【作者】 石玉珍；

【导师】 胡同泽；

【作者基本信息】 重庆大学 ， 产业经济学， 2005， 硕士

【摘要】 人民币汇率是否低估、人民币是否应该升值是当前国内外一个非常关注的话题。本文主要是根据基础变量分析法,运用计量经济学手段,对1994 年第1 季度至2004 年第4 季度人民币汇率进行实证分析,推导人民币的均衡汇率,在此基础上来判断人民币汇率是否合理,同时对汇率变动对我国经济发展的影响进行研究。实证分析得出,国内生产总值(GDP)、国外净资产(NFA)、广义货币供应量(M2)、国内信贷的过度供给(EXC)以及外贸差(SURPLUS)五个基础变量与人民币实际有效汇率(REER)之间存在协整关系,模型判决系数R2为0.80。根据实证分析结果,在样本期内人民币均衡汇率一直处于上升阶段。根据推导出的汇率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)、国内信贷的过度供给(EXC)以及外贸差(SURPLUS)的长期趋势值,笔者计算出了人民币各期的均衡汇率。通过人民币实际有效汇率和实际均衡汇率的比较分析,得出四个重要结论: 一是人民币均衡汇率从1994 年以来基本保持小幅升值。样本期内共升值4.09%;二是样本期内,有效汇率偏离均衡汇率的幅度都在10%以内,属于正常波动;三是人民币有效汇率发生偏离后一般在8 个季度内回归均衡汇率;四是目前人民币有效汇率的水平是合理的,2004 年第4 季度的实际有效汇率长时间低估后首次高估5.34%。本文的亮点在于借鉴了国内外的均衡汇率决定理论,构建了中国的人民币均衡汇率决定模型;另外,本文的研究时段较新,从1994 年到2004 年正是中国汇率制度逐渐走向稳定的十一年,对这十一年的研究不论是反思过去还是指导未来都有重要意义;第三,本研究采用数据为季度数据,对实证检验精确性的提高亦有所助益。更多还原

【Abstract】 Recently, 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 1994 to the forth quarter of 2004 based on Statistics Approach, mainly on the estimation of equilibrium real exchange rate (ERER) of RMB in order to justify the effectiveness of the real exchange rate and on the assessment of the impact of appreciation on China’s economy. The empirical study shows that there does exist a co integration relationship between the REER and the selected five fundamentals Gross Domestic Product (GDP), Net foreign asset (NFA), Monetary aggregates (M2), Excess Domestic Credit (EXC) and the foreign trade surplus (SURPLUS). The R squared value of the model is 0.80.We also found that during the studied period, the RMB is still in an appreciating stage. Using the estimated equation and the permanent value of the five 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. Finally we got four important conclusions: First, the RMB’s equilibrium real exchange rate is still in an appreciating stage. During the studied period, the RMB’s equilibrium real exchange rate has appreciated 4.09%. Second, the deviation of REER is limited in the normal fluctuation extent (i.e., that is small than 10 percent). Third, once the deviation occurred, the REER will move back to the ERER within eight quarters. Last, the current REER of RMB is reasonable and acceptable on the fact that only a 5.34 percent higher than the ERER in the latest term (i.e., that is the forth quarter of 2004). The highlight of the paper lies in using foreign and domestic equilibrium exchange rate theories as reference to build Chinese RMB equilibrium exchange rate model. In addition, this paper adopts the latest data from 1994 to 2004.更多还原