人民币名义均衡汇率估计——基于时变参数模型的实证分析
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摘要
利用时变参数模型,选择泰勒规则作为经济基本面因素,对2009年第二季度至2016年第二季度人民币兑美、日、欧元的名义均衡汇率及其失调程度进行测算。结果显示:2012年以前,人民币兑美、日、欧元的名义汇率整体上呈现低估状态,2012年以后,人民币兑美、日、欧元的名义汇率总体上处于高估状态。从汇率的失调程度来看,人民币兑美、日、欧元汇率的最高失调程度分别为5.56%、25.46%、13%。2015年"811汇改"以来,人民币兑美、日、欧元汇率高估幅度不断降低,但是当前仍有不同程度的贬值空间。今后,应当坚持汇率改革的主动性,不断修正人民币汇率的失调,但是要注意把握好人民币汇率调整的步伐和节奏,针对不同的货币进行差异化的调整。
In this paper, we use the time-varying parameter model and select the Taylor rule as economic fundamentals to calculate the nominal equilibrium exchange rate and degree of misalignment of RMB against US dollar, Japanese yen and Euro from the second quarter of 2009 to the second quarter of 2016. The results show that the nominal exchange rate of RMB against US dollar, Japanese yen and Euro was generally undervalued before 2012 and overvalued after 2012. From the degree of misalignment of the exchange rate, the highest degree of disorder of RMB against US dollar, Japanese yen and Euro were respectively 5.56%, 25.46% and 13%. Since the "811 exchange rate reform" in 2015, the degree of overvaluation of RMB against US dollar, Japanese yen and Euro exchange rate has been decreasing, but there is still a certain degree of depreciation space. In the future, we should adhere to the exchange rate reform initiatively, and constantly correct the RMB exchange rate imbalance. However, we should grasp the pace and rhythm of the RMB exchange rate adjustment and make different adjustments to different currencies.
In this paper, we use the time-varying parameter model and select the Taylor rule as economic fundamentals to calculate the nominal equilibrium exchange rate and degree of misalignment of RMB against US dollar, Japanese yen and Euro from the second quarter of 2009 to the second quarter of 2016. The results show that the nominal exchange rate of RMB against US dollar, Japanese yen and Euro was generally undervalued before 2012 and overvalued after 2012. From the degree of misalignment of the exchange rate, the highest degree of disorder of RMB against US dollar, Japanese yen and Euro were respectively 5.56%, 25.46% and 13%. Since the "811 exchange rate reform" in 2015, the degree of overvaluation of RMB against US dollar, Japanese yen and Euro exchange rate has been decreasing, but there is still a certain degree of depreciation space. In the future, we should adhere to the exchange rate reform initiatively, and constantly correct the RMB exchange rate imbalance. However, we should grasp the pace and rhythm of the RMB exchange rate adjustment and make different adjustments to different currencies.
引文
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[2]Swan T. Longer-run problems of the balance of payments [R]. Paper presented to Section G of the Congress of the Australian and New Zealand Association for the Advancement of Science, Melbourne, 1963.
[3]Williamson J. Estimating equilibrium exchange rates [M]. Kluwer Academic: Equilibrium exchange rates, 1994, 580-597.
[4]Frankel J A. On the renminbi: the choice between adjustment under a fixed exchange rate and adjustment under a flexible rate [J]. Social Science Electronic Publishing, 2005, 52(2): 246-275.
[5]张晓朴. 购买力平价思想的最新演变及其在人民币汇率中的应用[J]. 世界经济,2000,(09):10-18.
[6]杨长江,钟宁桦. 购买力平价与人民币均衡汇率[J]. 金融研究,2012,(01):36-50.
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[8]李泽广,Man-Wah Luke Chan. 基本面因素与人民币均衡汇率[J]. 统计研究,2012,(05):51-57.
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[10]施建淮,余海丰. 人民币均衡汇率与汇率失调:1991-2004[J]. 经济研究,2005,(04):34-45.
[11]唐亚晖,陈守东. 基于BEER模型的人民币均衡汇率与汇率失调的测算:1994Q1～2009Q4[J]. 国际金融研究,2010,(12):29-37.
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[14]Macdonald R. Long-run exchange rate modeling: A survey of the recent evidence [J]. IMF Economic Review, 1995, 42(3): 437-489.
[15]Engel C, West K D. Exchange rate and fundamentals [J]. Journal of Political Economy, 2005, 113(3): 485-517.
[16]Molodtsova T, Papell D H. Out-of-sample exchange rate predictability with taylor rule fundamentals [J]. Journal of International Economics, 2009, 77(2): 167-180.
[17]Molodtsova T, Papell D H. Taylor rule exchange rate forecasting during the financial crisis[J]. Social Science Electronic Publishing, 2012, 9(9): 55-97.
[18]Byrne J P, Korobilis D, Ribeiro P J. Exchange rate predictability in a changing world [J]. Journal of International Money & Finance , 2016, 62: 1-24.
[19]陈平,李凯. 人民币汇率与宏观基本面:来自汇改后的证据[J]. 世界经济,2010,(09):28-45.
[20]陈创练,杨子晖. “泰勒规则”、资本流动与汇率波动研究[J]. 金融研究,2012,(11):60-73.
[21]Mumtaz H, Sunder-Plassmann L. Time-varying dynamics of the real exchange rate: An empirical analysis [J]. Journal of Applied Econometrics, 2013, 28(3): 498-525.
[22]张文彬. 中国货币政策的区域经济稳定效应分析——基于2000-2008年省份月度数据的实证研究[J]. 财经研究,2010,(10):15-25.
[23]刘金全,张小宇. 时变参数“泰勒规则”在我国货币政策操作中的实证研究[J]. 管理世界,2012,(07):20-28.
[24]王培辉,袁薇. 人民币汇率的价格传递效应——基于时变参数模型的分析[J]. 经济科学,2010,(04):86-95.
[25]陈平,刘兰凤,袁申国. 基于汇率传递的中国进出口企业定价能力研究——时变参数状态空间模型[J]. 国际贸易问题,2016,(07):165-176.
[26]谢平,罗雄. 泰勒规则及其在中国货币政策中的检验[J]. 经济研究,2002,(03):3-12,92.
[27]陆军,钟丹. 泰勒规则在中国的协整检验[J]. 经济研究,2003,(08):76-85,93.
[28]张屹山,张代强. 前瞻性货币政策反应函数在我国货币政策中的检验[J]. 经济研究,2007,(03):20-32.
[29]张小宇,刘金全. “泰勒规则”在中国经济运行中的经验证据[J]. 财经研究,2010,(11):127-134.
[30]郑挺国,刘金全. 区制转移形式的“泰勒规则”及其在中国货币政策中的应用[J]. 经济研究,2010,(03):40-52.
[31]郑挺国,王霞. 泰勒规则的实时分析及其在我国货币政策中的适用性[J]. 金融研究,2011,(08):31-46.
[32]郭福春,潘锡泉. 开放框架下扩展泰勒规则的再检验——基于汇改前后及整体层面的比较分析[J]. 财贸经济,2012,(11):63-69.
[33]郭田勇. 资产价格、通货膨胀与中国货币政策体系的完善[J]. 金融研究,2006,(10):23-35.
[34]唐齐鸣,熊洁敏. 中国资产价格与货币政策反应函数模拟[J]. 数量经济技术经济研究,2009,(11):104-115.
[35]赵进文,高辉. 资产价格波动对中国货币政策的影响——基于1994-2006年季度数据的实证分析[J]. 中国社会科学,2009,(02):98-114,206.
[36]黄昌利,尚友芳. 资产价格波动对中国货币政策的影响——基于前瞻性泰勒规则的实证研究[J]. 宏观经济研究,2013,(01):3-10,37.
(1)欧元区选取的基准利率指的是主要再融资利率。
(2)本文失调程度计算公式为:失调程度=-(现实名义汇率-名义均衡汇率)/名义均衡汇率。失调程度大于0说明人民币被高估,失调程度小于0说明人民币被低估。
[2]Swan T. Longer-run problems of the balance of payments [R]. Paper presented to Section G of the Congress of the Australian and New Zealand Association for the Advancement of Science, Melbourne, 1963.
[3]Williamson J. Estimating equilibrium exchange rates [M]. Kluwer Academic: Equilibrium exchange rates, 1994, 580-597.
[4]Frankel J A. On the renminbi: the choice between adjustment under a fixed exchange rate and adjustment under a flexible rate [J]. Social Science Electronic Publishing, 2005, 52(2): 246-275.
[5]张晓朴. 购买力平价思想的最新演变及其在人民币汇率中的应用[J]. 世界经济,2000,(09):10-18.
[6]杨长江,钟宁桦. 购买力平价与人民币均衡汇率[J]. 金融研究,2012,(01):36-50.
[7]Isard P, Faruqee H. Exchange rate assessment: Extensions of the macroeconomic balance approach [Z]. IMF Occasional Papers, 1998.
[8]李泽广,Man-Wah Luke Chan. 基本面因素与人民币均衡汇率[J]. 统计研究,2012,(05):51-57.
[9]Clark P B, MacDonald R. Exchange rates and economic fundamentals exchange rates and economic fundamentals: A methodological comparison of beers and feers [Z]. IMF Working Paper, 1998.
[10]施建淮,余海丰. 人民币均衡汇率与汇率失调:1991-2004[J]. 经济研究,2005,(04):34-45.
[11]唐亚晖,陈守东. 基于BEER模型的人民币均衡汇率与汇率失调的测算:1994Q1～2009Q4[J]. 国际金融研究,2010,(12):29-37.
[12]Frankel J A. Monetary approach to exchange rate:Doctrinal aspects and empirical evidence [M]. UK: Palgrave Macmillan, Flexible Exchange Rates and Stabilization Policy, 1976: 200-224.
[13]Dornbusch R. Expectation and exchange rate dynamics [J]. Journal of Political Economy, 1976, 84(6): 1161-1176.
[14]Macdonald R. Long-run exchange rate modeling: A survey of the recent evidence [J]. IMF Economic Review, 1995, 42(3): 437-489.
[15]Engel C, West K D. Exchange rate and fundamentals [J]. Journal of Political Economy, 2005, 113(3): 485-517.
[16]Molodtsova T, Papell D H. Out-of-sample exchange rate predictability with taylor rule fundamentals [J]. Journal of International Economics, 2009, 77(2): 167-180.
[17]Molodtsova T, Papell D H. Taylor rule exchange rate forecasting during the financial crisis[J]. Social Science Electronic Publishing, 2012, 9(9): 55-97.
[18]Byrne J P, Korobilis D, Ribeiro P J. Exchange rate predictability in a changing world [J]. Journal of International Money & Finance , 2016, 62: 1-24.
[19]陈平,李凯. 人民币汇率与宏观基本面:来自汇改后的证据[J]. 世界经济,2010,(09):28-45.
[20]陈创练,杨子晖. “泰勒规则”、资本流动与汇率波动研究[J]. 金融研究,2012,(11):60-73.
[21]Mumtaz H, Sunder-Plassmann L. Time-varying dynamics of the real exchange rate: An empirical analysis [J]. Journal of Applied Econometrics, 2013, 28(3): 498-525.
[22]张文彬. 中国货币政策的区域经济稳定效应分析——基于2000-2008年省份月度数据的实证研究[J]. 财经研究,2010,(10):15-25.
[23]刘金全,张小宇. 时变参数“泰勒规则”在我国货币政策操作中的实证研究[J]. 管理世界,2012,(07):20-28.
[24]王培辉,袁薇. 人民币汇率的价格传递效应——基于时变参数模型的分析[J]. 经济科学,2010,(04):86-95.
[25]陈平,刘兰凤,袁申国. 基于汇率传递的中国进出口企业定价能力研究——时变参数状态空间模型[J]. 国际贸易问题,2016,(07):165-176.
[26]谢平,罗雄. 泰勒规则及其在中国货币政策中的检验[J]. 经济研究,2002,(03):3-12,92.
[27]陆军,钟丹. 泰勒规则在中国的协整检验[J]. 经济研究,2003,(08):76-85,93.
[28]张屹山,张代强. 前瞻性货币政策反应函数在我国货币政策中的检验[J]. 经济研究,2007,(03):20-32.
[29]张小宇,刘金全. “泰勒规则”在中国经济运行中的经验证据[J]. 财经研究,2010,(11):127-134.
[30]郑挺国,刘金全. 区制转移形式的“泰勒规则”及其在中国货币政策中的应用[J]. 经济研究,2010,(03):40-52.
[31]郑挺国,王霞. 泰勒规则的实时分析及其在我国货币政策中的适用性[J]. 金融研究,2011,(08):31-46.
[32]郭福春,潘锡泉. 开放框架下扩展泰勒规则的再检验——基于汇改前后及整体层面的比较分析[J]. 财贸经济,2012,(11):63-69.
[33]郭田勇. 资产价格、通货膨胀与中国货币政策体系的完善[J]. 金融研究,2006,(10):23-35.
[34]唐齐鸣,熊洁敏. 中国资产价格与货币政策反应函数模拟[J]. 数量经济技术经济研究,2009,(11):104-115.
[35]赵进文,高辉. 资产价格波动对中国货币政策的影响——基于1994-2006年季度数据的实证分析[J]. 中国社会科学,2009,(02):98-114,206.
[36]黄昌利,尚友芳. 资产价格波动对中国货币政策的影响——基于前瞻性泰勒规则的实证研究[J]. 宏观经济研究,2013,(01):3-10,37.
(1)欧元区选取的基准利率指的是主要再融资利率。
(2)本文失调程度计算公式为:失调程度=-(现实名义汇率-名义均衡汇率)/名义均衡汇率。失调程度大于0说明人民币被高估,失调程度小于0说明人民币被低估。