【作者】 彭四毛；

【导师】 卢小广；

【作者基本信息】 河海大学 ， 数量经济学， 2007， 硕士

【摘要】 2005年7月中国调整了人民币的汇率政策，人民币汇率由固定变为浮动。这是自1994年人民币汇率并轨以来汇率政策的又一次调整。人民币汇率水平是否低估、人民币应该升值多少成为当前国内外一个非常关注的话题。本文主要是根据经济基本面因素的分析方法，运用计量经济学中的协整分析方法，对1985年第1季度至2005年第2季度的人民币汇率进行实证分析，计算出人民币的均衡汇率，并在此基础上来判断人民币实际汇率水平是否合理，同时对实际汇率偏离均衡的原因进行分析。实证研究结果表明，国内生产总值(GDP)、国外净资产(NFA)、广义货币供应量(M2)、外贸差额(SURPLUS)四个基本变量与人民币实际有效汇率(REER)之间存在协整关系。根据推导出的人民币汇率的长期均衡方程和利用H-P滤波法得出的国内生产总值(GDP)、国外净资产(NFA)、广义货币供应量(M2)以及外贸差(SURPLUS)的长期趋势值，笔者计算出了样本期内人民币的均衡汇率。通过人民币实际汇率和均衡汇率的比较分析，得出以下结论：(1)国内生产总值对均衡汇率产生正向影响，广义货币供应量对均衡汇率产生负向影响，这两个变量对均衡汇率的影响较大，其系数分别为1.0411和1.1105。(2)在样本期内，人民币实际汇率的总体趋势与均衡汇率基本一致。人民币均衡汇率呈现出先贬值后升值的长期发展趋势。(3)自1985年以来人民币实际汇率一共出现过两次高估和三次低估，最大的高估幅度为1985年第二季度的26.6％，最大低估幅度为1993年第二季度的22.5％。更多还原

【Abstract】 Since China changed the RMB’s exchange rate policy in July 2005, whether the Chinese RMB was underestimated and thus needed an appreciation is a very hot topic among China and some other countries.This paper intends to make an empirical study on the RMB’s exchange rate during the period from the first quarter of 1985 to the second quarter of 2005 , and estimates the equilibrium exchange rate of RMB using cointegration analysis and H-P filter based on the developing country model, then analyzes the misalignment of RMB empirically.The empirical study shows that there does exist a co-integration relationship between the REER and the selected four fundamentals Gross Domestic Product (GDP), Net Foreign Asset (NFA), Monetary aggregates (M2) and the foreign trade surplus (SURPLUS). Using the estimated equation and the permanent value of the four fundamentals derived with H-P Filter method, we calculate the equilibrium real exchange rate of RMB, through which we further figure out the deviation of the REER in each term. We get some conclusions: Firstly, GDP is a positive factor which affect RMB’s equilibrium exchange rate, and the coefficient is up to 1.0411; M2 is a negative factor and the coefficient is up to 1.1105 . Secondly, the RMB’s equilibrium real exchange rate was still in an declining stage from 1985 to 1995 , and from then on it has been persistingly rising. Thirdly, RMB has undervalued three times and overvalued twice in the study term. The biggest undervaluation took place in the second quarter of 1993 which reached 22.5%, and the biggest overvaluation took place in the second quarter of 1985 which reached 26.6%.更多还原