1994年以来中国长期均衡汇率的提取--基于Gonzalo-Granger长期共同成份分解方法

本文研究人民币长期均衡汇率的估计问题。从实际有效汇率的视角,在国内首次尝试采用国际先进的计量方法--Gonzalo-Granger(1995)的长期共同成份分解方法,引进了国外先进的均衡汇率决定模型--MacDonald(1998)模型来研究人民币均衡实际汇率,通过对宏观经济因素模型的分析,估计出与我国宏观经济内外均衡相一致的人民币长期均衡汇率。该研究对我国外汇管理当局制定中长期的汇率监控目标具有直接的指导意义;并对目前理论界关于人民币升值问题的探讨也具有一定的参考价值。

The Estimation of Permanent Equilibrium Exchange Rate of China since 1994

The main problem we have to solve in this thesis is to estimate the Permanent Equilibrium Exchange Rate (PEERs). The main goal is to find the PEERs consist with inside and outside macroeconomic equilibrium from the real effec-tive exchange rate, by analysis upon the Macroeconomic Balance Framework model. The innovation of this thesis lies emplo-ying the econometric methods, common long-memory components decomposition, inaugurated by Gonzalo and Granger (1995). Another innovation of this paper is the introduction of the latest equilibrium exchange rate models. This research helps the foreign exchange management authority supervise and control the long-term exchange rate. At the same time, it is al-so referential to the issue of RMB appreciation among the authorities and economists.