人民币均衡汇率研究

解释两个购买力平价的难题上,平滑门限自回归模型是到目前为止最成功的模型.STAR模型的非线性抓住了贸易中存在大量交易成本、外国投资中的沉没成本和代理人异质性这三点特质.使用STAR模型中的一个变体,指数化平滑门限自回归模型,研究1979-2006年中国的汇率变动情况.首先,用一个保证内外部都平衡的一般均衡模型来估计均衡汇率;然后,判断出对于中国汇率最好的ESTAR应该是一个一期滞后的模型.根据用最小二乘法得出的估计参数,模拟分析出一个程度在50％的冲击半衰期会稍微多于两年.也就是说,偏离均衡汇率10％以上就将会带来严重的套汇压力.

Research on RMB Equilibrium Exchange Rate

Smooth threshold autoregressive model （referred to as STAR） is by far the most successful model to explain the PPP （Purchasing Power Parity） puzzles. Nonlinear of STAR model captures the presence of a large number of transaction costs in trade, foreign investment in sunk costs and agents heterogeneity. This paper uses the modified version of STAR model： the exponential STAR, for short ESTSR, to study the changes in the exchange rate of China during the period 1979 -2006.＂ First of all, we have a guaranteed external balance general equilibrium model to estimate the equilibrium exchange rate. Then, we determine the exchange rate for the Chinese best ESTAR model should be a lag phase. We have estimated the parameters obtained by the least square method, simulation result shows that the impact of the degree of 50% shock pulse, half - life will be slightly more than two years. In other words, more than 10% deviation from the equilibrium exchange rate will bring serious pressure on arbitrage.