本文選題：均衡實(shí)際匯率 + HSIAO程序　； 參考：《華中科技大學(xué)》2014年博士論文

【摘要】：近年來,我國(guó)宏觀經(jīng)濟(jì)平穩(wěn)較快增長(zhǎng)、在全球經(jīng)濟(jì)中地位舉足輕重。然而,一方面,我國(guó)經(jīng)濟(jì)總體上消費(fèi)不足而投資過剩,經(jīng)常賬戶和資本賬戶持續(xù)保持著雙順差,國(guó)內(nèi)外宏觀經(jīng)濟(jì)存在失衡的局面；另一方面,以美國(guó)為首的西方發(fā)達(dá)集團(tuán)不斷對(duì)人民幣匯率施加壓力,聲稱我國(guó)是“匯率操縱國(guó)”,人民幣實(shí)際匯率存在嚴(yán)重低估。國(guó)內(nèi)外宏觀經(jīng)濟(jì)形勢(shì)都要求我們主動(dòng)去解決內(nèi)外部門失衡和匯率爭(zhēng)端問題。我國(guó)如何實(shí)現(xiàn)國(guó)內(nèi)外經(jīng)濟(jì)均衡,人民幣實(shí)際匯率是否低估?實(shí)際匯率作為開放宏觀經(jīng)濟(jì)的核心變量,它是連接國(guó)內(nèi)經(jīng)濟(jì)和外部經(jīng)濟(jì)的橋梁。此外,均衡實(shí)際匯率反映一國(guó)國(guó)內(nèi)外經(jīng)濟(jì)平衡狀況的指標(biāo),也是衡量匯率合理與否的標(biāo)準(zhǔn)。因而本文以均衡實(shí)際匯率為切入點(diǎn),來分析和解答上述問題。均衡實(shí)際匯率是指內(nèi)外宏觀經(jīng)濟(jì)均衡下的實(shí)際匯率,它既由國(guó)內(nèi)外基本宏觀經(jīng)濟(jì)變量決定(比價(jià)屬性),同時(shí)也會(huì)反作用于國(guó)內(nèi)外宏觀經(jīng)濟(jì)變量(杠杠屬性)。因而,對(duì)均衡實(shí)際匯率的研究,不僅要測(cè)算均衡實(shí)際匯率和評(píng)估實(shí)際匯率水平的合理性,還需要分析實(shí)際匯率失調(diào)對(duì)國(guó)內(nèi)外宏觀經(jīng)濟(jì)主要變量的影響,以便找到實(shí)現(xiàn)內(nèi)外平衡、匯率合理穩(wěn)定的途徑,對(duì)于我國(guó)合理的宏觀經(jīng)濟(jì)政策和相應(yīng)的匯率政策具有重要的理論和實(shí)踐意義。 本文首先實(shí)證測(cè)算了均衡實(shí)際匯率,并對(duì)當(dāng)前實(shí)際匯率狀況進(jìn)行了評(píng)估。在前人理論描述和實(shí)證研究的基礎(chǔ)上,本文將BEER模型和ERER模型結(jié)合起來,采用Hsiao程序確定了最優(yōu)解釋變量,同時(shí)考慮了2005年匯改引起的結(jié)構(gòu)突變,通過結(jié)構(gòu)突變協(xié)整分析得出了均衡實(shí)際匯率與基本經(jīng)濟(jì)變量的長(zhǎng)期均衡關(guān)系,代入由HP濾波得到的解釋變量的長(zhǎng)期均衡值,從而得到了均衡實(shí)際匯率的軌跡。實(shí)證結(jié)果表明：人民幣實(shí)際匯率出現(xiàn)了四次低估和三次高估,其中高估時(shí)間幅度不大、時(shí)間也不長(zhǎng),平均不到1%水平；而1994-1997年、2003-2007年人民幣實(shí)際匯率則經(jīng)歷了時(shí)間較長(zhǎng)、幅度較大的低估,尤其是1994年-1997年平均低估5%以上。 在估算出匯率失調(diào)程度后,本文進(jìn)一步就實(shí)際匯率失調(diào)對(duì)國(guó)內(nèi)外宏觀經(jīng)濟(jì)的影響作了實(shí)證分析：(1)實(shí)際匯率失調(diào)對(duì)國(guó)內(nèi)物價(jià)水平的影響。實(shí)際匯率失調(diào)對(duì)國(guó)內(nèi)三個(gè)價(jià)格指數(shù)CPI、PPI和RPI的傳遞效應(yīng)是不完全的,短期來看,PPI的彈性最大為-0.309,但長(zhǎng)期來看實(shí)際匯率失調(diào)對(duì)CPI的影響最大為-0.028,實(shí)際匯率失調(diào)(錯(cuò)位)從總體上會(huì)造成國(guó)內(nèi)物價(jià)水平的不穩(wěn)定,給以通貨膨脹為目標(biāo)的貨幣政策帶來不確定性；(2)匯率失調(diào)對(duì)經(jīng)濟(jì)增長(zhǎng)和就業(yè)的影響�？偟膩砜�,實(shí)際匯率失調(diào)會(huì)給本國(guó)經(jīng)濟(jì)和就業(yè)帶來不利的負(fù)面效應(yīng)。具體地,短期,人民幣實(shí)際匯率每低估1%,中國(guó)實(shí)際GDP增長(zhǎng)率就增加0.289%,但長(zhǎng)期不利于經(jīng)濟(jì)的可持續(xù)增長(zhǎng)和產(chǎn)業(yè)結(jié)構(gòu)的優(yōu)化；實(shí)際匯率高估抑制經(jīng)濟(jì)增長(zhǎng),且效應(yīng)大于0.289。實(shí)際匯率失調(diào)對(duì)就業(yè)增長(zhǎng)率也有滯后的負(fù)面效應(yīng),實(shí)際匯率每低估0.1個(gè)百分點(diǎn),就業(yè)增長(zhǎng)率就提高5.6個(gè)百分點(diǎn)；(3)實(shí)際匯率失調(diào)對(duì)國(guó)際收支的影響。實(shí)際匯率失調(diào)對(duì)經(jīng)常賬戶的影響是負(fù)向的,實(shí)際匯率低(高)估與凈出口正(負(fù))相關(guān)。具體地,實(shí)際匯率每低估1%,則出口增加1.967%、進(jìn)口降低0.153%,對(duì)于以FDI為代表的資本項(xiàng)目,實(shí)際匯率失調(diào)與FDI負(fù)相關(guān),實(shí)際匯率低估1%,會(huì)使得FDI增加4.24%,因而實(shí)際匯率低估反而有利于對(duì)國(guó)外資本的投資吸引,這或許是緣于外資對(duì)我國(guó)經(jīng)濟(jì)看好和人民幣升值預(yù)期的綜合反映。 最后,作者還對(duì)引起實(shí)際匯率失調(diào)的原因作了定性分析,并就實(shí)現(xiàn)內(nèi)外經(jīng)濟(jì)平衡的開放宏觀經(jīng)濟(jì)政策和匯率機(jī)制提出了相應(yīng)的政策建議或制度革新。一國(guó)匯率制度的選擇、財(cái)政政策和貨幣政策等宏觀調(diào)控手段的運(yùn)用、貿(mào)易和資本政策是否合乎國(guó)情,都會(huì)引致實(shí)際匯率的失調(diào)。這需要一系列政策和工具的組合共同協(xié)調(diào)來實(shí)現(xiàn)我們的內(nèi)外均衡和匯率穩(wěn)定合理的目標(biāo)：實(shí)際匯率的自我修復(fù)、與匯率政策相一致的財(cái)政和貨幣政策的調(diào)控、合理的貿(mào)易和資本政策的配合、輔之以適當(dāng)?shù)膮R率政策。
[Abstract]:In recent years , China ' s macro - economy has been steadily increasing rapidly , which plays an important role in the global economy . However , on the one hand , China ' s economy generally has insufficient investment , the current account and the capital account continue to keep the double surplus , the domestic and foreign macro - economy has unbalanced situation ;
On the other hand , the western developed group , led by the United States , is constantly exerting pressure on RMB exchange rate , claiming that our country is " currency manipulator " , and the real exchange rate of RMB is seriously undervalued .

Based on the former theory description and the empirical research , the BEER model and the ERER model are combined , the long - term equilibrium relationship between the equilibrium real exchange rate and the basic economic variable is determined by using the program procedure , and the track of the equilibrium real exchange rate is obtained . The empirical results show that the real exchange rate of RMB has four times of undervaluation and three overvaluation , and the overvaluation time is not large , the time is not long , the average is less than 1 % ;
In 1994 - 1997 , the renminbi ' s actual exchange rate for 2003 - 2007 had experienced a longer time and a greater undervaluation , particularly in 1994 - 1997 , an average of more than 5 per cent .

After estimating the degree of exchange rate offset , this paper makes an empirical analysis on the effect of real exchange rate offset on domestic price level . The effect of real exchange rate offset on the domestic price index is incomplete . In the short term , PPI ' s elasticity is up to - 0.309 , but in the long run , the effect of real exchange rate offset on CPI is - 0.028 , and the real exchange rate offset ( offset ) can cause the instability of domestic price level , which brings uncertainty to monetary policy aiming at inflation .
( 2 ) The effect of exchange rate offset on economic growth and employment . In general , real exchange rate offset can bring adverse effects to domestic economy and employment . In particular , the real GDP growth rate of China is increased by 0 . 289 % , but it is not conducive to the sustainable growth of economy and the optimization of industrial structure .
Real exchange rate overvaluation suppresses economic growth , and the effect is greater than 0.289 . Real exchange rate offset has a negative effect on employment growth rate . The actual exchange rate is undervalued by 0.1 percentage point , and the growth rate of employment increases by 5.6 percentage points ;
( 3 ) The effect of actual exchange rate offset on the balance of payments is negative . The actual exchange rate is low ( high ) is related to net export positive ( negative ) . In particular , the actual exchange rate is 1 % lower than that of the net exports . In particular , the actual exchange rate is reduced by 1 % , and the real exchange rate is reduced by 0 . 153 % . The real exchange rate is undervalued by 1 % . Therefore , the actual exchange rate is undervalued , which is beneficial to the investment attraction of foreign capital , which may be due to the comprehensive reflection of foreign investment on our economy and the expectation of RMB appreciation .

Finally , the author makes a qualitative analysis on the causes of real exchange rate adjustment , and puts forward the corresponding policy suggestion or system innovation on the open macro - control policy and exchange rate mechanism of realizing internal and external economic equilibrium . The application of macro - control measures such as the choice of the country ' s exchange rate system , fiscal policy and monetary policy , etc .
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

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