人民币汇率水平合理性问题研究
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摘要
汇率合理性问题既是汇率理论古老的本源问题,同时也是全新的前沿问题。最初汇率是因为国际贸易结算的需要产生的,而它一经产生,合理性问题便与之相伴而生,即汇率水平应该是多少?这一问题成为了汇率决定理论研究的起源和核心。到了国际金融高度发达的今天,当汇率以金融衍生产品身份再次出现时,合理性问题又演变为全新和前沿的衍生产品定价问题,这时一国汇率水平不合理不再仅仅会引发贸易摩擦和影响国际收支平衡,而且还有可能会引发大规模投机套利行为和国际金融危机。可见,汇率水平合理性问题研究始终具有极高的理论和实践价值。
具体到人民币汇率合理性问题。首先,它属于发展中国家均衡汇率问题,但目前国际金融理论界对均衡汇率水平测算,本身就存在较大的认识和方法分歧,对发展中国家均衡汇率理论的研究则更是鲜有共识;其次,人民币汇率又属发展中国家特例,其名义汇率“长期稳定”伴随着经济总量快速跻身世界经济体前列,其实际汇率长期偏离均衡状况伴随着宏观经济保持持续增长,这些特殊现象都明显有悖于常理。所以,研究人民币汇率合理性问题具有重大的应用价值。事实上,长期以来人民币汇率合理性问题也一直备受争议,特别是2003年以来的国际舆论压力、2008年末国内经济增长和就业稳定的双重压力,使得人民币汇率合理性问题不仅是国际关注的焦点、热点问题,而且还是摆在我国宏观调控部门面前的疑点、难点问题。因此,研究这一问题,对于深化人民币汇率改革、促进我国国民经济可持续发展,具有重要的理论指导意义和参考价值。
为此,本文在总结回顾人民币汇率变动历史轨迹的基础上,运用相关理论并结合自身多年货币当局工作经验,从人民币汇率研究对象的合理选择、汇率合理性的判定标准、汇率合理水平测算和汇率不合理根源等方面进行深入研究分析,并在此基础上提出了整体均衡汇率标准、长短期目标结合的人民币汇率调整策略。全文共分八个部分:
第一部分导论。该部分首先阐明了人民币汇率合理性问题研究的背景与意义,再就国内外现有相关研究成果及现状进行综述,然后介绍本文的基本框架与研究方法,最后就本文研究的创新与不足之处进行简要阐述。
第二部分汇率水平合理性评估的理论基础。该部分首先通过甄别汇率的不同种类,从而确定了以实际有效汇率作为评估汇率水平的合理对象;然后,通过对汇率决定理论发展脉络和内在逻辑进行梳理,从中提炼出不同阶段汇率理论对汇率水平合理性的判定标准,并就各个阶段理论的合理汇率水平测算方法(模型)进行了逐一介绍;最后,以汇率政策理论为基础,从汇率水平调整、制度选择以及政策搭配等三个方面,就如何调整汇率回归到合理水平进行了综合阐述。
第三部分人民币汇率合理性之辨。该部分首先总结回顾人民币汇率变动的历史轨迹。然后分别从历史、原理以及政策的角度,列举了1994年以来人民币汇率合理性问题国内外历次争论的焦点所在,提出了人民币汇率“稳定”有悖常理的两大谜团,分析了人民币汇率政策与货币、利率、就业等其他政策搭配上的潜在冲突。
第四部分人民币汇率合理性评估:判定标准与模型选择。该部分从理论评价、实证检验和我国国情三个方面出发,综合考量了历史上代表性的购买力平价、一般均衡和内外均衡标准下各主要模型对人民币均衡汇率测算的适用性,最后结合我国国情特点,从内外均衡标准中演绎出整体均衡标准。
第五部分人民币汇率水平中长期合理性评估实证分析:基于ERER模型。由于国内现有利用ERER模型的实证,在变量选择和实证结论上都存在较大差异。因此,这一部分严格按照Elbadawi的ERER修正模型原旨,对人民币均衡汇率进行了重新测算。通过实证分析发现:理论上,内外均衡汇率能够较好地作为我国人民币汇率合理性的中长期判定标准,ERER模型也为此提供了一个良好的具体的测算模型;但实证上,由于我国的国际收支多年呈现“双顺差”格局的关系,因而结果并不很理想。
第六部分人民币汇率水平短期合理性评估实证分析:基于BEER模型。鉴于第五部分实证分析的结果昭示我们有必要重新考虑储蓄-投资缺口、国际收支双顺差等我国经济运行特征因素。因此,本部分利用BEER模型适用性强的特点,尝试将我国经济运行特征因素纳入到模型中,对人民币整体均衡汇率进行测算。实证分析显示,BEER模型所测算出的整体均衡汇率,适合作为人民币汇率合理性短期判定标准,而且实证结果也相对更为合理。
第七部分人民币汇率失调根源的理论分析。这一部分从内、外部和长、短期等四个方面,就导致人民币汇率不合理的根源进行了理论分析。分析认为,无论从长期还是短期看,人民币单一钉住美元都是造成人民币失调的外部根源;而储蓄-投资缺口与国际收支双顺差动态不一致是人民币汇率失调的短期内部根源,依赖外部的经济增长方式则是失调的内部长期根源。
第八部分人民币汇率回归合理的调整策略。该部分以人民币汇率短期内保持整体均衡汇率为策略,就基于不同汇率制度下调整的可行性一一进行了分析;但人民币汇率最终还是应以实现内外均衡汇率目标,因而,该部分在最后提出了“加快转变经济增长方式、逐步实现人民币国际化”的内外兼治的中长期调整策略。
The reasonability problem of exchange rate is the archaic source problem of exchange rate theory as well as the new front-line problem. The exchange rate is initially generated due to the demand of international settlement, and the reasonability problem is triggered immediately upon its generation, i.e. how much shall the exchange rate be? This problem has been the source and core of exchange rate-determining theory research. Till today with highly advanced international finance, the reasonability problem also changes to the new and frontline derived product pricing problem when the exchange rate reappears as the financial derived product, and then the non-reasonability of exchange rate not only will leads to the trade friction and international imbalance, but also may result into large-scale speculation and arbitrage actions and international financial crisis. Therefore, the exchange rate reasonability problem research always has high theoretic research value.
In terms of the exchange rate reasonability problem of RMB, firstly, it falls into the equilibrium exchange rate problem of developing countries, while the current exchange rate theory has great acknowledging and method difference for the equilibrium exchange rate measurement, and the referable research fruits is ever less when extending to the developing countries; furthermore, the RMB exchange rate is the particular example of developing countries, and there are some particular phenomena such as the coexistence of long-term stability of nominal exchange rate and gross economy speedy growing and entering into the top group of world economy and the coexistence of real exchange rate long-term departure from the equilibrium and the sustainable macroeconomic growing rather than the crisis. Therefore, there is great theoretic application value to research this problem. In addition, the RMB exchange rate reasonability is always disputed from a long time, especially the international consensus pressure since 2003 and the double pressure of domestic economic growing and employment stability at the end of 2008 make the RMB exchange rate reasonability problem not only the internationally focused focal and hot problem, but also the doubtful and difficult problem before the macroeconomic control authorities of China. Therefore, it has important theoretic instruction significance and reference value for the deepening of RMB exchange rate reforming and facilitating the health and sustainable development of our market economy to research this problem.
In this case, this thesis makes use of relevant theory and my financial career experience, implements the deep research and analysis from the judgment standard and reasonable level measurement of RMB exchange rate reasonability and the source of exchange rate non-reasonability based on the summary and review of historic change track of RMB exchange rate, and then brings forward the integral equilibrium exchange rate standard and the adjustment strategy of combining the long-term and short-term objective. The whole thesis is consisted of 8 chapters:
Chapter 1: Introduction. This chapter clarifies the background and significance of RMB exchange rate reasonability problem research, summarizes the existing domestic and foreign research fruits and condition about the exchange rate reasonability problem, introduces the basic framework and research method of this thesis, and then makes the brief self-evaluation for the innovation and shortage of the research.
Chapter 2: Theoretic Base of Exchange Rate Reasonability Evaluation. This chapter confirms to use the real effective exchange rate as the reasonable object for exchange rate evaluation by distinguishing different kinds of exchange rates, then abstracts the exchange rate reasonability judgment standard of exchange rate theory in different stages by coordinating the developing venation and internal logic of exchange rate determination theory and introduces the reasonable exchange rate measurement methods (models) of exchange rate theory in each stage one by one, and finally makes the comprehensive expression about how to adjust the exchange rate to the reasonable level from exchange rate adjustment, system selection and policy arrangement based on the exchange rate strategy theory.
Chapter 3: Argument of RMB Exchange Rate Reasonability. This chapter summarizes and reviews the historic track of RMB exchange rate change, and then enumerates the bone of each domestic and foreign contention about the RMB exchange rate reasonability ever since 1994, brings forward 2 paradoxes of RMB exchange rate stability and analyzes the potential conflict of RMB exchange rate policy matching with monetary, interest and employment and other strategy.
Chapter 4: RMB Exchange Rate Reasonability Evaluation: Judgment Standard and Model Selection. This chapter considers the applicability of each primary model under purchasing power parity, general equilibrium and internal & external equilibrium standard from theoretic shortage, empirical test and national situation, and then deducts the integral equilibrium standard from the internal and external equilibrium standard.
Chapter 5: Empirical Analysis of RMB Exchange Rate Reasonability Evaluation: Based on ERER Model. The existing domestic empirical researches with ERER model have great difference on the variable selection and empirical conclusion, thus this chapter measures the RMB equilibrium exchange rate again strictly according to the revised ERER model by Elbadawi. The empirical analysis shows: in the theory, the internal and external equilibrium exchange rate can be used as the long and middle-term judgment standard of RMB exchange rate reasonability well and the ERER model also provides a favorable and detailed measurement model, while in the empirical analysis, the result is not favorable due to the double favorable balances of our international balance of payment, and the particular factors of China economy running such as saving and investment gap and double favorable balances of international balance of payment shall be reconsidered.
Chapter 6: Empirical Analysis of RMB Exchange Rate Reasonability Evaluation: Based on BEER Model. This chapter makes use of the feature of BEER model with powerful applicability and attempts to include the particular factors of China economy running into the model to measure the integral equilibrium exchange rate of RMB based on the improvement suggestion for the independent variables put forward in chapter 5. The empirical analysis shows what the BEER model measures is the integral equilibrium exchange rate, which is suitable to be used as the short-term judgment standard of RMB exchange rate reasonability, and the empirical result is also more reasonable.
Chapter 7: Theoretic Analysis of Maladjustment Source of RMB Exchange Rate. This chapter makes the theoretic analysis for the source of RMB exchange non-reasonability from the internal, external, long-term and short-term aspect. The analysis result indicates: the singly pegging to USD is the external source of RMB maladjustment in both long-term and short-term; while the dynamic disagreement between the saving and investment gap and double favorable balances of international balance of payment is the short-term internal source of RMB maladjustment, and the economic growing style depending on the external is the long-term internal source of maladjustment.
Chapter 8: Adjustment Strategy for RMB Exchange Rate to Regress to Reasonability. This chapter analyzes the feasibility of adjustment under different exchange rate regimes with the strategy to keep the integral equilibrium exchange rate of RMB in short term; while the RMB exchange shall realize the internal and external equilibrium exchange rate finally, therefore this chapter brings forward the comprehensive long and middle-term adjustment strategy of "accelerating the change of economic growing style and realizing the RMB internationalization gradually" in the end.
具体到人民币汇率合理性问题。首先,它属于发展中国家均衡汇率问题,但目前国际金融理论界对均衡汇率水平测算,本身就存在较大的认识和方法分歧,对发展中国家均衡汇率理论的研究则更是鲜有共识;其次,人民币汇率又属发展中国家特例,其名义汇率“长期稳定”伴随着经济总量快速跻身世界经济体前列,其实际汇率长期偏离均衡状况伴随着宏观经济保持持续增长,这些特殊现象都明显有悖于常理。所以,研究人民币汇率合理性问题具有重大的应用价值。事实上,长期以来人民币汇率合理性问题也一直备受争议,特别是2003年以来的国际舆论压力、2008年末国内经济增长和就业稳定的双重压力,使得人民币汇率合理性问题不仅是国际关注的焦点、热点问题,而且还是摆在我国宏观调控部门面前的疑点、难点问题。因此,研究这一问题,对于深化人民币汇率改革、促进我国国民经济可持续发展,具有重要的理论指导意义和参考价值。
为此,本文在总结回顾人民币汇率变动历史轨迹的基础上,运用相关理论并结合自身多年货币当局工作经验,从人民币汇率研究对象的合理选择、汇率合理性的判定标准、汇率合理水平测算和汇率不合理根源等方面进行深入研究分析,并在此基础上提出了整体均衡汇率标准、长短期目标结合的人民币汇率调整策略。全文共分八个部分:
第一部分导论。该部分首先阐明了人民币汇率合理性问题研究的背景与意义,再就国内外现有相关研究成果及现状进行综述,然后介绍本文的基本框架与研究方法,最后就本文研究的创新与不足之处进行简要阐述。
第二部分汇率水平合理性评估的理论基础。该部分首先通过甄别汇率的不同种类,从而确定了以实际有效汇率作为评估汇率水平的合理对象;然后,通过对汇率决定理论发展脉络和内在逻辑进行梳理,从中提炼出不同阶段汇率理论对汇率水平合理性的判定标准,并就各个阶段理论的合理汇率水平测算方法(模型)进行了逐一介绍;最后,以汇率政策理论为基础,从汇率水平调整、制度选择以及政策搭配等三个方面,就如何调整汇率回归到合理水平进行了综合阐述。
第三部分人民币汇率合理性之辨。该部分首先总结回顾人民币汇率变动的历史轨迹。然后分别从历史、原理以及政策的角度,列举了1994年以来人民币汇率合理性问题国内外历次争论的焦点所在,提出了人民币汇率“稳定”有悖常理的两大谜团,分析了人民币汇率政策与货币、利率、就业等其他政策搭配上的潜在冲突。
第四部分人民币汇率合理性评估:判定标准与模型选择。该部分从理论评价、实证检验和我国国情三个方面出发,综合考量了历史上代表性的购买力平价、一般均衡和内外均衡标准下各主要模型对人民币均衡汇率测算的适用性,最后结合我国国情特点,从内外均衡标准中演绎出整体均衡标准。
第五部分人民币汇率水平中长期合理性评估实证分析:基于ERER模型。由于国内现有利用ERER模型的实证,在变量选择和实证结论上都存在较大差异。因此,这一部分严格按照Elbadawi的ERER修正模型原旨,对人民币均衡汇率进行了重新测算。通过实证分析发现:理论上,内外均衡汇率能够较好地作为我国人民币汇率合理性的中长期判定标准,ERER模型也为此提供了一个良好的具体的测算模型;但实证上,由于我国的国际收支多年呈现“双顺差”格局的关系,因而结果并不很理想。
第六部分人民币汇率水平短期合理性评估实证分析:基于BEER模型。鉴于第五部分实证分析的结果昭示我们有必要重新考虑储蓄-投资缺口、国际收支双顺差等我国经济运行特征因素。因此,本部分利用BEER模型适用性强的特点,尝试将我国经济运行特征因素纳入到模型中,对人民币整体均衡汇率进行测算。实证分析显示,BEER模型所测算出的整体均衡汇率,适合作为人民币汇率合理性短期判定标准,而且实证结果也相对更为合理。
第七部分人民币汇率失调根源的理论分析。这一部分从内、外部和长、短期等四个方面,就导致人民币汇率不合理的根源进行了理论分析。分析认为,无论从长期还是短期看,人民币单一钉住美元都是造成人民币失调的外部根源;而储蓄-投资缺口与国际收支双顺差动态不一致是人民币汇率失调的短期内部根源,依赖外部的经济增长方式则是失调的内部长期根源。
第八部分人民币汇率回归合理的调整策略。该部分以人民币汇率短期内保持整体均衡汇率为策略,就基于不同汇率制度下调整的可行性一一进行了分析;但人民币汇率最终还是应以实现内外均衡汇率目标,因而,该部分在最后提出了“加快转变经济增长方式、逐步实现人民币国际化”的内外兼治的中长期调整策略。
The reasonability problem of exchange rate is the archaic source problem of exchange rate theory as well as the new front-line problem. The exchange rate is initially generated due to the demand of international settlement, and the reasonability problem is triggered immediately upon its generation, i.e. how much shall the exchange rate be? This problem has been the source and core of exchange rate-determining theory research. Till today with highly advanced international finance, the reasonability problem also changes to the new and frontline derived product pricing problem when the exchange rate reappears as the financial derived product, and then the non-reasonability of exchange rate not only will leads to the trade friction and international imbalance, but also may result into large-scale speculation and arbitrage actions and international financial crisis. Therefore, the exchange rate reasonability problem research always has high theoretic research value.
In terms of the exchange rate reasonability problem of RMB, firstly, it falls into the equilibrium exchange rate problem of developing countries, while the current exchange rate theory has great acknowledging and method difference for the equilibrium exchange rate measurement, and the referable research fruits is ever less when extending to the developing countries; furthermore, the RMB exchange rate is the particular example of developing countries, and there are some particular phenomena such as the coexistence of long-term stability of nominal exchange rate and gross economy speedy growing and entering into the top group of world economy and the coexistence of real exchange rate long-term departure from the equilibrium and the sustainable macroeconomic growing rather than the crisis. Therefore, there is great theoretic application value to research this problem. In addition, the RMB exchange rate reasonability is always disputed from a long time, especially the international consensus pressure since 2003 and the double pressure of domestic economic growing and employment stability at the end of 2008 make the RMB exchange rate reasonability problem not only the internationally focused focal and hot problem, but also the doubtful and difficult problem before the macroeconomic control authorities of China. Therefore, it has important theoretic instruction significance and reference value for the deepening of RMB exchange rate reforming and facilitating the health and sustainable development of our market economy to research this problem.
In this case, this thesis makes use of relevant theory and my financial career experience, implements the deep research and analysis from the judgment standard and reasonable level measurement of RMB exchange rate reasonability and the source of exchange rate non-reasonability based on the summary and review of historic change track of RMB exchange rate, and then brings forward the integral equilibrium exchange rate standard and the adjustment strategy of combining the long-term and short-term objective. The whole thesis is consisted of 8 chapters:
Chapter 1: Introduction. This chapter clarifies the background and significance of RMB exchange rate reasonability problem research, summarizes the existing domestic and foreign research fruits and condition about the exchange rate reasonability problem, introduces the basic framework and research method of this thesis, and then makes the brief self-evaluation for the innovation and shortage of the research.
Chapter 2: Theoretic Base of Exchange Rate Reasonability Evaluation. This chapter confirms to use the real effective exchange rate as the reasonable object for exchange rate evaluation by distinguishing different kinds of exchange rates, then abstracts the exchange rate reasonability judgment standard of exchange rate theory in different stages by coordinating the developing venation and internal logic of exchange rate determination theory and introduces the reasonable exchange rate measurement methods (models) of exchange rate theory in each stage one by one, and finally makes the comprehensive expression about how to adjust the exchange rate to the reasonable level from exchange rate adjustment, system selection and policy arrangement based on the exchange rate strategy theory.
Chapter 3: Argument of RMB Exchange Rate Reasonability. This chapter summarizes and reviews the historic track of RMB exchange rate change, and then enumerates the bone of each domestic and foreign contention about the RMB exchange rate reasonability ever since 1994, brings forward 2 paradoxes of RMB exchange rate stability and analyzes the potential conflict of RMB exchange rate policy matching with monetary, interest and employment and other strategy.
Chapter 4: RMB Exchange Rate Reasonability Evaluation: Judgment Standard and Model Selection. This chapter considers the applicability of each primary model under purchasing power parity, general equilibrium and internal & external equilibrium standard from theoretic shortage, empirical test and national situation, and then deducts the integral equilibrium standard from the internal and external equilibrium standard.
Chapter 5: Empirical Analysis of RMB Exchange Rate Reasonability Evaluation: Based on ERER Model. The existing domestic empirical researches with ERER model have great difference on the variable selection and empirical conclusion, thus this chapter measures the RMB equilibrium exchange rate again strictly according to the revised ERER model by Elbadawi. The empirical analysis shows: in the theory, the internal and external equilibrium exchange rate can be used as the long and middle-term judgment standard of RMB exchange rate reasonability well and the ERER model also provides a favorable and detailed measurement model, while in the empirical analysis, the result is not favorable due to the double favorable balances of our international balance of payment, and the particular factors of China economy running such as saving and investment gap and double favorable balances of international balance of payment shall be reconsidered.
Chapter 6: Empirical Analysis of RMB Exchange Rate Reasonability Evaluation: Based on BEER Model. This chapter makes use of the feature of BEER model with powerful applicability and attempts to include the particular factors of China economy running into the model to measure the integral equilibrium exchange rate of RMB based on the improvement suggestion for the independent variables put forward in chapter 5. The empirical analysis shows what the BEER model measures is the integral equilibrium exchange rate, which is suitable to be used as the short-term judgment standard of RMB exchange rate reasonability, and the empirical result is also more reasonable.
Chapter 7: Theoretic Analysis of Maladjustment Source of RMB Exchange Rate. This chapter makes the theoretic analysis for the source of RMB exchange non-reasonability from the internal, external, long-term and short-term aspect. The analysis result indicates: the singly pegging to USD is the external source of RMB maladjustment in both long-term and short-term; while the dynamic disagreement between the saving and investment gap and double favorable balances of international balance of payment is the short-term internal source of RMB maladjustment, and the economic growing style depending on the external is the long-term internal source of maladjustment.
Chapter 8: Adjustment Strategy for RMB Exchange Rate to Regress to Reasonability. This chapter analyzes the feasibility of adjustment under different exchange rate regimes with the strategy to keep the integral equilibrium exchange rate of RMB in short term; while the RMB exchange shall realize the internal and external equilibrium exchange rate finally, therefore this chapter brings forward the comprehensive long and middle-term adjustment strategy of "accelerating the change of economic growing style and realizing the RMB internationalization gradually" in the end.
引文
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[2]完全穿透,即名义汇率的任何波动都直接反映到本国产品在国外的价格上。
[3]后PTM模型(Betts,Caroline和Michal B.Devereux 1998)对REDUX模型中的定价规则做了进一步的改进,从而得出了“长期而言货币中性,超调的汇率会逐渐向长期均衡值靠拢”的修正结论。
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