本文選題：均衡匯率 + BEER��； 參考：《天津財經(jīng)大學(xué)》2014年碩士論文

【摘要】：匯率會影響資源的有效配置,匯率的合理與否對貿(mào)易部門和非貿(mào)易部門資源流動具有重要的調(diào)節(jié)和引導(dǎo)作用。匯率的失衡即匯率的高估或低估會使得一國付出巨大的福利成本,還會錯誤地引導(dǎo)資源配置和經(jīng)濟(jì)重心的發(fā)展,甚至造成經(jīng)濟(jì)的不穩(wěn)定。均衡匯率構(gòu)成一國貨幣交換的基礎(chǔ),在現(xiàn)實操作中,特別是在國際貨幣基金組織牙買加體系下,世界各國貨幣當(dāng)局的政策制定越來越依賴均衡匯率水平作為參考。本文通過比較分析的方法梳理了國內(nèi)外均衡匯率理論及其指導(dǎo)下的實證模型的發(fā)展脈絡(luò),點評了各模型的優(yōu)缺點；本文運用理論與實證結(jié)合分析的方法,從準(zhǔn)確性、可操作性、科學(xué)性角度入手選用了行為均衡匯率理論模型進(jìn)行優(yōu)化并以作為基礎(chǔ)來研究人民幣均衡匯率相關(guān)問題,在實證研究中,本文運用了約翰森協(xié)整檢驗、ADF檢驗、H-P濾波等現(xiàn)代計量手段,提高了模型的準(zhǔn)確性及科學(xué)性；本文還采用了定性與定量結(jié)合的方法設(shè)計了方差分解模型來探討均衡匯率各影響因素變化對均衡匯率變化的貢獻(xiàn)度。本文通過行為均衡匯率模型對1996-2013年間人民幣均衡匯率進(jìn)行測度,得出人民幣匯這十幾年既有高估也有低估,1996年一季度到1999年二季度、2000年4季度到2003年1季度、2008年二季度到2009年二季度皆為匯率高估階段,期間為匯率低估階段。2009年3季度以后人民幣匯率失衡程度有所緩和,開始了小幅震蕩階段,這與匯改重啟有關(guān)。通過VAR方差分解模型得出,在長期影響均衡匯率變化的主要因素是自身因素、勞動生產(chǎn)率和M2貨幣量。本文從國際收支失衡、影響資源配置效率、產(chǎn)業(yè)結(jié)構(gòu)升級及資本積累等方面分析了匯率失衡的危害,并提出了應(yīng)對失衡完善人民幣匯率改革的政策建議。本文對BEER模型進(jìn)行了創(chuàng)新,加入了新的解釋變量使得模型的準(zhǔn)確性大大提高,模型的數(shù)據(jù)選取考究得當(dāng)。約翰森協(xié)整檢驗、H-P濾波等現(xiàn)代計量技術(shù)的運用使得模型更加科學(xué)。本文開創(chuàng)性的設(shè)計了方差分解模型,測度了均衡匯率與各影響因素間的關(guān)系。本文根據(jù)模型結(jié)果探討了匯率失衡的影響,在探討人民幣匯率改革歷程及如何應(yīng)對人民幣匯率失衡問題方面本文觀點獨特鮮明。
[Abstract]:Exchange rate will affect the effective allocation of resources. Whether the exchange rate is reasonable or not plays an important role in regulating and guiding the flow of resources in the trade and non-trade sectors. The imbalance of exchange rate, that is, overvaluation or undervaluation of exchange rate, will make a country pay a huge welfare cost, mislead the allocation of resources and the development of economic center of gravity, and even cause economic instability. Equilibrium exchange rate forms the basis of a country's currency exchange. In practical operation, especially in the Jamaica system of the International Monetary Fund, the policy formulation of monetary authorities in the world is increasingly dependent on the equilibrium exchange rate level as a reference. This paper combs the development of equilibrium exchange rate theory and its empirical model under the guidance of domestic and foreign through comparative analysis, and reviews the advantages and disadvantages of each model, using the method of combining theory and empirical analysis, from the accuracy, maneuverability, From the scientific point of view, this paper selects the behavioral equilibrium exchange rate theory model to optimize and studies the RMB equilibrium exchange rate related problems on the basis of the empirical study. In this paper, the accuracy and scientificity of the model are improved by using modern metrological means such as Johnson cointegration test (ADF) and H-P filter. The variance decomposition model is designed by combining qualitative and quantitative methods to study the contribution of the influence factors of equilibrium exchange rate to the change of equilibrium exchange rate. This paper uses the behavioral equilibrium exchange rate model to measure the RMB equilibrium exchange rate from 1996 to 2013. It is concluded that the RMB exchange rate has been overestimated and undervalued for more than ten years. From the first quarter of 1996 to the second quarter of 1999, from the fourth quarter of 2000 to the first quarter of 2003, and from the second quarter of 2008 to the second quarter of 2009, the exchange rate was overvalued. The currency undervalued period. After the third quarter of 2009, the RMB exchange rate imbalance eased somewhat, began a small period of volatility, which is related to the resumption of currency reform. Based on the VAR variance decomposition model it is concluded that the main factors affecting the equilibrium exchange rate in the long run are their own factors labor productivity and M2 monetary quantity. This paper analyzes the harm of exchange rate imbalance from the aspects of balance of payments imbalance, affecting resource allocation efficiency, upgrading industrial structure and capital accumulation, and puts forward some policy suggestions on how to deal with the imbalance and perfect the reform of RMB exchange rate. In this paper, the BEER model is innovated, and the accuracy of the model is greatly improved by adding new explanatory variables, and the data selection of the model is appropriate. The use of modern metrology techniques such as Johnson's cointegration test and H-P filtering makes the model more scientific. In this paper, the variance decomposition model is designed to measure the relationship between the equilibrium exchange rate and the influencing factors. Based on the results of the model, this paper discusses the influence of exchange rate imbalance, and makes a unique point of view on the course of RMB exchange rate reform and how to deal with the problem of RMB exchange rate imbalance.
【學(xué)位授予單位】：天津財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6

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