人民币汇率升值的波动效应与稳定机制研究

【作者】 杨雪峰；

【导师】 谢识予；

【作者基本信息】 复旦大学 ， 数量经济学， 2007， 博士

【摘要】 本文以巴拉萨—萨缪尔森假说为研究汇率升值的起点，通过对巴—萨模型进行符合实际的扩展，在扩展模型框架内对汇率升值进行理论上的探讨，并藉此对我国人民币汇率近二十年的走势给以分阶段解释，结论是人民币汇率升值来自于赶超阶段劳动生产率的快速提高，此结论意味着人民币汇率升值可能是持续性、长期性的过程，进而引申出对长期汇率升值产生的波动效应与汇率升值下稳定机制的理论探索。本文对汇率升值的波动效应研究，主要从贸易平衡效应、贸易结构调整效应、外商直接投资效应和产出效应的理论研究入手，在此基础上结合我国相关数据进行实证研究；汇率升值稳定机制的研究，主要以汇率升值稳定机制的来源(汇率干预)为切入点，理论上阐释了央行汇率干预的规则、汇率干预目标的实现，汇率干预的可能后果(即汇率升值与资产价格泡沫的联系和汇率升值与冲销干预的可维持性)。在上述理论和实证研究汇率升值的基础上，总结出本文的研究结论。论文共分五章。第一章：导论部分。主要包括研究背景与主题、研究现实意义、相关文献综述、研究思路、研究方法和预期创新的简单介绍。第二章：汇率升值的逻辑起源。本章从对历史上汇率升值事件的梳理中展开，接着界定汇率升值内涵、概括不同性质汇率升值事件的共性和差异，随后对巴拉萨—萨缪尔森模型进行符合中国实际的扩展，并通过扩展模型分析、解释人民币汇率历史走势。在上述理论和我国实际结合的前提下，合乎逻辑地推导出人民币汇率升值是赶超国家劳动生产率提高的必然结果，因而人民币汇率升值是长期性过程。第三章：汇率升值的波动效应研究。本章以汇率升值对宏观经济主要变量的影响为研究重点，第一节研究汇率升值的贸易平衡效应，通过构建简单开放经济模型，在国际吸收法的框架内对一次性汇率升值和持续性汇率升值的贸易平衡效应给以阐释，并采用J-曲线理论对汇率升值的贸易平衡效应加以进一步分析，最后在对我国汇率升值与贸易平衡效应的实证研究和德国、日本两国汇率升值后贸易表现的比较研究中结束本节；第二节研究汇率升值的贸易结构调整效应，以微观厂商国外市场定价为研究基点，论证汇率升值对不同贸易产业的差异性影响，这种差异性影响最终导致贸易产业结构的重构，同时，实证研究了我国部分出口行业的汇率传递弹性，以估计汇率升值对贸易产业的差异性影响；第三节研究汇率升值的外商直接投资效应，通过介绍汇率波动下跨国公司投资模型，理论上推导出汇率升值对外商直接投资的影响，并对人民币汇率升值同外商直接投资相互关系进行了实证检验；第四节研究汇率升值的产出波动效应，在VAR模型的基础上，研究封闭模型下汇率升值对国内产出的影响，并通过引入外部变量冲击，进一步研究开放模型下汇率升值与产出波动的关系。第四章：汇率升值的稳定机制研究。本章主要研究汇率升值下汇率稳定的获得，即通过外汇市场干预来控制汇率升值幅度。第一节探讨我国实现汇率稳定升值的具体手段，即央行参考篮子货币干预规则的灵活性和可行性；第二节通过构建央行最小损失函数模型，理论上研究央行双目标(汇率目标和货币供给目标)实现过程和变量动态性；第三节研究汇率升值干预、扩张性货币政策和资产价格泡沫产生的理论机理，同时介绍了日元汇率升值与资产价格泡沫的形成，最后对人民币汇率升值背景下资产价格泡沫形成的可能性给以分析；第四节研究汇率升值与冲销干预的可维持性，借助第一代货币危机模型推导出汇率升值与冲销干预的不可维持性，并对我国冲销干预加以解释性分析。在上述理论和实证研究的基础上，第五章主要得出如下结论：(1)人民币名义汇率升值是个长期性过程；(2)短期内人民币汇率升值对贸易平衡的影响不显著，长期内汇率升值会对贸易失衡起到缩减作用；(3)人民币汇率升值对贸易产业的差异性影响会推动贸易产业的结构调整；(4)人民币汇率升值对外商直接投资具有促进作用，汇率波动对外商直接投资具有抑制作用；(5)人民币汇率与国内产出具有双向因果关系；(6)参考钉住篮子货币的汇率制度实现了人民币汇率升值过程中的稳定；(7)人民币汇率升值有导致资产价格泡沫的隐忧；(8)人民币汇率冲销干预的可维持性面临考验。更多还原

【Abstract】 With the rapidly current account surplus, Chinese yuan faced tremendous appreciation pressure. Exchange rate reform on July 21, 2005 marked that prelude of Chinese yuan appreciation has been opened up. Traditional wisdoms tell us that exchange rate depreciation is contraction, which means Exchange rate appreciation is expansionary. But Japanese yen appreciation experience from the 1970s through the 1995s suggests that a rapidly exchange rate appreciation no doubt result in the deflation. Considering Japan’s lesson, a large scale of appreciation of Chinese yuan maybe has negative effects on output. So the debate on Chinese yuan appreciation continuous, though Chinese exchange rate system has oriented to more flexible. The controversy only focused on progressive widening of the band. In fact, there is meaningless barely on arguing the revaluation. The important issue is what effects appreciation on china economic, that’s the author concern about.Charter one is introduction. In this part the author introduce the background, theme, framework, method, expectation innovation of research, meanwhile retrospect previously research literature.Charter two is research on the logistic origin of exchange rate. Firstly, the author compared exchange rate appreciation cases in history and defined exchange rate connotation. Secondly, the author extended the B-S model according to Chinese reality, analysis Chinese yuan trend. So the author make a conclusion that Chinese yuan appreciation comes from productivity increasing on catch-up country, therefore appreciation is long-term process.Charter three is research on volatility effect of exchange rate appreciation. Firstly, study trade balance effect of exchange rate appreciation, the author differentiate trade balance effect from one-off and durative exchange rate, evaluate the J-curve exist in china; secondly, research FDI effects of exchange rate appreciation, introduce the multinational investment model, and analysis the exchange rate and investment correlation. Thistly, study trade structure adjustment effects of exchange rate appreciation, the author research exchange rate pass-through effect through the manufacture price model, and empirical analysis the pass-through effect of china correlative industry. Lastly, study the output effect of exchange rate appreciation, according to VAR model, research output response on the US interest rate, Japanese yen, Chinese yuan, and inflation.Charter four is research on stable mechanism of exchange rate appreciation. Firstly, study the stablization method of exchange rate appreciation that means turns to referring the basket currency. Secondly, research the double target realization of center bank through the government expense function models. Thistly, research exchange rate appreciation intervention, expand money policy and assets price bubble, analysis the possibility of assets price bubble on china. Lastly, study the feasibility of exchange rate appreciation and sterilization, the author explain that sterilization can’t persist through the first-generation speculate model, at the same time analysis sterilization in china.Charter five is research conclusion. The author attain eight conclusion, the appreciation of Chinese yuan is long-term process; trade balance effect of exchange rate appreciation isn’t remarkable in short-terms, but is remarkable in long-terms; Exchange rate appreciation has differenciate effects on trade industries, promote structure adjustment of industries; Exchange rate appreciation boost FDI inflow, exchange rate volatile restrain FDI inflow; Exchange rate and output have double cause and effect correlation; Referring basket currency provide the stable on the appreciation process; Assets price bubble result from exchange rate appreciation is likely; Intervention through sterilization isn’t durative.更多还原