摘要
汇率制度关乎一个国家内外经济的均衡,对一国长期经济发展具有重要作用。然而,“没有任何一种汇率制度对所有国家或任何时期都是适当的,汇率制度仅是增进社会经济福利的一种手段”①。东南亚金融危机后,埃里克钦总结认为,“在亚洲,任何问题最后都归结到汇率制度”②。现实生活中,随着中国经济的快速发展,人民币汇率及其制度作为国际经济往来中的“公共品”日益受到世人的广泛关注。正是基于这样的认识,本文选择汇率制度的福利分析作为研究主题。
汇率制度内含四方面的内容:确定合理汇率水平的依据;汇率波动范围;维持汇率水平的措施;必要时对汇率的调整措施、手段和途径。根据汇率制度的内容构成,研究汇率制度的福利问题不能停留于对汇率制度所包含的法令、规章层面的考察,而必须深入汇率制度的核心——汇率水平及其波动范围的确定——展开分析。因此,对汇率制度的福利分析内含汇率制度的福利比较、汇率波动及其传递的福利效应和汇率制度变革的福利评估等基本内容。全文将这些内容分解在六章中予以阐释。
第一章概要介绍了选题缘由和研究价值,勾勒了文章的主要脉络和研究框架。
第二章为理论归结部分。从汇率制度选择理论、新开放经济宏观经济学、应用福利经济学等三个方面梳理了汇率制度福利论的理论基础。论文提出,在理论基础方面,汇率制度选择的成本收益说、经济绩效决定论、经济冲击决定论都内含一定的汇率制度的福利思想。在方法论基础方面,严格的汇率制度福利分析是建立在新开放经济宏观经济学的跨时均衡分析基础上的,因此新开放经济宏观经济学的研究框架构成汇率制度福利分析的基本研究范式。而应用福利经济学关于福利范畴、福利标准、福利度量的讨论给汇率制度的福利分析提供了福利经济学基础。
在第三章汇率制度的福利比较中,论文按照“一条主线、两个视角”的脉络展开论述。一条主线是经济环境中是否存在名义价格粘性,两个视角分别是基于消费者效用最大化的福利分析视角和基于政府损失最小化的福利分析视角。根据所考虑的经济环境是否存在名义价格粘性,论文将汇率制度的福利比较模型研究划分为两个阶段:一是不考虑任何种类的名义价格粘性的传统开放宏观经济学视角下的汇率制度福利分析;一是新开放经济宏观经济学视角下的汇率制度福利分析。在汇率制度的福利分析模型中,基于消费者效用最大化的福利比较是汇率制度福利分析的基本视角。在开展福利比较时,既要考虑消费方差对福利的影响,也要分析消费的平均水平(均值)的作用。论文将Michael B. Devereux和Charles Engel(1998)建立的浮动汇率制度下的生产者定价模型(PCP)、市场定价模型(PTM)和固定汇率制度模型(FER)的福利比较作为基准模型。这一模型的基本结论是汇率制度显著取决于定价行为,当价格以消费者所在国家的货币定价时,浮动汇率制度下的国内消费方差不受外国货币方差的影响,但是若以生产者所在国家的货币定价,或固定汇率制度,则存在着外部扰动的传递。模型的一个重要特征是汇率制度不仅影响消费和产出的方差也影响其平均水平。当价格以生产者所在国家的货币定价时,从传统框架来看,固定汇率与浮动汇率制度存在相互抵消。浮动汇率制下的汇率调整,消费方差较小,但汇率波动本身导致一个较低的消费水平。当价格以消费者所在国家的货币确定时,浮动汇率制度总是优于固定汇率制度。在此模型基础上,逐一考虑国际化生产、资本不完全流动、生产函数中加入资本要素、资产负债表效应、市场不完全、内生价格弹性等方面的影响,从而使得模型更符合现实,多角度考察了汇率制度的福利问题。
第四、五章在对汇率波动的福利含义和汇率传递影响福利效应的机制进行理论梳理基础上,应用路径分析方法就人民币汇率对经济冲击的价格传递路径和福利效应开展模拟分析。实证研究发现,人民币汇率通过响应于经济冲击进而传递给生产者和消费者,给生产者和消费者带来并不微小的福利影响,同时发现人民币汇率对需求冲击的传递效应略大于对供给冲击的传递效应。这一经验结论的政策含义是:确保国内需求持续稳定增长、确保一个温和的物价水平是降低汇率波动通过价格传递机制产生福利损失的重要保证。论文应用GARCH方法测度了人民币实际有效汇率的波动状况,并在此基础上应用典型相关分析法探讨人民币实际有效汇率波动对居民福利的影响。研究发现,汇率波动会通过影响居民的消费和货币余额而产生一定的福利成本。同时,我们分析了货币传导中利率与汇率的联动效应问题。结论表明,我国货币政策的需求传导中主要存在着利率向汇率的单向传导,利率与汇率的联动效应较弱,汇率变动通过利率渠道影响国民福利的效应不明显。
最后,第六章对改革开放以来人民币汇率制度变革开展了基于福利评估的历史批判。研究发现,人民币汇率双轨制具有十分微弱的福利收益,而人民币单一钉住美元的固定汇率制造成实际汇率长期失调在一定程度上降低了消费者的福利水平。近年来,人民币汇率的一个突出现象就是人民币对美元的不断升值。为此,本文通过省际面板数据检验了人民币升值的巴拉萨—萨缪尔森效应。研究发现,从全国来看,人民币升值与生产率提升、经济发展的关系并不明显,但从部分省区市来看,人民币升值具有内在的经济技术基础。人民币升值通过对区域经济的差异化影响进而可能通过产业转移和产业结构调整产生福利分配效应。人民币升值在产业转移和产业结构调整方面的福利含义是,人民币升值推进产业结构的区域平衡,即各地产业发展与其要素禀赋优势相一致,这既是资源配置的优化又是区域布局均衡而形成的公平提升,这本身意味着福利的改进;同时,人民币升值改变了贸易品部门和非贸易品部门的相对价格,价格扭曲的情况会发生改变,内需得到刺激,进口资源体现相对合理价值,这些都将改进资源分配效率,使得出口导向政策时期长期受到抑制的非贸易品部门的生产力得到释放,增进国民的福利水平;最后,人民币渐进升值,在一定程度上规避可能出现的过度产业外移和产业空心化,可以避免经济波动造成的福利成本。
本文可能的创新点在于:
第一,研究视角创新。汇率制度是国际金融理论和开放经济实践中的重要课题。随着新开放经济宏观经济学的发展,国内外开始重视汇率制度的福利分析。较其他各视角研究汇率制度,“福利论”直接触及到增进人民福利这一经济制度、经济发展的终极目标。为此,我们认为,研究汇率制度必须重视从福利视角开展分析。
第二,理论框架构建的尝试。本文着力尝试在理论上系统归结汇率制度福利分析的研究成果。提出了构建汇率制度的三个理论基础,分析了汇率制度福利分析的两个研究视角,勾勒了汇率制度福利分析的一个研究格局。在理论架构上,本文尝试以汇率制度的福利范畴统领汇率制度的福利分析,初步形成了汇率制度的福利比较、汇率波动的福利含义、汇率传递的福利效应、汇率制度变革的福利评估这样一个较为完整的研究体系。
第三,实证方法创新。在实证研究方面,我们尝试应用路径分析方法对人民币汇率响应经济冲击的价格传递机制和福利效应开展了模型分析,得出了相应的政策含义。其方法应用具有一定的创新精神。另外,我们本着历史批判的原则,对改革开放以来的人民币汇率制度变革有选择性地开展了福利评估,尽管结论不一定稳健,甚至还可能存在谬误,但体现了敢于探索的精神。因为在我们看来,在践行以人为本的科学发展观过程中,对制度变革的福利评估应获得更多的关注。
第四,政策分析的尝试。从人民币升值与产业转移、结构升级和区域产业布局调整角度分析了坚持人民币渐进升值的福利价值。人民币渐进升值通过区域差异化影响引导劳动密集型产业向内地转移,刺激沿海地区发展资本技术密集型产业,促进产业升级和产业区域布局优化,这有利于在长期中增进国民福利。
第五,观点创新。提出从福利视角评估汇率制度与科学发展观具有一致性的观点。福利视角下的汇率制度变革要求我们根据以人为本,全面协调可持续的科学发展观的指导思想开展人民币汇率形成机制改革。坚持科学发展观在汇率形成机制改革的指导地位,就是要充分考虑汇率安排对国民福利的影响,要做到国内国外相协调,统筹各方利益,要坚持主动、可控、渐进的原则,确保汇率制度的持续性,避免人民币汇率的大起大落。
第六,数值整理创新。在分析人民币汇率双轨制的福利效应时,数据选取和整理受到挑战。为此,我们使用三次样条插值法从一些季度数据中获得月度数据,这在一定程度上解决了实证研究数据样本较小的问题。
需要指出的是,汇率制度的福利分析是一个较为前沿的课题。目前尚未一个统一的理论框架,实证方面的研究也很难得出一致的结论。因此,本文的理论归结及框架构建仅仅是一种尝试。可能存在诸多不足,也可能欠缺理论的通透性。实证方面,人民币汇率制度改革的福利评估还缺乏严格的计量分析。如何利用近年来发展起来的先进方法如网格搜索法对人民币汇率制度的福利开展定量评估是进一步的深入研究亟待解决的课题。
The exchange rate regime of a country plays an important part in its long-term economic development, balancing its domestic and foreign trade. However,“no single currency regime is right for all countries or at all times, which is only a means to enhance the social economic welfare.”After the southeastern financial crisis, Eichengreen concluded that“all kinds of problems in Asia come down to the exchange rate regime”. In real life, the RMB exchange rate and its regime are getting more and more attention as a“public goods”in international trades with the rapid development of China’s economy. In light of this knowledge, this thesis conducts an analysis of welfare in the exchange rate regime as the theme of research and seeks for a type of transparent exchange rate regime welfare theoretically. This kind of“welfare analysis of exchange rate regime”means a theory of assessment and choice of the exchange rate system in the perspective of welfare.
Chapter two states the relevant theories, analyzing the theoretical basis of the exchange rate regime welfare in terms of the choice theory of exchange rate system, the new open economy macroeconomics and applied welfare economics. The thesis proposes that, in terms of theoretical basis, the cost-benefit theory, economic performance determinism and economic impact determinism chosen by the exchange rate system all bear some welfare thought of exchange rate system. In terms of methodological basis, a strict analysis of welfare in the exchange rate regime is conducted on the basis of an intertemporal approach of the new open economy macroeconomics, thus the research framework of which constitutes the fundamental research paradigm of the welfare analysis of exchange rate regime. On the basis of the aforementioned theories, this thesis begins with the analysis of the categories of exchange rate regime, and then discusses the welfare comparison of exchange rate regime, the meaning of welfare under the fluctuating exchange rate, the welfare effect of exchange rate pass-through and the welfare assessment of reform of the exchange rate regime.
In the comparison between welfare of exchange rate regime in chapter three, the paper develops exposition according to the thread of thought of "one mainline, two visual angles". One mainline is that nominal price stickiness whether exists in economic environment. The two visual angles are the welfare analysis visual angles based on consumer utility maximization and government loss minimization. The study of welfare comparison model of exchange rate regime can be divided in two phases in accordance with the economic environment considered whether exists nominal price stickiness: the first is welfare analysis of exchange rate regime under traditionally open economy macroeconomics visual angle without considering the nominal price stickiness in any kind; the second is welfare analysis of exchange rate regime under new open economy macroeconomics visual angle. In the welfare analysis model of exchange rate regime, the welfare comparison based on consumer utility maximization is the basic visual angle of welfare analysis of exchange rate regime. When developing welfare comparison, not only the influence of consumption variance on welfare is considered, but also the effect of average level (mean) of consumer is analyzed. The paper will make the welfare comparison of PCP, PTM under the floating exchange rate system and FER established by Michael B. Devereux and Charles Engel as benchmark model. The basic conclusion of this model is that the exchange rate system evidently depends on price behavior. When the price is fixed as the currency of the consumer’s country, the internal consumption variance under the floating exchange rate system is free of the influence of foreign currency variance. However, if the price is fixed as the currency of the producer’s country or fixed exchange rate, there exists transfer of external perturbation. One of important feature of model is that the exchange rate regime influences not only the variance of consumption and output but also its average level.
When the price is to be determined in light of the currency of the country where producers are located, the fixed exchange rate and floating exchange rate systems are counteracting with each other. The adjustments of exchange rate under the floating exchange rate regime lead to a relatively small consumption variance, but the floating of exchange rate itself will lead to a relatively low consumption level. When the price is to be determined in light of the currency of the country where consumers are living, the floating exchange rate regime always takes the advantageous place. On the basis of this model, this paper examines the problems of welfare of the exchange rate regime from various aspects by taking into consideration the effects from internationalized production, not totally free flow of capital, addition of capital elements into production functions, balance-sheet effect, an incomplete market, endogenous price elasticity and other elements that make the model more realistic.
On the basis of a theoretical analysis of the meaning of welfare under the fluctuating exchange rate and the mechanism of welfare effect influenced by exchange rate pass-through, chapter four and chapter five conduct a simulated analysis of the path of exchange rate pass-through and welfare effect under economic impact from the RMB exchange rate by means of path analysis. Empirical research has found that RMB exchange rate, by responding to the economic impact, has turned to the producers and consumers and thus brought considerable welfare impact on them, and meanwhile, it has found that the RMB exchange rate has slightly greater impact on demand than on supply. The policy meaning from these findings is that maintaining a continuing and stable growth of domestic demand and keeping the price at a moderate level are important guarantees to reduce the welfare losses by the floating of exchange rate through price transfer mechanism.
Finally, Chapter Six makes a historical judgment based on the welfare evaluation of the RMB exchange rate system transformation since the Opening-up and the Reform. It is found that the double-track system of RMB exchange rate may bring minor welfare interests, but the fixed exchange rate system of RMB related to dollars has resulted in the long-term maladjustment of the actual exchange rate, which has to some extent reduced the welfare level of consumers.
The possible innovative points of this thesis are as follows.
The first is the innovative research angle. The exchange rate regime is an important subject in the international financial theories and the open economic practices. Traditionally, the studies on the exchange rate regimes both at home and abroad seldom involve the welfare analysis of the exchange rate regime. Compared with other angles to study the exchange rate system, the“Welfare Theory”directly touches the people’s welfare, which is the ultimate goal of the economic system and the economic development. Therefore, we consider that the analysis of the exchange rate regime from the angle of welfare should be paid much attention to.
The second is a try on the construction of the theoretical frame. This thesis mainly tries to systematically summarize in theory the welfare analysis of the exchange rate regime. It proposes three theoretical foundations of the construction of the exchange rate regime, analyzes the two research angles of the welfare analysis of the exchange rate regime, and outlines the structure of the welfare analysis of the exchange rate regime. In respect of the theoretical framework, this thesis makes welfare analysis under the welfare category of the exchange rate system, and forms a relatively complete research system, including the welfare comparison of the exchange rate regimes, the welfare meaning of the exchange rate floatation, the welfare effect made by the exchange rate and the welfare evaluation of the exchange rate transformation.
ⅢThe innovation of positive method. In the aspect of positive study we try to use the route analysis to carry out the model analysis of the mechanism of price pass-through and welfare effect which the RMB exchange rate responds to economic shock and have gained the corresponding policy implications. And its application of methods is of the spirit of innovation to some extent. In addition, based on the principle of historical criticism we carry out the welfare evaluation selectively on reformation of the RMB exchange rate regime since the opening up to the outside world. The conclusion is not surely well-founded or even maybe fallacious, but it has embodied the spirit of venturing on exploration. In our opinion, more attention should be paid to the welfare evaluation on system reformation in the process of implementation of human-oriented the scientific development view.
ⅣThe innovation of numerical finishing. We face challenges in the selection and finishing of data when analyzing the welfare effect of dual-track system in RMB exchange rate. Therefore we obtain the monthly data from the quarterly data by using the spline interpolation method, which, to some extent, has solved the problem that the data for positive study is minor
It must be pointed out that the welfare analysis of the exchange rate is a forward subject. There is no uniform theoretical framework at present and so it is very hard to get a consistent conclusion in the aspect of positive study. Therefore, the theoretical resolution and the establishment of framework in this paper is just a try, in which the deficiency, especially the permeability of theory is self-evident. The strict quantitative analysis is short in the welfare evaluation of the reformation of RMB exchange rate regime in the aspect of positive study. How to make use of the advanced methods developed in recent years such as the grid-search method to carry out the quantitative assessment on the welfare of the RMB exchange rate system is the subject to be solved for further perfection in the next step.
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