实际汇率与居民消费风险分担的动态关系——基于预期的视角

通过考虑居民预期行为的作用，实际汇率与居民消费风险分担的动态关系是一个附带预期的渐进调整过程。在利用东亚9个主要经济体的数据对该关系进行研究后发现：（1）东亚各国居民之间的消费风险分担程度较低，但是从2000年之后，居民消费风险分担程度在逐渐提高；（2）实际汇率变动基本上没有平滑东亚各国（地区）居民的消费变动；（3）持有静态预期行为的居民朝向长期消费风险分担均衡的调整程度较小，并且该调整速度较慢，同时持有理性预期行为的居民、持有适应性预期行为的居民背离长期消费风险分担均衡的调整程度较大，并且该调整速度较快，这是造成非完全消费风险分担均衡的重要原因。

Dynamic Relationship between Real Exchange Rate and Residents' Consumption Risk Sharing: Based on the Perspective of Expectation

International consumption risk sharing theory point out that under the complete financial market hypothesis, there is a close linkage between real exchange rate and residents' consumption relative changes in the equilibrium. But currently most empirical studies show that this relationship can not be confirmed by using the international macroeconomic data. As a result, many researchers have questioned the hypothesis of the completeness of the financial market and put froward the incomplete financial market hypothesis. However, with the continuous development of financial market integration in East Asia, the possibility of the complete financial market condition largely exist among the countries in East Asia. If there is no (or low) linkage between the real exchange rate and residents' consumption risk sharing among East Asian countries, the non financial market factors(such as irrational expectation behavior) may affect the degree of this linkage. Under the background of East Asian financial market integration, this paper just consider the role of residents' expectation behaviors. It obtains that the dynamic relationship between real exchange rate and residents' consumption risk sharing is a gradual adjustment process with expectation behaviors. In other words, the expected behavior by residents may cause a deviation from the equilibrium position for that relationship. Most importantly, different expected behaviors(static expectation, adaptive expectation and rational expectation) would result in different dynamic adjustment consequence. After researching the relationship using multinational data from 9 major East Asian economies, it finds that, (1) The degree of consumption risk sharing among the residents of East Asian countries is low, but since 2000, the degree of consumption risk sharing has gradually increased; (2) Changes in the real exchange rate basically do not smooth out residents' consumption movements in East Asian countries; (3) The proportion of residents with static expected behavior toward long-term consumption risk sharing equilibrium is less adjusted, and the adjustment speed is slower, while the residents with rational expectation behavior and those with adaptive expectation behavior from the adjustment degree of long-term consumption risk sharing equilibrium is more deviated, and the adjustment speed is faster, which are important reasons for the equilibrium of incomplete consumption risk sharing.