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本文首先对经典行为均衡汇率模型简要解读。指出其在估算实践中,暗含技术上的严格假定。本文给出放松假定的改进。通过人民币均衡汇率估算的经验分析,对改进工作进行检验。为人民币均衡汇率估算研究搭建一个深入分析的技术平台。经验分析的主要结论是,人民币实际汇率短期存在低估,但与长期均衡汇率比较,其实际汇率一直存在高估的情况。鉴于均衡汇率水平的决定机制复杂,人民币汇率水平升值调整必须慎之又慎。
Abstract：Based on brief interpretation about the classic analytical framework of Behavioral Equilibrium Exchange Rate model,the paper points out its rigorous assumption implied in the application.We improve the analytical technique by loosening the assumption and test is by means of empirical analysis.Then a deeply analysis platform for estimation is established.Holding the main conclusion that the RMB real exchange rate is undervalued in short-term,but overvalued compared with long-term equilibrium exchange rate.Considering the complicated determinants mechanism on equilibrium exchange rate level,the adjustment of RMB exchange rate should be taken cautiously.
[3]详细推导过程此处省略,参阅文献Clark和MacDonald(1998)IMF工作论文。
[1]Peter B.Clark.and Ronald.MacDonald..What Determines Real Exchange Rates?The Long and Short of It[J].IMF Working Paper,1997,NO.21.
[2]Peter B.Clark,Ronald.Macdonald..Exchange Rates and Economic Fundamentals:Amethodological Comparition of FEERs and BEERs[J].IMF working paper,1998/67.
[3]Peter B.Clark.and Ronald.MacDonald..Filtering the BEER:A Permanent and Transitory Decomposition[J].IMF Working Paper,2000,NO.144.
[4]胡海林,人民币均衡汇率估算[D].博士学位论文,2008.
[5]张晓朴.人民币均衡汇率研究[M].北京:中国金融出版社,2001.101-112.
[6]卜永祥,秦宛顺.人民币内外均衡论[M].北京:北京大学出版社,2006.1-82.
[7]金雪军,王义中.理解人民币汇率的均衡、失调、波动与调整[J].经济研究,2008(1):46-59.
[8]谷宇,高铁梅等.国际资本流动背景下人民币汇率的均衡水平及短期波动[J].金融研究,2008(5):1-13.
基本信息:
DOI：10.19343/j.cnki.11-1302/c.2009.03.001
中图分类号:F224;F832.6
引用信息:
[1]肖红叶,王莉,胡海林.人民币均衡汇率决定机制及其影响因素的作用分析——基于行为均衡汇率估算模型分析技术改进的研究[J].统计研究,2009,26(03):3-8.DOI:10.19343/j.cnki.11-1302/c.2009.03.001.
基金信息:
国家统计局重点项目“人民币汇率决定的统计研究”(2006B26);; “人民币汇率变动对经济运行影响的统计研究”(2007LZ015)的阶段性成果
2009-03-15
2009-03-15