本文選題：二元結(jié)構(gòu) + 央行最優(yōu)目標(biāo)��； 參考：《重慶大學(xué)》2013年博士論文

【摘要】：自2000年以來，在中國經(jīng)濟高速發(fā)展、“雙順差”的背景下，人民幣匯率問題引發(fā)了熱烈的爭論。中國經(jīng)濟有顯著的二元結(jié)構(gòu)特征，且央行的干預(yù)行為明顯，但是目前人民幣匯率的研究涉及二元結(jié)構(gòu)和央行的政策抉擇的工作較少。 本文主要研究了二元結(jié)構(gòu)和央行最優(yōu)目標(biāo)下的政策選擇對人民幣匯率的影響，其基本邏輯結(jié)構(gòu)：（1）由于二元結(jié)構(gòu)的存在，人民幣匯率的走勢不同于傳統(tǒng)的理論預(yù)測，即所謂“人民幣匯率之謎”，二元結(jié)構(gòu)對人民幣匯率的走勢應(yīng)該產(chǎn)生很大的影響；（2）央行由于二元結(jié)構(gòu)引起的市場失靈而干預(yù)市場，解決市場失靈問題，尋求最優(yōu)的發(fā)展路徑，央行的干預(yù)行也為會影響匯率的走勢；（3）央行最優(yōu)目標(biāo)的政策抉擇，可分為內(nèi)部市場的最優(yōu)干預(yù)和外部市場的最優(yōu)干預(yù)。內(nèi)部市場的最優(yōu)干預(yù)是指央行在經(jīng)濟增長和通貨膨脹之間的最優(yōu)抉擇，外部市場的最優(yōu)干預(yù)指央行干預(yù)外匯市場，即央行在匯率波動和外匯儲備之間的最優(yōu)抉擇。 本文的研究主要內(nèi)容及特點： ①應(yīng)用非線性模型研究了二元結(jié)構(gòu)對人民幣匯率的影響。 目前的文獻將二元結(jié)構(gòu)和B-S效應(yīng)分別進行研究，無法從二元結(jié)構(gòu)的角度，解釋B-S效應(yīng)是否存在內(nèi)在機制。現(xiàn)有研究雖然發(fā)現(xiàn)結(jié)構(gòu)轉(zhuǎn)型削弱了B-S效應(yīng)，但是沒有指明B-S效應(yīng)和二元結(jié)構(gòu)內(nèi)在的、定量關(guān)系。由于二元結(jié)構(gòu)的存在，在一國經(jīng)濟追趕的過程中，勞動供給彈性大，導(dǎo)致勞動生產(chǎn)率、工資率和一國價格水平之間的傳導(dǎo)效率不高，出現(xiàn)實際匯率長期保持穩(wěn)定、甚至貶值的現(xiàn)象。 本文將二元結(jié)構(gòu)和B-S效應(yīng)納入到一個統(tǒng)一的框架下，采用Hansen的非動態(tài)面板門限模型，研究了處于不同二元結(jié)構(gòu)門限值下的B-S效應(yīng)，揭示了B-S效應(yīng)隨二元結(jié)構(gòu)變化而變化機制。研究結(jié)果有助于解釋“人民幣匯率之謎”和近年來“用工荒”與人民幣匯率升值的內(nèi)在關(guān)系。 研究發(fā)現(xiàn)B-S效應(yīng)存在基于二元結(jié)構(gòu)“雙門限效應(yīng)”，中國2001年二元結(jié)構(gòu)跨過了第一門限值，其后逐漸接近第二門限值。2001年之前B-S效應(yīng)不顯著，也即B-S效應(yīng)不存在，然而這期間貿(mào)易條件惡化、開放度的上升和貨幣供給的增加，推動人民幣實際匯率貶值，就出現(xiàn)所謂的“人民幣實際匯率之謎”。2005年以來，貿(mào)易條件、開放度和政府支出較為穩(wěn)定，貨幣的供給量相對增長。人民幣實際匯率的趨勢升值，表明隨著二元結(jié)構(gòu)的改善，勞動生產(chǎn)率的傳導(dǎo)效率提高，特別是“用工荒”導(dǎo)致工資上漲，是人民幣匯率升值的內(nèi)在原因之一。 ②通過拓展的Ronald Shone動態(tài)開放宏觀經(jīng)濟模型，研究央行內(nèi)部干預(yù)行為對人民幣匯率的影響。 中國社會二元結(jié)構(gòu)的現(xiàn)狀、隱性失業(yè)和雙順差的特點，不符合現(xiàn)有理論關(guān)于均衡匯率的假設(shè)，現(xiàn)有文獻在央行最優(yōu)目標(biāo)下的匯率研究，只是對人民幣升值路徑的推演，不涉及央行最優(yōu)目標(biāo)下人民幣均衡匯率的研究，，更沒有涉及到均衡匯率區(qū)間和央行最優(yōu)政策選擇對人民幣均衡匯率邊界影響的分析。 本文假設(shè)中國央行的內(nèi)部市場干預(yù)，是在一定的通貨膨脹目標(biāo)下追求最大經(jīng)濟增長，同時要求內(nèi)、外市場均衡，表現(xiàn)在均衡匯率方面，即在經(jīng)濟增長和通脹的最優(yōu)決策函數(shù)下，追求內(nèi)外同時均衡的匯率。通過建立動態(tài)開放宏觀經(jīng)濟模型，利用動態(tài)規(guī)劃和貝爾曼方程推導(dǎo)出了人民幣匯率表達式，在一定的資本管制系數(shù)下，研究了央行最優(yōu)目標(biāo)下的政策選擇對人民幣匯率的影響，并測算了人民幣均衡匯率區(qū)間，研究工作的優(yōu)點在于不僅要求內(nèi)外同時達到均衡，而且要求央行的成本最小或者效用最大。研究發(fā)現(xiàn)：央行的政策選擇影響了人民幣均衡匯率邊界，資本項目的開放步伐是適宜的；超前的資本開放或僵硬的資本管制，都會造成人民幣均衡匯率的較大失衡；資本項目進一步調(diào)整，已具備的較適宜的宏觀經(jīng)濟環(huán)境；1994以來央行的相機抉擇政策，就人民幣均衡匯率來看是行之有效的，沒有造成人民幣均衡匯率失衡。 ③應(yīng)用區(qū)間二次偏好損失函數(shù)，研究央行外部市場的最優(yōu)干預(yù)對人民幣匯率的影響。 本文假設(shè)外部市場的最優(yōu)干預(yù)指央行在匯率波動和外匯儲備之間的最優(yōu)抉擇。央行連續(xù)的線性干預(yù)會帶來很大的政策成本和政治成本，所以理論上央行應(yīng)該存在非連續(xù)、非線性的干預(yù)，也即存在非對稱干預(yù)區(qū)間。目前的文獻中使用的標(biāo)準(zhǔn)的二次損失函數(shù)，只能刻畫央行對外匯市場的連續(xù)線性干預(yù)行為，無法描述央行的非線性和區(qū)間偏好。 為此，本文應(yīng)用區(qū)間二次偏好損失函數(shù)，通過泰勒級數(shù)展開式建立人民幣匯率波動門限模型，利用GMM方法，計量央行在人民幣匯率管理中的波動門限，分析了我國央行干預(yù)外匯市場的機制和方式，解釋了我國央行干預(yù)外匯市場的行為偏好和人民幣匯率目標(biāo)區(qū)間，研究了央行干預(yù)偏好、匯率波動和外匯儲備之間的相互關(guān)系，分析了央行的區(qū)間干預(yù)對人民幣匯率的影響。結(jié)論顯示：央行存在非對稱干預(yù)行為，且使人民幣匯率在一個較小的、非對稱的區(qū)間內(nèi)波動，且央行存在一定程度“害怕升值”趨向；2005年7月以來，央行的非對稱干預(yù)減弱，人民幣匯率波區(qū)間對稱性增強；央行的非對稱干預(yù)，一定程度造成了外匯儲備的激增。
[Abstract]:Since 2000 , under the background of the high - speed development of China ' s economy and the " double surplus " , the RMB exchange rate has caused a heated debate . The Chinese economy has obvious two - dimensional structural characteristics , and the intervention of the central bank is obvious , but the current research of RMB exchange rate involves the binary structure and the central bank ' s policy choice .

This paper mainly studies the influence of the policy choice of the binary structure and the central bank on the RMB exchange rate . The basic logic structure : ( 1 ) Because of the existence of the binary structure , the trend of RMB exchange rate is different from the traditional theory prediction , that is , the so - called " RMB exchange rate " , the binary structure should have great influence on the RMB exchange rate .
( 2 ) The central bank can intervene the market due to market failure caused by the binary structure , solve the market failure problem and seek the best development path , and the intervention line of the central bank will also affect the trend of exchange rate ;
( 3 ) The policy choice of the optimal target of the central bank can be divided into the optimal intervention of the internal market and the optimal intervention of the external market . The optimal intervention of the internal market is the optimal choice between the central bank in the economic growth and inflation . The optimal intervention in the external market means the central bank ' s intervention in the foreign exchange market , that is , the central bank ' s optimal choice between exchange rate fluctuation and foreign exchange reserve .

The main contents and characteristics of this paper are as follows :

( 1 ) The effect of binary structure on RMB exchange rate was studied by using nonlinear model .

In the present study , the duality structure and B - S effect are studied separately . It is impossible to explain whether the B - S effect has an internal mechanism from the angle of the binary structure . However , although the structural transformation is found to weaken the B - S effect , there is no indication of the inherent and quantitative relationship between the B - S effect and the binary structure . Because of the existence of the binary structure , the labor supply elasticity is large , which leads to the low transmission efficiency between the labor productivity , the wage rate and the price level of a country , and the phenomenon of long - term stability and even depreciation of the real exchange rate .

In this paper , the binary structure and the B - S effect are integrated into a unified framework , and the B - S effect under the threshold of different binary structures is studied by Hansen ' s non - dynamic panel threshold model . The mechanism of B - S effect with the change of the binary structure is revealed . The results of the study are helpful to explain the internal relationship between " the riddle of RMB exchange rate " and " labor shortage " and the appreciation of RMB exchange rate in recent years .

The study shows that the B - S effect is based on the double threshold effect of binary structure . In 2001 , the binary structure of China crossed the first threshold value and then gradually approached the second threshold value . Since 2005 , the B - S effect is not significant , that is , the B - S effect does not exist . However , since 2005 , the trade conditions , openness and government expenditure are more stable , and the supply amount of money is relatively increased .

( 2 ) To study the effect of central bank ' s internal intervention on RMB exchange rate through expanding the macro - economic model of Ronald Shone dynamic opening .

The present situation of the binary structure of Chinese society , the hidden unemployment and the double surplus are not in conformity with the hypothesis of equilibrium exchange rate in the current theory . The exchange rate research under the central bank ' s optimal target is only the deduction of the yuan appreciation path , but does not involve the study of the RMB equilibrium exchange rate under the central bank ' s optimal target , and does not involve the analysis of the influence of the equilibrium exchange rate interval and the central bank ' s optimal policy choice on the RMB equilibrium exchange rate boundary .

This paper assumes that China ' s central bank ' s internal market intervention is to pursue the maximum economic growth under certain inflation targets . At the same time , the equilibrium exchange rate of RMB is sought under the optimal decision function of economic growth and inflation . By establishing the dynamic open macro - economic model , the paper studies the effect of the policy choice under the central bank ' s optimal target on the RMB exchange rate , and calculates the equilibrium exchange rate interval of RMB . The research finds that the policy choice of the central bank affects the RMB equilibrium exchange rate boundary , and the opening step of the capital project is appropriate ;
The leading capital - opening or rigid capital controls will lead to a greater imbalance in the renminbi ' s equilibrium exchange rate ;
The further adjustment of the capital project , the better macroeconomic environment that has already been possessed ;
Since 1994 , the central bank ' s camera choice policy has been effective in terms of RMB equilibrium exchange rate , and has not caused the imbalance of RMB equilibrium exchange rate .

( 3 ) To study the effect of the optimal intervention of central bank external market on RMB exchange rate by applying interval quadratic preference loss function .

This paper assumes that the optimal intervention of the external market means the optimal choice between the central bank ' s exchange rate fluctuation and the foreign exchange reserve . The continuous linear intervention of the central bank can bring great policy cost and political cost . Therefore , the central bank should have non - continuous and non - linear intervention , that is , there is an asymmetric intervention interval . The second loss function of the standard used in the current literature can only depict the continuous linear intervention of the central bank to the foreign exchange market , and cannot describe the non - linear and interval preferences of the central bank .

This paper applies interval quadratic preference loss function to establish RMB exchange rate fluctuation threshold model by Taylor series expansion . The paper analyzes the mechanism and mode of central bank ' s intervention in foreign exchange market , analyzes the relationship between central bank ' s intervention preference , exchange rate fluctuation and foreign exchange reserve , and analyzes the influence of central bank ' s intervention preference , exchange rate fluctuation and foreign exchange reserve .
Since July , 2005 , the asymmetric intervention of the central bank has been weakened , and the symmetry of the RMB exchange rate wave interval is enhanced ;
The central bank ' s asymmetric intervention , to some extent , has caused a surge in foreign exchange reserves .
【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.6

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