摘要
自从十一届三中全会以来，随着改革开放政策的实施，我国对外贸易日益活跃。在1981-1989年之间，我国对外贸易逆差平均每年为41.72亿美元，2008年我国贸易顺差2954.7亿美元，在不到20年的时间内，我国不仅扭转了贸易逆差的局面，而且使贸易顺差达到了接近3000亿美元的峰值。巨额的贸易顺差，使得人民币汇率问题也越来越受到国际社会的关注。在西方社会特别是美国普遍认为：中国对外贸易收支持续保持大幅度顺差的原因，是由于人民币人为地被低估了，低估了的人民币使得中国在与西方贸易交往过程中保持了不正当贸易优势。特别是近几年，国际社会要求人民币升值的压力不断增大。可以说，这种压力是促使2005年7月21日人民币汇率制度改革的主要推动力之一。据统计，按照2005年汇改当日的人民币对美元中间价8.11来计算，至2011年为此，人民币对美元已经升值超过20%；但是，要求人民币继续升值的呼声并没有因此而减弱。因此，人民币汇率问题自中国对外贸易存在巨大顺差以来，一直是最热门的研究话题之一。研究人民币汇率均衡、相关特性及其对其它经济变量的影响，不仅具有重大的理论价值，同样，也具有重大的现实意义。
本文通过构建新模型，创建多重复合协整技术（MICCT）计量方法，运用ARFIMA-FIGARCH、VAR-GARCH-BEKK等前沿性计量方法，对人民币均衡汇率及其相关问题进行了深入研究，通过研究发现：
第一、运用多重复合协整技术（MICCT）研究人民币汇率长期均衡问题最为合理，多重复合协整技术（MICCT）不仅能捕捉某个对人民币汇率有长期影响的未知影响因素，又提高了人民币汇率长期均衡失调pm时间序列的稳定性检验水平，运用多重复合协整技术研究中国的人民币汇率均衡问题较为合理。
从实证的结论可以看出，在样本时间段内，人民币汇率确实发生了结构突变，结构突变点发生在人民币汇率剧烈变化的时间点上，表明对汇率生生剧烈变化的外部经济因素对人民币汇率有着长期影响，也就是说，在运用BEER模型研究人民币汇率长期均衡问题时，应该在模型中加入中国元素，特别是具体的外部经济因素不容忽视。
研究结果还表明：在样本时间段内，人民币汇率不存在显著的低估现象，人民币实际汇率偏离长期均衡水平仅为0.012％，远远小于国外认为的人民币汇率低估约40%的水平；且从2009年4季度以来，人民币汇率基本处在长期均衡汇率水平，并有逐渐高估的趋势。
第二、人民币实际有效汇率及人民币对美元双边汇率时间序列的自相关函数图以及R/S检验，显示人民币实际有效汇率及人民币对美元双边汇率的均值过程（一阶矩过程）均存在显著的长记忆性特征。因此，差分自回归动平均模型即ARIMA模型难以准确刻化与描述人民币实际有效汇率及人民币对美元双边汇率均值的动态过程，运用分整自回归动平均模型即ARFIMA模型进行刻画较为合理。但人民币实际有效汇率与人民币对美元双边汇率的ARFIMA模型的残差存在异方差现象，因此，运用ARFIMA模型用以刻画与描述人民币实际有效汇率与人民币对美元双边汇率存在明显的不足。但无论是ARFIMA模型及R/S检验，均无法否定人民币实际有效汇率与人民币对美元双边汇率存在长记忆效应。
人民币实际有效汇率及人民币对美元双边汇率的一阶矩过程的长记忆性特征表明人民币实际有效汇率及其对美元双边汇率存在一定的粘性、其走势具有一定的持续性，一些突发的外部事件对于人民币实际有效汇率及其对美元双边汇率将产生长期的滞后影响。
通过对人民币对美元双边汇率建立ARFIMA-FIGARCH与ARFIMA-FIAPARCH-M模型发现，人民币对美元双边汇率时间序列不仅存在长记忆性，其波动也存在显著的长记忆性，也就是人民币对美元双边汇率存在“双长记忆”特征；表明人民币对美元双边汇率当前水平及当前波动性水平都依赖于自身较长时期的历史信息；同样，其当前水平及当前波动水平也将对未来较长时期产生影响。
第三、人民币对美元汇率对国内物价水平具有一定的影响作用，人民币对美元汇率每上升一个百分点，国内物价指数上升0.117个百分点，而人民币对日元汇率相对于美元汇率影响作用更小，传递效应更低。由于我国在很长一段时间内实行的是人民币盯住美元的外汇政策，且美国是我国主要的贸易伙伴大国，人民币对美元汇率的变化会较为显著地影响我国国内宏观经济变量；而人民币对非美元的双边汇率由于上述原因，显然不会像美元那样敏感，传递效应与其相比较小。
从实证研究的结果来看，人民币汇率系数均明显小于1，表明人民币汇率不存在完全的传递效应。同时，从三个均值方程中的汇率系数的统计显著性来看，无论是人民币名义汇率、人民币对美元汇率还是人民币对日元汇率我国国内消费者物价指数均不存在明显的价格溢出效应，因此，通过人民币对外汇率升值的方法，难以达到抑制国内消费物价水平的目的。
人民币名义汇率、人民币对美元汇率以及人民币对日元汇率均呈现出一定的的波动溢出效应；但从其数值的大小来看，要大于三者的均值溢出效应，表明人民币汇率与国内物价水平的一阶矩相互影响较小，但两者之间的二阶矩具有一定程度相互影响作用。
总的来说，人民币汇率对国内物价水平有一定的影响，它们之间也存在波动溢出效应，当然也有一些其它因素影响了汇率对国内物价水平的价格上的信息传导，如人民币对美元汇率的浮动区间管制、我国的外汇管理制度等。
第四、贸易收支、人民币对美元双边实际汇率、我国国内生产总值、美国对外总进口额以及经济结构5个变量之间确实存在长期稳定的协整关系。
从协整方程可以看出，人民币对美元实际汇率与我国贸易收支呈同方向变化，表明人民币对美元实际汇率上升，即人民币对美元贬值，我国贸易收支得以改善；同时，从脉冲响应函数来看，短期内，人民币对美元实际汇率与我国贸易收支并没有表现出“J曲线”效应，但长期内，两者存在协整关系；从Granger因果检验结果来看，两者之间不存在Granger因果关系，这就表明人民币对美元实际汇率并不是我国贸易收支变化的统计上的原因，以逼迫人民币升值达到平衡贸易的目标注定难以实现。
我国的经济结构与贸易收支之间也存在长期均衡关系，两者呈同方向变化，从脉冲响应函数来看，经济结构才是中美贸易顺差产生的重要原因。由于要素资源禀赋及产业层次不同，中美两国经济在很长时间内都具有较强的互补性。由于两国经济的互补性强，美国对中国的许多出口商品在美国都存在管制，也就必须产生中美贸易顺差现象，美国不改变对华出口政策，无论如何逼迫人民币对美元升值，可以预见这种贸易顺差将会持继下去，因为人民币升值解决不了中美贸易结构性问题。
从脉冲函数来看，对人民币对美元汇率作一单位的正向冲击后，在脉冲期内，我国二元经济结构呈现正向效应，表明人民币对美元汇率越小，也就是人民币对美元升值，第一产业产值越小，非农产业产值增加，表明人民币对美元升值有利于促进我国非农产业的发展，有利于我国产业结构向高级化1调整。
Since the Third Plenary Session of the Eleventh Central Committee, with the implementation ofthe reform and opening policy, China's foreign trade has become increasingly active. Between1981-1989, China's foreign trade deficit is an annual average of4.172billion U.S. dollars, China'strade surplus of295.47billion U.S. dollars in2008. in a time of less than20years, China has not onlyreversed the trade deficit situation, and made the trade surplus reached a peak of nearly$300billion.A huge trade surplus makes the RMB exchange rate issue is more and more the concern of theinternational community. Western society, especially American generally considered: the reason thatChina's foreign trade continues to maintain a substantial surplus, is that the yuan artificiallyunderestimated. Underestimated yuan makes Chinese unfair trade advantage is maintained. Especiallyin recent years, the international community pressure to revalue its currency, is constantly large. It canbe said that this kind of pressure is to promote one of the main driving force of the reform of the RMBexchange rate regime in July21,2005. According to statistics, in accordance with8.11of the centralparity of RMB against the U.S. dollar by the date of2005exchange rate reform, the RMB against theU.S. dollar has appreciated by more than20percent by the end of2011. However, calling for the yuancontinues to appreciate, is weakened. Therefore, since there is a huge down Since China's foreigntrade, the RMB exchange rate issue has been one of the hottest research topics. Studying RMBexchange rate equilibrium, characteristics, and its impact on other economic variables, not only is ofgreat theoretical value, but also of great practical significance.
This paper deeply studys the equilibrium exchange rate of RMB and its related issues byconstructing a new model, creating multiple composite cointegration (MICCT) measurement methods,and using ARFIMA-FIGARCH and Fractional VAR-GARCH-BEKK and other cutting-edgemeasurement methods. The study found:
First, the multiple composite cointegration (MICCT) is most reasonable to study the long-termequilibrium of the RMB exchange rate problem, and it can not only capture a long-term impact of theRMB exchange rate that has one of unknown impact factors, but improves pm time series’ stabilitytest lever, the MICCT is most reasonable.
From an empirical conclusion, in the sample period, the RMB exchange rate does occurstructural mutations. Structural break point occurs at the point in time of dramatic changes of the RMB exchange rate, and external economic factors have long-term effects, that is, when the BEERmodel is used, the Chinese elements in the model should be joined, in particular, the exchange ratecan not be ignored.
The results also show that: In the sample period, the RMB exchange rate does not exist thephenomenon of significantly underestimating. RMB deviation from the long-term equilibrium level ofthe real exchange rate is only0.012%, far less than about40%that is the RMB undervalued exchangerate level by the foreign; Moreover, since the fourth quarter of2009, the RMB exchange rate issuitable to the level of the long-run equilibrium exchange rate and overvalued gradually.
Second, the autocorrelation function of Figure and R/S test of time series of the RMB realeffective exchange rate and the RMB against the U.S. dollar bilateral exchange rate, show that meanprocess (first moment process) of RMB real effective exchange rate and the RMB against the U.S.dollar bilateral exchange rate have significant long memorycharacteristics. Therefore, the differentialautoregressive moving average model (ARIMA model) is difficult to accurately engraved withdescription of mean dynamic process of the RMB real effective exchange rate and the RMB realeffective exchange rate of RMB to U.S. dollar bilateral exchange rates, and the ARFIMA model ismore reasonable. ARFIMA model’ residuals of the RMB real effective exchange rate and the RMBagainst the U.S. dollar bilateral exchange rates, exist heteroskedasticity phenomenon, therefore, theuse of ARFIMA model are obvious shortcomings to characterize and describe the RMB real effectiveexchange rate and the RMB against the U.S. dollar bilateral exchange rate. Both ARFIMA model andR/S test, are not negated that the bilateral exchange rate of the RMB against the U.S. has memoryeffect.
The long memory characteristics of the process of RMB real effective exchange rates andbilateral exchange rate of the RMB against the U.S. dollar, shows that the real effective exchange rateof RMB and its bilateral exchange rate against the U.S. dollar, have a certain stickiness and their trendhas continued. And some unexpected external events will have a long-term impact to the real effectiveexchange rate and its bilateral exchange rate against the U.S. dollar.
Establishing ARFIMA-FIGARCH and of ARFIMA-FIAPARCH-M model, that RMB againstU.S. dollar bilateral exchange not only exists Long Memory, but its volatility exists a significant longmemory, that is, RMB against U.S. dollar bilateral exchange rate has double long memorycharacteristics; This shows that the current level and the current level of volatility of the RMB againstthe U.S. dollar bilateral exchange rate, are dependent on their own historical information for a longer period of time; Similarly, its current level and the current level of volatility will also have an impact inthe longer time period.
Third, The RMB exchange rate against the dollar has certain effects on the domestic price level,every one percentage point rise in the RMB exchange rate to U.S dollar, domestic price index rose0.117percentage points. And the pass-through effect of the RMB exchange rate against the yen islower than against the dollar. Because in a very long period of time, the RMB’s policy is pegged to thedollar's exchange rate in our country, and the United States of America is one of China's main tradingpartner countries, the changes of RMB exchange rate to U.S. dollar will have great affect on theChina's domestic macroeconomic variables, and the RMB bilateral exchange rate obviously is not asthe U.S. dollar so sensitive because of the above reasons.
From the empirical findings of the study, the RMB exchange rate coefficient is significantly lessthan1, and it is shows that the RMB exchange rate does not have complete transfer effect. At thesame time, from the point of view of statistical rate coefficient in the three mean equation, whether theRMB nominal exchange rate, the RMB exchange rate against the U.S. dollar and the RMB exchangerate against the yen does not have obvious price spillover effect on the domestic consumer price index,therefore it is difficult to inhibit domestic consumer price index by the methods of improving theRMB exchange rate.
The RMB nominal exchange rate, the RMB exchange rate against U.S. and yuan showed thecertain volatility spillover effect; but from the value of them, they are bigger than mean spillovereffects. It indicates that the RMB exchange rate and the domestic price level have small mutualinfluence, but have a certain degree of interaction between the two order moment.
Overall, the RMB exchange rate have a certain impact on the domestic price level, there arevolatility spillovers between them. of course, there are some other factors affect the conduction of theexchange rate on the domestic price level, such as the floating interval control of the exchange rate ofthe RMB against the U.S. dollar and China's foreign exchange management system.
Fourth, there exist a long-term stable cointegration relationship between the balance of trade, thebilateral real exchange rate of the RMB against the U.S. dollar, China's gross domestic product (GDP),U.S. foreign total imports, and economic structure variables.
There can be seen from the cointegration equation, the real exchange rate of the RMB against theU.S. and China trade balance showed changes in the same direction, indicating that when theincreaseing of the real exchange rate of the RMB against the U.S. dollar, China's trade balance will be improved; in the short time, there is not the "J-curve" effect between the RMB real exchange rateagainst the U.S. dollar and China's trade balance and the long-term cointegration relationship. fromthe results of Granger causality test, there does not exist Granger causality between them, which thatreal exchange rate of RMB against the U.S. dollar, is not the reason for the change of China's tradebalance, and the goal of balancing trade will be difficult to achieve by the RMB.
China's economic structure and trade balance between the long-run equilibrium relationship havethe long-term cointegration relationship and they change in the same direction. From impulseresponse function, the economic structure is the Sino-US trade surplus important reason. Due to thedifferent elements of resource endowments and industrial level, the economy of the United States andChina in a very long time have strong complementarity. Due to the strong complementarity of theeconomies, that there are control of China's export commodities in the United States, must producethe phenomenon of Sino-US trade surplus. If the United States does not change policy, in any caseforcing the appreciation of the RMB against the U.S., it is foreseeable that this trade surplus will beheld.
From impulse response function, a unit of the RMB exchange rate against the dollar is given, inthe pulse response’s period, China's economic structure has positive effect. And it shows that theRMB exchange rate against the dollar is smaller with the appreciation of the RMB against U.S. dollar,output value of the first industry is smaller, output value of non-agricultural industry is more, it showsthat the appreciation of the RMB against U.S. dollar is conducive to promoting the development ofChina's non-agricultural industries and to China's industrial structure be adjusted to the senior.
引文
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