人民币行为均衡汇率及错位程度的测算研究

在比较各种均衡汇率理论优缺点的基础上,本文基于行为均衡汇率理论,应用多种计量经济方法实证分析了1978~2005年期间人民币实际汇率状况,估计出人民币行为均衡汇率,进而测算了人民币名义汇率和实际汇率错位情况。研究结果表明:从名义汇率错位情况来看,1994年以前的名义汇率都是高估的,1994年及以后的名义汇率是低估的,低估程度在2000年达到顶点,然后逐渐下降,2005年约低估9.4%。从实际汇率错位情况来看,1990年以前人民币实际有效汇率是高估的,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,到2005年,约低估21.5%。

The Study on Measuring RMB Behavioral Equilibrium Exchange Rate and Misalignment

After Comparing the merits and demerits of all kinds of theories of equilibrium exchange rate, based on the theory of behavioral equilibrium exchange rate, this paper estimates the behavioral equilibrium exchange rate and calculates the misalignments of nominal RMB and real RMB during the period of 1978～2005 applying modern econometric methodology. The results indicate that the nominal exchange rate of RMB was overestimated before1994, and it was undervalued after 1994, the situation of undervaluation gradually reduces after the undervaluation culminated in 2000, and it was undervalued about 9.4% in 2005. The results also indicate that the real exchange rate of RMB was overestimated before 1990, but after 1994, with the rapid increase in exports of china and continueing devaluation of Dollar, the situation of undervaluation gradually developed, and the real exchange rate of RMB was undervalued about 21.5% in 2005.