摘要
1949年1月18日人民币汇率诞生至今,人民币汇率形成机制经历了近60年跌宕起伏的历程。其间,官方与学术界,逐步认识到均衡汇率在汇率形成过程中的基础性作用。特别是我国处于经济转型期,存在大量影响汇率偏离经济基本面的因素。随着人民币形成机制推出市场化改革,一些深层次的矛盾逐渐暴露与尖锐化,需要从理论与技术方面提供识别人民币汇率合理化的方法与工具。因此,如何基于我国经济基本面估算人民币均衡汇率水平,是一个重要而紧迫的研究课题。就这个问题我们承担了两个国家统计局重点课题: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(2007Z015),本文是这一组研究项目的阶段性成果。
开展均衡汇率估算研究的意义表现为两方面:其一,可以为我国提供一个从理论与技术方面识别人民币汇率合理化的方法与工具,进而推进人民币汇率形成机制市场化的改革进程。其二,通过深入系统梳理汇率决定理论,为人民币均衡汇率估算构建较严密的理论逻辑;基于估算研究实践,提出并解决统计、计量工具在汇率问题研究中应用的方法论问题;推进统计学与金融学的交叉研究。
本文的研究遵循了从理论到实证、从整体到局部的研究范式。借助“黑箱”简化复杂系统的方法,并采用多种数据信息处理技术开展研究。首先基于对均衡汇率理论的梳理,形成了人民币均衡汇率决定的理论基础,并建立了行为均衡汇率理论的逻辑分析框架。其次,按照理论逻辑确定了人民币均衡汇率决定的要素,采用国际货币基金组织的数据,对人民币实际汇率和决定要素进行了统计研究;开展了人民币均衡汇率估算与分析。最后,依据估算结论的经济检验,对行为均衡汇率估算模型及方法进行了改进与扩展研究,得到了一些重要的人民币汇率合理性分析的方法及政策空间。
本文设为6章,研究内容及结构安排如下:
第1章,导论。提出研究背景和意义;对均衡汇率估算相关文献综述;提出基本研究框架。
第2章,人民币汇率决定的基础理论研究。对汇率决定理论系统梳理,提出了购买力平价理论、巴拉撒—萨缪尔森模型和均衡汇率理论这一发展主线。参考萨诺和泰勒(Sarno,Taylor,2003)的研究,从购买力平价和利率平价入手,选定动态化的蒙代尔—弗莱明模型及货币分析模型作为识别人民币汇率决定因素的理论基础。
第3章,行为均衡汇率理论研究。基于一般经济均衡下的汇率决定理论,在国内首次对行为均衡汇率理论作出系统分析,包括行为均衡汇率理论的形成、理论逻辑、估算框架等,建立了行为均衡汇率理论的逻辑分析框架。为基于行为均衡汇率的人民币均衡汇率估算,奠定了坚实的理论基础。
第4章,人民币均衡汇率模型的数据定义与统计分析。按行为均衡汇率的理论逻辑,确定了人民币均衡汇率决定的经济要素,采用国际货币基金组织的数据,对人民币实际汇率和决定要素进行了统计分析。
第5章,人民币均衡汇率水平估计研究。依据行为均衡汇率理论框架和人民币实际汇率及决定要素的统计分析结论,对人民币均衡汇率水平进行估算,研究人民币均衡汇率及其决定因素之间的长期关系,探求人民币均衡汇率的决定机制。同时估算人民币实际有效汇率和名义有效汇率的失调程度。
第6章,人民币均衡汇率估算方法的扩展与检验。对人民币均衡汇率估算结果进行经济检验,并据此对行为均衡汇率估算模型及方法,开展了改进与扩展研究。包括估算模型变量数据调整试验与效应研究、估算模型变量数据信息处理方式的变化及效果评价研究、长短期因素分离对汇率决定的影响研究、基于VAR的脉冲响应函数与方差分解的经验分析研究等,得到了一些重要的开展人民币汇率合理性分析的方法及政策空间。
本文从在以下4方面开展了创新工作:
第一,本文从估算视角对汇率决定理论进行系统梳理,提出了购买力平价理论、巴拉撒—萨缪尔森模型和均衡汇率理论这一发展主线。得到了行为均衡汇率理论较适应我国转型经济均衡汇率估算研究的结论。
第二,提出了行为均衡汇率的理论逻辑。揭示了行为均衡汇率的设计思路,为人民币均衡汇率的经验分析建立了比较严密的逻辑分析框架。
第三,采用国际货币基金组织的数据,对人民币均衡汇率进行估算研究。使研究成果具有国际可比性。
第四,基于对经典行为均衡汇率模型的适用性的评价,通过多种数据信息处理技术,对估算模型进行扩展研究,得到相应的政策空间。
The RMB exchange rate formation mechanism has undergone a colorful and dramatic course of nearly 60 years ever since the birth of RMB exchange rate on January 18, 1949. The Chinese Government and academics have come to realize the fundamental role played by equilibrium exchange rate in the formation of RMB exchange rate. Particularly there do exist a variety of factors causing the deviation of exchange rate from economic fundamentals in the current economic transformation period of China. With the market-oriented reform put forward by the RMB exchange rate formation mechanism, some in-depth conflicts have gradually turned up and sharp, demanding theoretical and technical methods and tools to identify the rationalization of RMB exchange rate. Therefore it is essential and pressing to estimate RMB equilibrium exchange rate levels based on economic fundamentals of China, and so we have undertook two key projects of the State Bureau of Statistics: Statistic Research of RMB Exchange Rate Determination (2006B26) and Statistic Research of RMB Exchange Rate Variance Effects over Economic Operation (2007Z015). This essay is part of the research result of the projects combined.
The interest to conduct equilibrium exchange rate estimation lies in two parts. On the one hand, it will provide methods and tools from the perspective of theory and technique to identify RMB exchange rate rationalization, and further the market-oriented reform of RMB exchange rate formation mechanism. On the other hand, by means of combing out exchange rate determination theories, it will construct theoretic logics for RMB exchange rate estimation, bring forward, and resolve, the methodology of statistic and measuring tools’application in exchange rate research, and promote cross research of statistics and finance.
This research follows the paradigm of theoretical to empirical and whole to part. It adopts Black Box Testing and uses multiple date/information processing technologies to do the research. Firstly, based on combing out equilibrium exchange rate theories, it builds the theoretic foundation for RMB equilibrium exchange rate determination, and constructs the logic analysis framework for behavioral equilibrium exchange rate theories. Secondly, it identifies the factors for RMB equilibrium exchange rate determination on the basis of theoretic logics, and carries out statistic research into RMB real exchange rate and determining factors on the basis of IMF data, and conducts RMB equilibrium exchange rate estimation and analysis. Finally, it has improvement and expansive research into behavioral equilibrium exchange rate estimation model and methods, and finds out some key methods and policymaking room for rationalization analysis of RMB exchange rate.
The essay is divided into 6 chapters, contents and structural arrangements as follows:
Chapter 1 Introduction. Research background and interests. Summary of essays related to equilibrium exchange rate estimation. Basic research framework.
Chapter 2 Research of basic theories concerning RMB exchange rate determination. Comb out exchange rate determination theories and bring out a development line of purchasing power parity - Balassa-Samuelson model - equilibrium exchange rate. With reference to researches made by Sarno and Taylor (2003), start by purchasing power parity and interest parity to select the dynamic Mundell-Flemming Model and monetary analysis models as the theoretic foundation to identify determining factors for RMB exchange rate.
Chapter 3 Research of behavioral equilibrium exchange rate theory. Based on exchange rate determination theories in typical economic equilibrium, it is the first time in China to conduct a systemic analysis of behavioral equilibrium exchange rate theory, including its formation, theoretic logics, and estimation framework, etc, and establish a logic analysis framework for behavioral equilibrium exchange rate theory.
Chapter 4 Data definition and statistic analysis for RMB equilibrium exchange rate. Identify economic factors for RMB equilibrium exchange rate determination on the basis of theoretic logics for behavioral equilibrium exchange rate. Adopt IMF data to conduct statistic analysis of RMB real exchange rate and determining factors.
Chapter 5 Estimation of RMB equilibrium exchange rate levels. Based on the theoretic framework of behavioral equilibrium exchange rate and the statistic analysis conclusion of RMB real exchange rate and determining factors, estimate RMB equilibrium exchange rate levels, look into their long term relations with the determining factors, and explore the determination mechanism for RMB equilibrium exchange rate, meanwhile estimate the deregulation degrees of RMB real and nominal effective exchange rates.
Chapter 6 Expansion and testing of RMB equilibrium exchange rate estimation method. Conduct economic tests on RMB equilibrium exchange rate estimation results, and based on that carry out improvement and expansive research on behavioral equilibrium exchange rate estimation model and methods. By means of researches on variables regulation tests of estimation model and its effects, change of variable data/information processing technique of estimation model and effects evaluation, effects of division of long-termed and short-termed factors over exchange rate determination, experience analysis based on impulse-response function and variance decomposition, etc., and explore some key methods and policymaking room to conduct rationalization analysis of RMB exchange rate.
Innovative efforts have been made in the following 4 aspects:
1. From the perspective of estimation to comb out exchange rate determination theories, bring out a development line of purchasing power parity - Balassa-Samuelson model - equilibrium exchange rate, and conclude that the behavioral equilibrium exchange rate theory is quite fit for equilibrium exchange rate estimation in China as transformation economy;
2. Bring out theoretic logics behind the behavioral equilibrium exchange rate. Discover the reasoning for behavioral equilibrium exchange rate, and establish a strict logic analysis framework for experience analysis of RMB equilibrium exchange rate;
3. Adopt IMF data to conduct RMB equilibrium exchange rate estimation for international comparison; and
4. Carry out expansive research on the estimation model by means of multiple data/ information processing techniques on the basis of adaptability evaluation of classic equilibrium exchange rate models, and explore according policymaking room.
引文
1肖红叶.中国经济增长与政策选择.北京:中国统计出版社,2007年:1。
2国家发展和改革委员会副主任杜鹰,2008全国经济体制改革工作会议发言,www.xinhuanet.com,2008-05-05。
3《2008政府工作报告》,中国发展门户网,www.chinagate.com.cn,2008 - 03 -20。
4《2006国际收支报告》,国家外汇管理局网站。
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