人民币实际汇率错位的经济效应实证研究

本文运用行为均衡汇率模型和协整理论,测算1984—2004年人民币实际汇率错位的季度状况,结果表明,人民币实际汇率在此期间经历了三个阶段的币值低估和两个阶段的币值高估。结合这21年间中国主要经济指标的增长率,划分阶段研究人民币实际汇率错位的经济效应,可以发现:较大幅度的实际汇率错位对涉外经济变量产生了比较明显的影响;而低幅度的实际汇率错位,不会对经济产生较大危害,经济系统本身可自动调节;另外,实际汇率错位对涉外经济变量的变动有非常好的解释作用,这反过来证明,对人民币实际汇率错位状况的测算是准确的。通过建立计量模型,从1984—2004年整体时段来研究人民币实际汇率错位的经济效应,结果表明,实际汇率错位对出口和进口都产生了显著的负面影响。

An Empirical Study on the Economic Effects of the Real Exchange Rate Misalignment of RMB

Using the behavior equilibrium exchange rate model and the cointegration theory to calculate the quarterly state of the real exchange rate misalignment of RMB from 1984—2004, the result shows that the real exchange rate of RMB experienced three stages' undervaluation and two stages' overvaluation during this period. By analyzing the growth rates of the Chinese main internal and external economic indicators in 21 years as well as studying the economic effects of the real exchange rate misalignment of RMB in various stages, it can be found that the serious misalignment significantly influenced the external economic variables but the small misalignment did not harm the economy. The economic system could automatically adjust itself. In addition, the misalignment can explain the growth of the external economic variables very well. Reversely, this verified that the calculation to the real exchange rate misalignment of RMB is precise. On the base of constructing econometric models to study the economic effects of the misalignment, the results shows that the misalignment produced significantly negative effects to export and import.