人民币行为均衡汇率及错位程度的测算研究:1978-2006

基于行为均衡汇率理论,应用多种计量经济方法对1978-2006年期间人民币实际汇率状况进行的实证分析结果表明:从名义汇率错位情况来看,1995年及以前的名义汇率都是高估的,1996-2005年的名义汇率基本上都是低估的,且低估程度在2000年达到顶点,然后逐渐下降;2005年约低估4.7%,但到2006年,受2005年人民币汇率改革的影响,名义汇率反而高估约0.9%.从实际汇率错位情况来看,1993年及以前的人民币实际有效汇率都是高估的,1994年以后,随着出口的快速增长以及美元的不断贬值,人民币实际有效汇率相对于行为均衡汇率低估程度总体上不断扩大,2005年约低估16.3%;到2006年,受2005年人民币汇率改革的影响,人民币实际有效汇率低估程度有所下降,约低估15.3%.

The Study on Measuring RMB Behavioral Equilibrium Exchange Rate and Misalignment: 1978-2006

In the light of the theory of behavioral equilibrium exchange rate, this paper uses different econometric methodology, to estimates the behavioral equilibrium exchange rate and to calculate the misalignments of nominal RMB and real RMB during the period of 1978 ~ 2006. The results indicate that in terms of the nominal exchange rater, , RMB was overvalued before1995 and undervalued between1996-2005, to the highest point in 2000 and then slopes down yearly to hit 417% in 2005. However, in 20006 the nominal exchange rate of RMB was overestimated about 0.9% due to the impact of the exchange rate reform of RMB in 2005. The results also indicate that the real exchange rate of RMB was overestimated before 1993, but after 1994, the export of China increased rapidly while the value of US dollars continued to decline. Against this backdrop, the real exchange rate of RMB was undervalued about 16.3% in 2005, with the same cause of exchange rate reform, the situation of undervaluation came down somewhat in 2006.