人民币均衡实际汇率研究 _ 1994-2009（可编辑）.docVIP

摘 要 自 2002 年伊始,伴随着经济长期稳定及高速的发展,我们的经常项目顺差 不断扩大和外汇储备激增,人民币汇率面临着巨大的升值压力。针对国际社会上 的不断指责,我们需要知道人民币究竟有没有被低估?如果被低估了,低估的程 度又是多少?又会对经济产生哪些影响?要回答这一系列问题,需要需要参照人 民币均衡汇率水平来加以比较,以此作为判断人民币是否失调及失调程度如何的 依据。 为了研究人民币汇率的失调程度及经济影响,本文通过比较分析,选取了 1994-2009年间劳动生产率、贸易条件、净国外资产、开放度四个变量的季度数 据做为测算人民币均衡实际汇率水平的长期基本经济因素。 通过运用行为均衡汇率模型及协整分析方法发现:在长期内,人民币均衡汇 率正是由这四个基本经济因素变量所决定,其中劳动生产率和净国外资产对均衡 汇率有正向作用,而贸易条件和开放度对均衡汇率具有反向作用,推动人民币实 际汇率不断升值的主要动力是我国贸易品部门劳动生产率的快速提高及净国外 资产的迅速增加;而误差修正模型也显示:人民币实际汇率存在着一定的自我修 正机制,每期的误差纠正速度为 25.56%;在此基础上,通过 H-P 滤波法提取四 个基本经济因素变量的长期均衡值,测算了人民币实际汇率水平同长期均衡汇率 的失调程度,发现:尽管人民币实际汇率有所低估,但低估幅度并不是很大,基 本没有超过10%。因此,人民币目前的汇率水平是比较合适的,国际社会上对人 民币汇率水平的指责是毫无道理和依据的。 关键词: 实际汇率行为均衡汇率汇率失调协整检验 IABSTRACT Since the beginning of 2002, along with long-term stability and rapid economic development, our current account surpluses and foreign exchange reserves has increased rapidly, the RMB exchange rate faces with significant upward pressureAgainst the criticism of the international community, we need to know whether the RMB exchange rate is underestimated or not? If underestimated, how much the degree of underestimated is and how it impact on the economy? In order to answer this series of questions we need to measure the equilibrium real exchange rate of RMB and judge whether the RMB exchange rate is underestimated or not based on itIn order to empirically research the real exchange rate misalignment of RMB and its economic effects, this paper collects the quarterly data from 1994 to 2009 of labor productivity, terms of trade, net foreign assets and openness of our country as the long-term economic fundamentals variable which are used to estimate the level of RMB equilibrium exchange rate Through using the behavioral equilibrium exchange rate model and cointegration analysis we found: in the long-term, the RMB equilibrium exchange rate is decided by that four factors and labor productivity and net foreign assets have a positive effect on the equilibrium exchange rate, while the term of trade and