人民币均衡实际汇率研究:1978—2009

文章在总结了国内已有的关于人民币均衡汇率水平研究的基础上,以均衡实际汇率理论为依据,考虑中国实际国情和已有相关文献研究的结论,对均衡实际汇率模型进行了部分修正,筛选出人民币实际有效汇率的最优解释变量,并采用协整方法和H-P滤波技术,实证测算人民币均衡汇率水平,在此基础上,对改革开放以来尤其是2005年汇改之后人民币汇率失调情况进行深入分析,并对2005年汇改后央行出台的人民币汇率政策进行简单评估。     

Changes in misalignment of the Korean won: Towards a flexible exchange rate regime

This paper investigates whether the adoption of a more floating exchange rate regime with inflation targeting has improved the vulnerability of the exchange rate, by looking at the Korean case. Using the NATREX model, I estimate the equilibrium real exchange rate of the Won and its misalignment. The unit‐root test for misalignment and the unrestrictive vector autoregressive (VAR) impulse response function test show that under a more flexible exchange rate regime, the vulnerability of the exchange rate regime to external shocks has declined.     

人民币汇率升值与资产价格泡沫的传导机制和实证研究

文章旨在研究具有资本流动和较低金融市场组织程度的开放经济体中,如果产生某些外部冲击而使得汇率升值,便会产生资产价格泡沫。在传导机制的理论模型推导中,以凯恩斯宏观经济模型为基础,通过模型推导得出实际汇率升值使得均衡收益率上升,股票资产需求迅速增加,进而导致股票价格的快速上涨,形成泡沫。然后通过对人民币汇率升值和上证A股股指变化进行实证研究,并考虑金融危机的影响因素,结果支持了文章的理论分析。     

Exchange Rate Disconnect in a Standard Open-Economy Macro Model

This paper demonstrates that the well-documented exchange rate disconnect can be explained within traditional exchange rate models. It is shown that even if the underlying fundamentals are invariant across exchange rate regimes, equilibrium real exchange rates are more volatile under flexible nominal exchange rates than under fixed rates. In particular, fixed rates reduce the requisite adjustments of the real exchange rate in response to both nominal and real shocks relative to a floating-rate scenario.     

Can Renminbi Appreciation Reduce the US Trade Deficit？

I. Introduction The trade relationship between the USA and China has been contentious during the past several decades since China’s economic reforms in 1978. The trade relationship between the two countries has been strongly constrained and highly politically influenced. Figure 1 depicts US–China trade from 1994 to 2004. US imports from China have been far greaterthan US exports to China over the past 10 years, and the corresponding US trade deficits with China have become increasingl…     

Estimating the equilibrium exchange rate of the Central and Eastern European acceding countries: The challenge of euro adoption

This study estimates the equilibrium real and nominal exchange rates for five Central and Eastern European (CEE) countries. A new approach is adopted, which combines the fundamental equilibrium exchange rate (FEER) with the behavioural equilibrium exchange rate (BEER) methodology. In a VAR-based 3-equation cointegration system, we estimate structural equations for internal and external balances and link them to the real exchange rate. The estimated misalignment is used to derive equilibrium nominal exchange rates. The sustainability of an ERM-II-type exchange rate regime is investigated on ex post data, and the credibility problem of fixing the currencies of CEE countries vis-à-vis the single European currency is analysed. JEL no. E31, F31, O11, P17     

汇率宏微观属性下的均衡汇率问题反思——兼议人民币汇率稳定性

汇率决定理论大致可分为传统汇率决定理论、现代汇率决定理论和宏观经济均衡汇率理论三个阶段。这三个阶段理论的共同特点是,以均衡汇率为核心标准,评判一国汇率水平的合理性。文章从汇率宏观和微观属性的角度出发,对均衡汇率的理念与现实意义进行了重新审视和分析,并就人民币汇率稳定性提出相关参考意见。     

NAMIBIA'S REAL EXCHANGE RATE PERFORMANCE1

To assess Namibia's external competitiveness, this study estimates the country's equilibrium real exchange rate using the autoregressive distributed lag modelling approach that has superior small‐sample properties. The nominal depreciation of the Namibia dollar in 2002 created historically one of the largest deviations in the real exchange rate from its equilibrium level, but deviations are small at present. The half‐life of deviations from equilibrium is found to be about 1 year.     

The Behavior of the Real Exchange Rate Under Fixed and Floating Exchange Rate Regimes

This article investigates the behavior of real exchange rates under fixed and flexible exchange rates. Using data from both the Bretton Woods and the modern floating periods, we decompose real exchange rate movements into components attributable to supply shocks, real demand shocks, monetary shocks, capital flows shocks, and real oil price shocks. Empirical results show that real demand shocks are an important source of real exchange rate movements under both fixed and flexible rates, while monetary shocks are negligible. Supply and oil price shocks seem to be more important under Bretton Woods, while capital flows shocks seem to explain a relatively higher proportion of real exchange rate movements under the modern floating period.     

The Swedish real exchange rate under different currency regimes

This paper presents evidence on the behaviour of the Swedish real exchange rate relative to Germany under different currency regimes during the period 1973:1–2001:4. The results suggest that the real exchange rate is cointegrated with Swedish and German productivity, which is consistent with Balassa (1964) and Samuelson (1964). In the short run, the exchange rate regime has mattered for the dynamics of the real exchange rate. Deviations from long-run equilibrium have been adjusted more quickly when the nominal exchange rate has been allowed to float freely. JEL no. C22, E31, F41     

人民币实际有效汇率的构建方法研究

当今外汇市场上每天用于贸易交易的外汇交易量不到5％,95％以上都是与贸易交易无关的虚拟资本流动。但迄今为止,理论界和实务部门仍主要从贸易角度入手构建人民币实际有效汇率。本研究从国际收支即同时从经常帐户和资本与金融帐户角度考虑人民币实际有效汇率的形成机制,将相对生产率进步指标纳入人民币实际有效汇率权重的构成中,既吸收了篮子货币的优点,又能减轻由于非汇率对实体经济的冲击造成汇率的较大波动,从而保持一个较稳定的人民币实际有效汇率。论文的模型比IMF的模型更符合当代汇率的形成机制,论文预测了2009和2010年人民币实际有效汇率分别较上一年升值1．36％和1．17％。     

Real Exchange Rate in China：A Long-run Perspective

This paper investigates the RMB exchange rate from a long‐run viewpoint. Whether China's rapid economic growth brought about real exchange rate appreciation between 1975 and 2002 is empirically examined, based on a supply‐side model, the Balassa—Semuelson Hypothesis (BSH). The same test is conducted on Japan, Hong Kong, Korea, Malaysia, Singapore, Thailand, the Philippines, Indonesia and India. Our result indicates that the BSH only exists where the industrial structure has been upgraded and the economy has been successfully transformed from an agricultural economy to a manufacturing economy. Interestingly, China, among those where the BSH does not present, appears to be upgrading its industrial and trade structure. We then try to answer the question of why past rapid growth has no significant relationship with the RMB real exchange rate and what factors are underlying the trend of the RMB real exchange rate. We expect an appreciating trend of RMB real exchange rate in the foreseeable future, presuming that China's industrial upgrading process continues and the factors pertaining to the BSH's prediction, such as rise of wage rates in both tradables and nontradables, become more significant. (Edited by Xiaoming Feng)     

IMPLICATIONS OF REAL EXCHANGE RATE MISALIGNMENT IN DEVELOPING COUNTRIES: THEORY,EMPIRICAL EVIDENCE AND APPLICATION TO GROWTH PERFORMANCE IN ZIMBABWE

The influence of exchange rate signals in an economy is very powerful and often pervasive. Moreover, sustained real exchange rate overvaluation will, by distorting resource allocation away from productive activities, eventually lead to drastic adjustments of relative prices and reduction of aggregate economic growth. However, the direct theoretical and empirical link between exchange rate misalignment and macroeconomic indicators still remains to be fully understood. Nonetheless, empirical studies continue to make attempts to understand this relationship by exploring relationships that incorporate different measures of exchange rate misalignment in traditional growth regression models. Based on a behavioural equilibrium exchange rate derived measure exchange rate misalignment, this paper presents an empirical analysis of the relationship between real gross domestic product growth and real exchange rate misalignment for Zimbabwe. After controlling for other structural and policy variables, the main findings demonstrate that exchange rate misalignment exerts a negative and highly statistically significant impact on growth. Overall, the results lend support to the hypothesis that chronic real exchange rate overvaluation was a key fundamental behind the post‐2000 economic growth contraction in Zimbabwe.     

均衡汇率理论研究综述

本文主要对西方均衡汇率理论进行梳理,简略介绍了几类理论模型。它们分别从不同角度对均衡汇率问题进行了研究。     

中国外汇储备积累实证研究

为了深刻理解我国外汇储备增长的原因并找出应对策略,本文用向量自回归方法研究了外汇储备积累的原因和机制。实证结果表明,中国实际利率高于外国、货币贬值、经济增长都是导致外汇储备增加的原因。短期内,实际利差、实际汇率、经济增长是影响外汇储备积累的主要因素;而在长期,开放度是影响外汇储备积累的决定性因素,这意味着国内贸易政策比经济活动对外汇储备积累有着更深层次的影响。其政策含义是:缓解外汇储备剧增对经济活动带来的不利影响,重要的是调整出口导向、吸引外资、结售汇等贸易政策,而非人民币升值。     

Foreign Direct Investment and Real Exchange Rate Interlinkages

This paper examines theoretically and empirically the relationship between Foreign Direct Investment and the real exchange rate. It is found that in large countries with freely floating currencies, such as the USA, the UK and Japan, causality runs from the real exchange rate to FDI. These results are consistent with the predictions of models of financial behavior. Causality runs both ways in small countries with fixed or quasi fixed currencies, such as the EU countries. These results are consistent with models, which emphasize on trade integration. It is shown that a weaker euro will not have uniform effects on FDI inflows across the unified Europe.     

The Exchange Rate Macroeconomic Balance Approach: New Methodology and Results for the Euro,the Dollar,the Yen and the Pound Sterling

This paper presents an extension of the macroeconomic exchange rate balance approach. This extension comprises two new aspects. Firstly, it is based on a multinational framework which allows for macroeconomic linkages between countries. Secondly, it uses a procedure that does not require a full modeling of the world economy to derive a consistent set of equilibrium exchange rates. The findings reveal that, in 2001, the dollar was overvalued against the euro and the yen. The paper also shows that this result depends heavily on the chosen notion of current account sustainability.     

Longevity,Fertility, and the Real Exchange Rate

We build a simple overlapping generation model to investigate the effect of life expectancy on the real exchange rate where fertility is chosen endogenously. The model reveals that, although the overall effect of life expectancy on the real exchange rate is not certain, longer life expectancy tends to cause the real exchange rate to depreciate by reducing fertility. Fertility thus serves as a mediator in the effect of life expectancy on the real exchange rate. Evidence from 148 economies (1980–2018) shows a statistically significant and robust negative relationship between life expectancy and the real exchange rate. It is estimated that a 1 year increase in life expectancy is associated with a 1.5 percent depreciation in the real exchange rate. The evidence also confirms the mediated effect of fertility. The mediated effect that fertility exerts accounts for 30 percent to 50 percent of the total effect, depending on the real exchange rate index used.     

人民币实际有效汇率波动对中国进出口贸易的影响

汇率是实现经济内外均衡的调控工具,研究其对进出口贸易的影响对制定宏观经济政策有重要指导意义。本文运用AR-GARCH模型和协整理论,分析了人民币实际有效汇率波动对我国进出口贸易的影响作用。结果表明,长期内人民币实际有效汇率波动与我国进出口之间存在协整关系,但短期内影响作用不显著。     

人民币实际有效汇率REER和美中贸易逆差的关系——基于1996-2005年季度数据的实证分析

文章利用中国1996- 2005年的季度数据,对中美双边贸易收支与人民币实际有效汇率之间的关系采用协整技术进行了实证研究,结果表明:REER与中美贸易收支之间不存在因果关系,短期内美国国内的收入水平和中国国内的收入水平与中美贸易收支之间存在因果关系,且前者对贸易收支的影响更大,所以,变更人民币汇率并不是改善美中贸易逆差的有效工具.