【作者】 廖应高；

【导师】 冉茂盛；

【作者基本信息】 重庆大学 ， 金融学， 2004， 硕士

【摘要】 汇率问题是国家经济管理中的重要问题。随着经济全球化和金融自由化，汇率作为国家宏观经济的主要调控手段和经济杠杆对国民经济发展所起的作用越来越明显。均衡汇率是汇率理论中的核心问题之一，是判断汇率水平是否失调及汇率政策是否需要调整的主要客观依据。 亚洲金融危机以来，关于人民币汇率政策的争论就一直没有停止过：在亚洲金融危机之后的几年中，国内外的大多数学者都预计人民币可能贬值；2001年以后，预期人民币升值的呼声似乎逐渐占据了主导地位；发达国家特别是美国、日本不断对中国施加要求人民币升值的压力…因此我们面临着一个根本性的问题：现实的人民币汇率水平是否合理?人民币均衡汇率水平到底如何?迄今为止的研究表明，这个问题是非常复杂的，远非简单的“升值”或者“贬值”就能解释清楚的。 本篇论文在Sebastian Edwards(1989)和Elbadawi(1994)提出的发展中国家均衡汇率理论模型(ERER)的基础上，采用1985——2003年中国相关的宏观经济数据，通过ADF单位根检验和Engle-Granger两步法协整分析对影响人民币汇率的基本经济要素变量进行选择，建立人民币均衡汇率的实证模型(ERER)和误差修正模型(ECM)；以人民币均衡汇率的实证模型(ERER)为基础并运用H-P滤波处理来对1985——2003年人民币汇率均衡与失调的程度进行评价。 通过实证研究和分析表明： (1)影响人民币均衡汇率水平的正向因素主要有政府支出(LNGV)、进口税率(LNTM)、贸易条件(LNTOTI)、政府税收余额(LNTT)，负向因素是货币供给变动(LNM)，在以上因素中，影响人民币均衡汇率水平最重要的因素是贸易条件指数(LNTOTI)，其弹性系数高达2.117182。因而改善贸易条件是提高人民币均衡汇率水平最有效的途径。同时，美元／人民币名义汇率(LNE)、资本净流入(LNH)、国内生产总值(LNGDP)、出口退税率(LNTX)与人民币均衡汇率的相关性不显著。这同人民币汇率钉住美元、资本项目管制、贸易开放度不高的实际情况是吻合的。 (2)1985-2003年期间人民币汇率经历过3次高估，3次低估，其中1985年高估最为严重达29.01％，1993年低估最为严重达-19.72％；1994年汇率并轨后，人民币均衡汇率呈上升趋势，尽管其间经历了亚洲金融危机，但实际有效汇率偏离均衡汇率的程度在逐渐减小，说明央行对汇率的调控能力在逐步提高。 (3)由于人民币汇率政策目标水平的不明确性及人民币汇率形成机制的特殊性，人民币汇率在均衡调整过程中，对国民经济发展的作用力存在明显的局限性。重庆大学硕士学位论文中文摘要因此，需要从确定合适的人民币汇率目标水平、改革和完善人民币汇率形成机制入手，建立以市场供求关系发现均衡价格的汇率形成机制，充分发挥汇率的调整作用。 (4)与人民币官方汇率相比，人民币实际有效汇率更能客观、公正地反映我国汇率竞争力的变化。因此，央行应该建立一套监测人民币汇率的指标，编制季度或年度的人民币实际有效汇率指数(REE租)，用以测算人民币汇率的合理性。 (5)中国应根据经济发展水平、经济运行状况和国际收支状况，在深化金融改革中进一步探索和完善人民币汇率形成机制。关键词:人民币均衡汇率，ERER模型，Engle~G珑mger协整分析，H一P滤波更多还原

【Abstract】 Exchange-rate is important to manage national economy. With the economic globalization and financial libernalization, as the main means of controlling and economic lever in nation’s macro economy, the exchange-rate has acted more and more obvious function to nation’s economic development. Equilibrium exchange-rate is one of core in exchange-rate theories, and main objective basis to judge whether exchange-rate level maladjustment and exchange-rate policy need to be adjusted.Since the Financial Crisis in Asia, the issue about RMB’s exchange-rate policy have never stopped: After several years from the Financial Crisis in Asia, most domestic and international scholars have anticipated RMB would depreciate; Since 2001, the noise expecting RMB will revalue gradually occupied the predominant position; Developed nations especially the United States, Japan continuously bring pressures to China, requiring RMB revaluing. So we must face the problem that whether the real RMB’s exchange-rate level is reasonable? How about RMB’s equilibrium exchange-rate level? Up to the present, researches have expressed that the problem is very complicated, not only simple "revalue" or "depreciation" can clearly explain.Base on equilibrium exchange-rate in developing country theories model(ERER) of Sebastian Edwards(1989) and Elbadawi(1994), this article uses Chinese macro economic data from 1985 to 2003, according to ADF Unit Examination and Engle-Granger Two Foot Works Cointegration Analysis, chooses main economic factors that affect RMB’s exchange-rate, establishes RMB’s equilibrium exchange-rate model(ERER) and Error Correction Model(ECM); Base on RMB’s ERER model, uses H-P Filter to evaluate equilibrium and deviation of RMB’s exchange-rate from 1985 to 2003.According to research and analysis, expresses:(1) Affecting RMB’s equilibrium exchange-rate positive factors primarily contain government expenditure(LNGV), import tax rate(LNTM), terms of trade(LNTOTI), government revenue from tax surplus amount(LNTT), negative factor is the variety of currency supply(LNM). And the most important of above factors affecting RMB’s equilibrium exchange-rate is terms of trade(LNTOTI) which flexibility coefficient is up to 2.117182. As a result, improving terms of trade is the most valid path to increase RMB’s equilibrium exchange-rate. At the same time, US$/RMB nominalexchange-rate(LNE), clean afflux in capital(LNH), domestic total output value(LNGDP), export back tax rate (LNTX) have no obvious relativity with RMB’s equilibrium exchange-rate. It suits the fact that RMB’s exchange-rate pegs US$, capital item is controlled, the opening degree of trade is not high.(2) During 1985 to 2003 years period, RMB’s exchange-rate was overestimated 3 times and underestimated 3 times. In 1985, the overestimating number was up to 29.01% seriously, and in 1993 the underestimating number reached -19.72% seriously. From 1994 when RMB’s exchange-rates were merged, RMB’s equilibrium exchange-rate has appeared the up-trend. Though the Financial Crisis in Asia, the degree of deviation let up gradually, It explains that the ability of the National Central Bank adjusting exchange-rate is increased gradually.(3) Because RMB’s exchange-rate policy target is not clear and RMB’s exchange-rate formation mechanism is special, the function of RMB’s exchange-rate is exist obvious shortage to national economy in equilibrium adjusting process. So we need to certain the target level of RMB’s exchange-rate, reform and perfect RMB’s exchange-rate formation mechanism, establish formation mechanism that through market’s supply and demand to discover equilibrium exchange-rate, fully make well adjusting function of RMB’s exchange-rate.(4) Compared with the RMB’s official exchange-rate, RMB’s real effective exchange-rate can reflect the variety of our country’s ability of competition more objectively and equitably. Therefore, the National Central Bank should establish a set of index to monitor the variety of RMB’s exchange-rate, establish quarterly and annu更多还原