稳定汇率一个简单贴息规则---基于动态汇率理论分析.PDF

稳定汇率：一个简单的贴息规则 基于动态汇率理论的分析 刘芸 许志伟 王鹏飞* 摘要：始于2015年底的人民币持续性贬值，在公众预期的推动下变得尤为严峻。如何稳定 汇率已成为 “新常态”时期政府面临的最大挑战之一。本文构建了一个具有资本管制的动 态汇率模型，试图从理论角度探讨人民币持续贬值的成因及相应对策。本文证明，汇率可 能存在高与低两个均衡，即便不具备贬值基础，对人民币汇率或者实体经济的悲观预期仍 会引发汇率从高均衡滑向低均衡的持续性贬值。这种情况下，相机抉择式加息或者资本管 制政策并不能稳定汇率，甚至可能适得其反，加剧波动。本文随后提出了一种内生贴息法 则，并从理论上证明该法则可以消除汇率的低均衡，从而有效地稳定汇率。文章最后讨论 了贴息法则在中国经济中的具体操作性，从而为 “新常态”时期我国的汇率政策提供了一 个新的参考。 关键词：人民币贬值 动态汇率模型 资本管制 汇率稳定政策 Exchange Rate Stabilization: A Simple Interest-Subsidy Rule Analysis on Dynamic Exchange Rate Model Abstract: Renminbi has depreciated continuously since the end of 2015, and the situation is getting severe under the pressure of public’s pessimistic expectation. How to stabilize the exchange rate has become one of the biggest challenges faced by the Chinese government in this “new normal”economy. This paper constructs a dynamic exchange rate model incorporated with capital control, trying to dig out the reason and corresponding policy for the continuous depreciation of RMB. We prove that there exists multiple (high and low) equilibria for exchange rate. This explains the continuous depreciation *刘芸：香港科技大学经济系，Email：karenlinus@connect.ust.hk;许志伟：上海交通大学安泰经济与管 理学院，Email：xuzhiwei@；王鹏飞：香港科技大学经济系，Email：pfwang@ust.hk。感谢 林毅夫、黄益平、林曙、王红林、王健、施康、徐建国、张斌、周皓在本文写作过程中提供的积极评论， 以及徐思闯在数据方面的支持。文责自负。 1 even when the fundamentals are good because pessimistic expectation towards exchange rate or the real economy would make the exchange rate deviate from the high equilibrium to the low equilibrium. In this scenario, discretionary interest rate policy or capital control policy would not help stabilize but on the contrary fluctuate the exchange rate. To deal with this problem, we propose an endogenous interest-subsidy rule, which is theoretically effective in eliminating low equilibrium and stabilizing exchange rate. In the e