【作者】 张瑾；

【导师】 王擎；

【作者基本信息】 西南财经大学 ， 金融学， 2012， 硕士

【摘要】 一国货币的价值一般有两种不同的表现形式：一种是对内价值,主要体现为货币在国内的单位购买力,即所谓的价格；另一种是对外价值,主要表现为其能换取多少外币,即所谓的汇率。按照传统国际金融理论,一国货币的对内、对外价值应当趋同,即成正比例地同升同贬。然而,进入21世纪以来,人民币出现了以对外升值与对内贬值并存为特点的内外价值偏离现象。一方面,人民币对外承受着巨大的升值压力,尤其是巨额贸易顺差压力和发达国家的国际舆论压力；另一方面,人民币对内却表现出贬值的趋势,不仅物价水平在长期“低迷”后突然全面上涨,股票证券和房地产等资产价格也被推高,人民币对内贬值在消费领域和投资领域双双突显。加之全球流动性过剩以及美元不断贬值的国际背景,这一现象不断强化。人民币内外价值背离异象是我国目前外部经济和内部经济同时失衡的阶段性表现,由于会影响货币政策的有效性以及经济的健康发展,所以必须谨慎对待这一问题。由此,为了我国制定出更有效的宏观经济调控政策,继续保持经济平稳较快的发展,深入了解人民币对外升值与对内贬值并存的成因是至关重要的。本文既旨在从理论和实证两个角度深入剖析该现象的原因,并提出相应的宏观政策建议。本文首先对国内外学者关于人民币对外升值和对内贬值现象的相关研究成果进行分类回顾总结的基础上,对人民币汇率决定的经典理论和三大国际货币体系进行了梳理。经典理论主要有：“一价定律”、购买力平价、利率平价、国际收支理论、汇兑心理理论；三大国际货币体系是：国际金本位制、布雷顿森林体系、牙买加体系。然后采用定性与定量相结合的研究方法,对影响人民币汇率升值的因素、通货膨胀的表现形式与成因、人民币内外价值偏离的原因进行了深入的分析与研究。第一,影响人民币升值的因素主要有：我国经济的高速增长、经常项目的巨额顺差、资本与金融项目的巨额顺差、外汇储备量迅猛攀升、国内外利差扩大以及人民币升值心理预期等因素。第二,国内通货膨胀主要的表现形式有三种：消费物价指数CPI的上涨、投资资产(金融资产和实物资产)价格的飙升以及长期为负数的实际利率。该轮通货膨胀是由多种因素综合促成的：①货币原因：外汇占款导致人民银行发行过多的基础货币,造成超额的货币供给；②经济原因：需求引致型通胀、成本推动型通胀、输入型通胀和结构型通胀和自然灾害等突发事件导致市场供给的减少。③制度原因：我国市场化改革不完善,不该过早市场化的领域过早交给了市场,造成国际大企业垄断市场,并联手操纵价格；相反,应该市场化的领域改革却相对停滞,大量资源受到国家的严格看管,不能进入市场满足需求,无法消化富余资金。第三,从宏观经济背景和新理论解释两方面阐述了人民币内外价值不协调的原因。①宏观经济背景原因包括我国经济失衡(经济增长模式失衡、对外经济制度失衡)和世界经济失衡(国际货币体系失衡、国际价格体系失衡)。②新经济学理论解释,主要有“双效应——三阶段曲线”理论和巴拉萨——萨缪尔森效应。前者认为国内外经济失衡严重导致通货膨胀与升值之间的互补效应超过了替代效应,从而综合表现出人民币“内贬外升”；后者认为目前人民币内外偏离现象实际上是人民币实际汇率升值的显著表现,这符合该效应的基本思想：经济增长较快的国家,可贸易品部门劳动生产力提高将引起该国货币实际汇率的升值。再接着运用2002年1月至2011年4月的相关月度数据进行了实证分析。主要采用平稳性检验、Johansen协整检验、格兰杰因果检验、脉冲响应函数、方差分解,以及建立误差修正模型作计量统计分析。各项检验结果如下：①平稳性检验得出人民币汇率E和消费价格指数CPI皆为一阶单整序列。②协整检验输出结果表明：在不考虑货币时间价值因素i的情况下,人民币汇率和通货膨胀率之间并不协整,即不存在长期均衡关系,说明人民币内外价值不具有趋同趋势；在将货币的时间价值因素i考虑进来后,汇率、利率、通货膨胀率之间存在协整,即汇率和通货膨胀率之间存在长期稳定的负相关关系,证明了人民币内外价值偏离的现象。③格兰杰因果检验得出人民币内外价值之间的传递和转换渠道在我国现行的经济制度下双向不通畅,导致内外价值不能趋同,购买力平价在我国并不适用。④脉冲响应函数显示E的结构冲击对CPI是长期负影响；CPI的结构冲击对E也是长期负影响。⑤方差分解示意图显示CPI对E的波动贡献度大于E对CPI的波动贡献度。⑥最后的向量误差修正模型输出结果加强了协整检验得出的结论,对外升值与通货膨胀之间确实存在长期稳定关系,内外价值偏离现象成为经济常态。本文最后,在分析世界上几大重要经济体的宏观经济数据的过程中,发现日本和德国两大发达国家在20世纪60—90年代出现过与我国目前类似的货币价值偏离现象。因此,在吸取日本的失败教训和学习德国的成功经验的基础上,结合本文的理论分析和实证结果提出了解决人民币内外价值不协调的政策建议,主要有以下几方面：①增强人民币弹性,让人民币适度升值。一次足以消除当前升值预期的人民币升值可以缓解对外升值压力,同时也能通过商品渠道、货币渠道和预期渠道来调节内部经济失衡现状,即抑制国内的通货膨胀。②根据斯旺的内外均衡模型,我国缓解国内外经济失衡时应搭配支出转换政策和支出增减政策。在增强人民币弹性,让人民币适度升值的同时,坚决维护货币政策独立性。在近期继续推行稳健或适度从紧的货币政策,并通过提高政策透明度或采取多样化的货币冲销手段来提高货币政策的有效性。③加快我国经济增长模式的转变,继续推进产业结构的优化升级,进一步扩大内需。产业结构优化中,调整出口产品结构,提高产品技术含量,增加出口商品的附加值成为重中之重。调整我国收入分配不均现状、健全我国社会保障体系是扩大内需的两大主要渠道。④短期内除了尽力舒缓国际舆论压力外,还要有意识地扩大商品和服务进口,着力打造促进进出口平衡的中性贸易政策,变外汇资产储备为战略资源储备。在鼓励引进外资的同时,还需为国内资本的海外投资创造有利渠道,分流出国内过多的流动性。中长期里需逐步完善涉外经济政策,放弃对经常项目和资本项目的管制,实现向商品自由交易、资本自由流动的完美过渡,以消除国际收支的严重不对称。⑤加快国内金融市场发展,具体是要加快人民币衍生品市场的发展,在允许开办人民币远期和互换的基础上推出人民币期权和期货交易,使之成为有效的外汇风险规避工具,同时为发现合理的人民币即期汇率水平提供市场依据。⑥分阶段推进人民币汇率体制改革。短期让人民币在现有制度下实行适度“升值——减税”的搭配政策,释放部分升值压力并缓解国内通货膨胀；中期将有管理的浮动汇率制度过渡到目标区间制度(例如BBC制度),扩大人民币汇率波动的目标区间宽度。长期里逐步解除外汇管制,实现人民币汇率自由浮动,并加快推进人民币国际化进程。我国可借鉴德国检验,先让人民币先逐步在周边地区实现局部区域内的流通。通过各种渠道设法让人民币进入周边地区的生产资料市场(如原材料、机械设备、仪表仪器等),从而拓宽其使用范围并扩大其定价作用,将人民币的升值压力分散到了周边国家的货币上,一方面能缓解国内通胀,另一方面能为实现完全的浮动汇率制创造条件,最终解决人民币内外价值偏离的问题。更多还原

【Abstract】 In general, the value of currency has two different forms:one is the internal value, which we often call price; the other is the external value, which we often call exchange rate. According to internationally financial theory, the external and internal value of a currency should be the same. But since2002, RMB appears to have a bias with the characteristics that domestic depreciation and external appreciation and, under the context of world’s excessive liquidities and the devaluation of US dollar, the phenomenon has strengthened. It is the result of the unbalance in Chinese both inside and outside economy, which may impair the effectiveness of monetary policy and even get invaded by the international idle capital. So attention should be paid to this issue. This paper, thus, will aim to deeply analyze the various causes which give rise to the bias of domestic depreciation and external appreciation.This paper firstly reviews and summarizes related researches from domestic and foreign scholars. Standing on the shoulders of giants, this paper combs the classical theories of decision of the RMB exchange rate and the three international monetary system. The classical theories include Law of One Price, Purchasing Power Parity, Interest Parity, Balance of Payments Theory of Exchange Rate and Psychological Theory of Exchange. The three international monetary systems consist of Gold Standard System, Bretton Woods system and Jamaica system.Then, this paper focuses on causes of RMB’s external appreciation. It mainly derives from China’s rapid economic growth, the huge surplus of the current account, huge surplus of capital and financial account, rapidly increasing foreign exchange reserves, domestic and international interest rate spreads and psychological expectations of RMB appreciation.There are three manifestations of Inflation. They are:rising CPI, soaring investment in asset prices and negative real interest rates. Furthermore, this paper systematically explains several reasons why there is current inflation in China’s internal economy. First is monetary factor. Due to huge foreign exchange reserves, central bank is forced to put the excess money supply into internal economy. Second is economic factor. Demand exceed supply in the commodity market, the increasing cost of labor and raw materials, higher price of import goods, decreasing commodity supply due to natural disasters(such as earthquake) can easily lead to high inflation. Third is institutional factor:Some industries realize marketization too early. Such as agricultural market, for big foreign foods enterprises manipulate internal market prices. On the contrary, other industries which should be marketized do not trade goods by market disciplines. Thus, distorted relation between supply and demand inevitably brings about inflation.Besides, the bias of domestic depreciation and external appreciation is because of unbalance of internal and external economy context and is explicated by two new economic theories. They are Double effect—three-phase curve and Balassa—Samuelson effect. The former theory argues that external appreciation and inflation has two different relations:the substitution effect and the complementary effect. When internal and external economies become unbalanced, the complementary effect will exceed the substitution effect, the bias of domestic depreciation and external appreciation appears. The latter one holds that if a country’s economic growth is rapid, the tradable sector labor productivity will lead to a rise in the real exchange rate of the currency and believe the bias of domestic depreciation and external appreciation is a typical performance of increasing real exchange rate of RMB.In this paper, econometric analysis of the bias is also presented. Unit root test, Johansen co-integration test, Granger causality test, impulse response functions, variance decomposition, and the error correction model are used to measure statistical data from Jan.2002to Apr.2011. The result of Johansen co-integration test indicates that exchange rate, inflation rate and interest rate have a long-term stable relation. Likewise, error correction model result strengthens the proof that exchange rate and inflation are negatively related in the long term. Overall, empirical results show that RMB’s domestic depreciation and external appreciation indeed coexist.Finally, based on the failure example of Japan and the good one of Germany, taking the real home situation into account, suggestions are made, including: ①Appreciating of RMB moderately. According to Swan’s internal and external equilibrium model, to deal with domestic and international economic imbalances, China should match the expenditure switching policy with the expenditure changing policy effectively. Appreciating RMB’s exchange rate modestly is one of the most important measures to cope with the pressure from developed countries overseas.②Safeguarding the independence of monetary policy resolutely, and keeping implementing moderately tight monetary policy is another one suggested by Swan’s model. In addition, central bank be ought to improve the transparency of policy or take a variety of monetary sterilization measures to improve the effectiveness of monetary policy.③Accelerating the modification of the mode of economic growth. In the future, China need to continue promoting the optimization and upgrading of industrial structure, and further expand domestic demand.④Improving external economic policy. On one hand, our country has to convert the mandatory foreign exchange settlement system to a voluntary exchange settlement system in order to eliminate the vicious foreign trade surplus. On another hand, China needs having a perfect transition to the free flow of capital from capital controls to eliminate the severe asymmetry of the import and export of capital.⑤Fastening the development of internal financial market. Now, it is of importance to speed up the development RMB derivatives market. Based on RMB options and futures market, China should timely allow the RMB forwards and swaps, which will become the effective aversion tool of foreign exchange risk.⑥Quickening restructuring the exchange rate system and carrying RMB forward to the world. In the short term,"moderate appreciation-tax cuts" matching policy is needed to implement under the existing system, to release some pressure of appreciation and ease domestic inflation. Then, in the medium term, our country could shift the managed floating exchange rate system to a target zone system (such as the BBC system), to expand the target range of the RMB exchange rate fluctuations. In the long run, China should gradually lift foreign exchange controls in order to let RMB exchange rate float freely, and accelerate the process of RMB internationalization. At the beginning, China could learn from the experience of Germany, letting RMB circulate within the local surrounding and keeping the fact that RMB has become hard currency in the multilateral trade market. In this way, RMB appreciation pressure could be distributed to the currencies of neighboring countries, and then, domestic and external value bias of RMB might disappear gradually.更多还原