人民币均衡汇率与汇率变动的宏观经济效应研究

【作者】 李怀定；

【导师】 姜波克；

【作者基本信息】 复旦大学 ， 金融学， 2007， 博士

【摘要】 人民币均衡汇率与汇率变动的宏观经济效应是一个倍受争论但又不可回避的课题。之所以说“倍受争论”，是因为自从上个世纪九十年代以来，国内外学者就围绕人民币均衡汇率的决定和测算、人民币汇率变动的宏观经济效应、人民币汇率形成机制问题等展开了激烈的争论，至今在许多方面仍尚未达成共识。之所以说“不可回避”，是因为随着中国经济的对外开放程度的上升，人民币汇率政策受到的挑战越来越多，人民币汇率政策的定位越来越受到重视。国际金融学是一门从货币金融角度研究一国内外均衡目标同时实现的学科(姜波克，1999a)，而内外均衡目标的同时实现主要是集中在汇率变量上，因此有必要从内外部均衡角度出发研究汇率。鉴于此，本文采用了内外均衡的分析方法对人民币均衡汇率的决定和测算、人民币汇率变动的宏观经济效应，以及由此引出的汇率变动与汇率失调如何影响最优汇率区间的选择等问题进行循序渐进地探讨。在此基础之上，本文重新界定了均衡汇率的概念，我们将均衡汇率定义为：在国内非贸易品市场达到均衡，经常账户余额达到可维持性水平下的内部实际汇率水平。在该定义中，我们关注的经常账户余额并不要求在总量上每期都要为零，而是要求在满足跨期净现值为零的情况下每期只要达到经常账户的可维持性余额即可。本文共分六个章节部分进行阐述的：第一章是导论部分。首先介绍本文的研究背景、研究目的、研究主题与研究方法；接着对国内外有关均衡汇率与汇率变动的宏观经济效应的研究现状进行了概括性的回顾；然后对本文的研究思路、结构安排、可能创新点与不足之处进行了描述；最后对与汇率有关的几个核心概念进行了界定。第二章对本文主题——人民币均衡汇率与汇率变动的宏观经济效应研究的前提必要性进行探讨，具体说，是基于人民币汇率对实际汇率平稳性与购买力平价假说进行实证检验。检验结果发现，实际汇率的平稳性与购买力平价假说在中国均得不到实证支持。为此，我们首先简要分析了实际汇率平稳性与购买力平价假说检验的必要性；然后介绍了实际汇率定义与类型，分析不同类型的实际汇率之间的数量关系，并给出不同类型的人民币实际汇率的走势；接着对购买力平价假说的基本内容及其检验方法与检验形式作一简单概括；最后利用两种不同的人民币外部实际汇率对实际汇率平稳性与购买力平价假说进行实证检验。第三章对西方现有典型的均衡汇率理论模型进行了系统的介绍、比较与评价。其中西方现有典型的均衡汇率理论模型主要包括：基本要素均衡汇率理论模型、宏观经济框架之下的均衡汇率理论模型(IMF模型)、行为均衡汇率理论模型、基于中期模型基础的均衡汇率理论模型(ITMEER模型)、自然均衡汇率理论模型以及由Edwards、Elbadawi及Montiel各自发展的作为典型代表的发展中国家均衡实际汇率理论模型。我们通过对上述西方现有典型的均衡汇率理论模型进行了比较与评述之后，认为相对于其它模型，基本要素均衡汇率理论模型与Montiel模型具有一定的优越性。第四章提出人民币均衡汇率理论模型，并在此基础上对人民币均衡汇率的测算进行了实证研究。为此，我们首先结合由Elbadawi和Soto提出的最新发展中国家均衡实际汇率理论模型框架和由Williamson和Mahar提出的外部均衡思想，建立适合人民币的均衡汇率理论模型。该模型认为与均衡汇率相对应的内部均衡是要求非贸易品市场结清，与均衡汇率相对应的外部均衡是要求经常账户余额达到可维持水平；然后我们对人民币均衡汇率理论模型的主要结论进行定性分析；最后我们对人民币均衡汇率的测算进行了实证研究，并对我国1978年以来的人民币汇率失调情况进行了深入、全面的定量分析。第五章通过实际产出、物价、就业和实际工资四个宏观经济变量对人民币汇率变动的宏观经济效应进行了研究。本章研究的另一主要目的是为了判断人民币汇率一旦发生失调时，政府应该如何进行调整才不致让人民币汇率变动对宏观经济产生巨大的影响冲击。为此，我们首先对国内外有关汇率变动的宏观经济效应研究的相关文献作一简要回顾；然后通过引入理性预期与不确定因素建立一个开放经济条件下AD-AS模型，给出上述四个宏观经济变量与汇率变动之间的关系；最后利用中国总体数据及其组成部分(分类或行业)数据对人民币汇率变动的宏观经济效应进行了面板实证研究。此外，本章最后还结合第四章的研究结果对人民币汇率失调的一次性调整给上述四个宏观经济变量带来的影响冲击也作了一个简单的分析。第六章作为本文的最后一章，主要是结合汇率变动与汇率失调概念，利用政策制定者与公众之间的博弈对最优汇率区间选择进行了系统性的理论研究。为此，我们首先给出政策制定者与公众的博弈模型设定；然后在此模型设定基础上，利用博弈论中的逆向归纳法对博弈模型求一般均衡解；最后我们利用比较静态分析方法对政策制定者的最优汇率区间选择问题进行系统性的理论研究，并给出博弈模型结论及其对人民币汇率制度改革的启示。更多还原

【Abstract】 Renminbi(RMB)equilibrium exchange rate and macroeconomic effects of exchange rate fluctuation is a heatedly deputed and inevitable problem. The reason why it is so-called to be heatedly deputed is that, on the one side, since 1990s domestic researchers have disagreed with each other about the determination and measurement of RMB equilibrium exchange rate, macroeconomic effects of RMB exchange rate fluctuation and consequently with RMB exchange rate formation system etc., on the other side, there are still no much consensuses in many aspects. The reason why it is so-called to be inevitable is that, with deepening of China’s economic openness, RMB exchange rate policy will be confronted with more and more challenges, and its orientation will be attached more and more importance.International Finance is one subject in research of achieving simultaneous internal and external balances for one economy from the perspective of monetary finance(Jiang-Boke, 1999a). And because the variable of exchange rate is the focus of achieving simultaneous internal and external balances, so it is nessesary to investigate this variable for achieving simultaneous internal and external balances. This dissertation makes systematic researches theoretically and empirically on the problems on the determination and measurement of RMB equilibrium exchange rate, on the macroeconomic effects of RMB exchange rate fluctuation, and also on how exchange rate fluctuation and exchange rate misalignment influence the choice of the optimal exchange rate band. On such basis, the dissertation also re-defines equilibrium exchange rate. The definition of equilibrium exchange rate here refers to internal real exchange rate which requires that, on the one hand, domestic non-tradable goods markets must be under equilibrium, on the other hand, current account balance should be sustainable. Here, the current account balance that we attach more importance to does not need to be zero for each period, but to be sustainable as long as its net discounted value of the intertemporal balance is under equilibrium. The dissertation includes six chapters:Chapter one is introduction. The chapter first makes some descriptions on the background, goal, subject and method of this dissertation, and then surveys the current studies on equilibrium exchange rate and macroeconomic effects of exchange rate fluctuation. Finally, the chapter is followed by the discussions of study means, structure arrangement, innovations and weaknesses of this dissertation and some basic concepts of exchange rate.Chapter two analyzes the preconditions of the study on RMB equilibrium exchange rate and macroeconomic effects of exchange rate fluctuation through using RMB exchange rate to test real exchange rate stableness and Purchasing Power Parity(PPP). The study shows that neither real exchange rate stableness nor PPP can be supported by China’s data,. This implies that Chinese government should find an alternative to explain real exchange rate unstableness, and this alternative must be able to guide RMB exchange rate policy so as to minimize the negative impacts when facing internal and external imbalances. The chapter first analyzes the necessities of empirical test for real exchange rate stableness and PPP in brief. Then, the chapter introduces the definition and types of real exchange rates, and analyzes the quantitative relations between these different types of real exchange rates and their trends with RMB real exchange rates. And the chapter also makes some generalizations on PPP and its current studies. Finally, the chapter uses two different types of RMB external real exchange rates to make empirical test.Chapter three introduces, compares and assesses current western typical equilibrium exchange rate models systematically. These typical models include: Fundamental Equilibrium Exchange Rate, Macroeconomic Balance Framework Equilibrium Exchange Rate(IMF Model), Behavioral Equilibrium Exchange Rate, Intermediate-term Model-based Equilibrium Exchange Rate(ITMEER Model), Natural Equilibrium Exchange Rate, and Equilibrium Real Exchange Rate. And the last one is composed of Edwards Model, Elbadawi Model and Montiel Model. The chapter argues that compared with other models, Fundamental Equilibrium Exchange Rate and Montiel Model have some advantages.Chapter four develops RMB equilibrium exchange rate model, and makes empirical study on RMB equilibrium exchange rate. The chapter first establishes appropriate RMB equilibrium exchange rate model in combination with the latest Equilibrium Real Exchange Rate(ERER) framework developed by lbadawi & Soto with the idea of external balance developed by Williamson & Mahar. The model argues that internal balance requires domestic non-tradable goods markets should be cleared, and external balance requires current account balance should be sustainable. Based on this model, the chapter then makes some qualitative analysis on the main conclusions derived from this model. And finally, the chapter makes empirical study with RMB, and based on this study, it also makes some deep investigations on the degree of RMB exchange rate misalignment since 1978. Chapter five analyzes macroeconomic effects of RMB exchange rate fluctuation through four main macroeconomic variables(that is, real output, price, employment and real wage). One of the goals of this chapter is to judge how Chinese authority can minimize the impacts of RMB exchange rate fluctuation from exchange rate adjustment when facing RMB exchange rate misalignment. The chapter first surveys current studies on macroeconomic effects of exchange rate fluctuation, and then by introducing uncertainty and rational expectation into traditional open economy AD-AS model, it develops a model which gives rise to explicit relations between exchange rate fluctuation and four above-mentioned macroeconomic variables. The chapter finally use China’s aggregate and disaggregate(sort or sector)data to make empirical panel studies. Besides, the chapter also makes some simple investigations on the impacts on the four above-mentioned macroeconomic variables from one-step adjustment of RMB exchange rate misalignment based on the results of the panal studies.In combination with the concepts of exchange rate fluctuation and exchange rate misalignment, chapter six makes theoretical investigation on the choice of the optimal exchange rate band through the game between the policymakers and the public. The chapter first gives settings on the game model, and then reaches a general equilibrium solution through backward induction method. Finally, the chapter uses comparative static analytical method to make systematic investigation on the policymakers’ choice of the optimal exchange rate band, and then makes some conclusions for the game model, and gives out some inspirations for RMB exchange rate regime reform.更多还原