of economy. Impacts with different time characters conducted complicated volatility of exchange rate. Yet different countries facing same impacts have different reaction.Second, we put forward the stabile mechanism of opening and analyze its limitation. This mechanism only effective in long run means exchange rate system should transfer to floating when economy is opening. Market should play a more important role when determine exchange rate. So, floating arrangement of exchange rate is suitable to developed countries which have a high degree of opening and fixed arrangement is suitable to developing countries which have a low degree of opening. This is important and helpful for us to put forward policy suggestionsThird, sample in this paper emphasizes the research of developing countries which is very important to China. We solved a lot of difficulties when examine evidences of developing countries. Valuable results found there is significant for our conclusion and suggestions.更多还原