【作者】 唐亚晖；

【导师】 陈守东；

【作者基本信息】 吉林大学 ， 数量经济学， 2011， 博士

【摘要】 在我国改革开放的进程中,人民币汇率与国内物价水平之间出现了多次背离。是什么原因导致汇率与物价这一对反映货币价值的孪生变量背道而驰?这种背离对货币当局的政策制定与实施产生了怎样的冲击?为了解开疑惑,探讨人民币汇率与国内物价之间的长期关系显得非常必要。然而当作者试图沿着人民币汇率制度改革的历史脉络去探寻二者的关系时,却发现当前人民币汇率与国内物价之间的关系只是表象上的。人民币汇率失调与物价水平变动之间的内在联系是导致二者出现背离的深层次原因。这种联系体现为汇率低估与通货膨胀并存,而汇率高估与通货紧缩并存。以人民币汇率失调与物价水平变动之间的关系为研究对象,更有助于揭示当前汇率与物价走势背离的深层次原因,并能够针对问题所在提出更有效的政策建议。基于这样的考虑,本文沿着如下脉络展开研究。本文共分七章,第1章引言部分交代了本文的选题背景、研究意义、研究现状、论文的研究方法等。第2章评述了购买力平价理论、基本要素均衡汇率理论、行为均衡汇率理论等均衡汇率与汇率失调的理论和测算方法,经过对比分析选择以BEER方法测算人民币均衡汇率。第3章根据BEER模型的需要选择劳动生产率等六个基本经济变量作为解释变量,构建人民币行为均衡汇率理论方程,运用协整分析方法分别以1980~2009年的年度数据及1994~2009年的季度数据对人民币行为均衡汇率协整方程进行了估计,并据此计算人民币均衡汇率及汇率失调程度。基于年度数据和季度数据的测算结果的对比显示,在相同的时间段内,即1994~2009年期间,均衡汇率走势及汇率失调程度十分相近。基于年度数据的结果显示1980~1994年间,人民币汇率失调程度较高。1980~1982年间人民币实际有效汇率处于低估状态,接下来三年处于高估状态。1986~1994年间实际有效汇率长期处于低估状态。基于季度数据进行的实证分析测算结果显示自1994年至今人民币长期均衡汇率存在着一个总体上升的趋势,原因在于我国人均GDP相对世界人均GDP的比值呈持续上升之势。测算结果表明在观测期人民币实际有效汇率交替出现低估与高估的现象,但是人民币实际有效汇率与长期均衡汇率之间的长期趋势是吻合的,总体上不存在严重的汇率失调。第4章回顾了人民币汇率制度改革进程以及我国物价水平变动情况。1994年外汇管理体制改革之前,人民币汇率处于高度管制状态,汇率水平与我国经济状况脱节。自1994年以来,人民币汇率制度市场化程度逐渐提高,汇率变动对我国国内经济及对外经济的影响力不断提升。随着我国经济对外依赖程度的提高,外部需求的变化通过人民币汇率传递对我国国内物价水平的影响日趋显著。1978年改革开放以来,我国经历过多次通货膨胀,分别发生在1980年、1984~1989年、1993~1995年、2003~2008年。1998~2002年我国还出现了长达5年的通货紧缩,2008年下半年受次贷危机引发的全球金融危机影响,我国物价指数持续下降,再次出现了通货紧缩的迹象。第5章对汇率失调与物价水平关系进行了理论探讨和分析,以汇率传递理论作为研究我国汇率传递问题的基础,结合汇率的变动分析了汇率传递的机制和汇率失调对物价水平的影响机制。第6章实证分析汇率失调对我国国内物价水平的影响。通过对样本期间人民币汇率失调与国内物价水平变动的考察发现二者之间存在着较为明确的对应关系,即通货膨胀对应汇率低估,通货紧缩对应汇率高估。格兰杰因果关系检验的结果表明,汇率失调是我国物价水平变动的格兰杰原因,反过来,我国物价水平变动不是汇率失调的格兰杰原因。我国物价水平变动的主要影响因素是其自身的冲击,汇率失调与我国物价水平变动呈反向。基于VAR模型的人民币实际有效汇率传递效应研究结果表明,人民币实际有效汇率对国内价格的传递是负向的并且是沿着价格链递减的,对进口价格的传递程度最高,对工业品出厂价格的传递程度次之,对消费价格的传递程度最低。方差分解结果表明在众多变量中汇率变动对价格的冲击影响力度较弱。汇率传递存在明显的时滞,进口价格传递时滞为5个季度、工业品出厂价格与消费价格传递时滞均为6个季度。进一步基于非线性门限误差修正模型的研究结果表明,人民币实际有效汇率与消费价格指数之间存在着非线性协整关系。第7章针对人民币汇率失调与国内物价水平关系的研究结果,提出相应的政策建议。首先,人民币实际有效汇率不存在的严重失调的状况,近期人民币汇率低估程度只有3.59%,因此,从实际有效汇率角度考虑货币当局无需对人民币汇率实施大幅度调整。而应抓住当前的契机深化汇率制度改革。其次,调整外向型经济发展战略,降低对外依赖程度。将经济增长的动力更多地转向国内消费上。最后,加强资本流动监控,严控热钱流出入,消除人民币升值的非理性预期,特别要处理好治理通胀与人民币升值之间的关系。更多还原

【Abstract】 In the process of China’s reform and opening, there are a number of divergences between the RMB exchange rate and the domestic price. What causes the twin sides of the monetary value on the opposite road? How the divergent affect the monetary authority’s policy and its implementation? In order to solve the doubt, it is necessary to research the long-term relationship between the RMB exchange rate and the domestic price. However, when the author attempts to explore the relationship in context of the RMB exchange rate regime reforming, but found the relationship between current RMB exchange rate and domestic price is only an appearance. The intrinsic link between RMB exchange rate misalignment and changes in price levels is the deep-seated reasons. This link appears to be the contemporary existence of exchange rate devaluation (or overvaluation) and inflation (or deflation). To chose the relationship between RMB exchange rate misalignment and changes in price levels to be the research object, it is not only helpful for revealing the deep-seated reasons but also for making more effective policy recommendations. Based on this consideration, this paper makes a study along the following context.This paper is divided into seven chapters, chapter I give introduction of the research background, significance, research status and the methods.Chapter II reviews the equilibrium exchange rate and exchange rate misalignment theory and measurement methods such as the purchasing power parity theory, the fundamental equilibrium exchange rate theory, behavioral equilibrium exchange rate theory etc. through comparative analysis, we selected BEER to be the methods.Chapter III following the need of BEER model we select six fundamentals such as labor productivity to be explanatory variables, and construct a theoretical equation of RMB behavioral equilibrium exchange rate, using cointegration analysis based on yearly data of 1980-2009 data and quarterly data 1994-2009, we get the equation of Behavioral Equilibrium Exchange Rate of RMB and calculate the Equilibrium Exchange Rate and Misalignment level. The estimates results based on yearly data and quarterly data show that the trend of equilibrium exchange rate and exchange rate misalignment is very similar during the period of 1994 to 2009.Based on the results of yearly data from 1980 to 1994, the RMB exchange rate misalignment is higher. From 1980 to1982, real effective exchange rate of RMB is undervalued, overvalued the next three years and undervalued during 1986 to 1994.The estimated results based on quarterly data show that there is an overall upward trend of long-term equilibrium exchange rate of RMB lies in that the ratio of Chinese per-capita GDP relative to the world per-capita GDP makes a rapid rise. The RMB REER sometimes devalued and other times overvalued, but its trend is consistent with the EREER, means that there is no serious misalignment.Chapter IV we reviews the process of the RMB exchange rate regime reform and China’s price level changes. Before 1994, foreign exchange management system reform, the RMB exchange rate was rigid, and deviated from China economic conditions. Since 1994, the market degree of the RMB exchange rate gradually increased, exchange rate movements and foreign economic had more influence on our domestic economy. As the higher China’s economy openning degree, changes in external demand did more effects on China’s price level from exchange rate pass-through. Since the 1978 reform and opening up, China has experienced many times of inflation, respectively, in 1980, 1984~1989, 1993~1995, from 2003~ 2008. In 1998 to 2002, China has also appeared deflation. Since 2008 subprime mortgage crisis, China’s price index continued to decline, deflation once again.Chapter V we give the theoretical analysis of the impact that exchange rate misalignment make to domestic prices based on pass-through theory.Chapter VI we make emprical analysis of the exchange rate misalignment effects on domestic prices. We find there is corresponding relations between the two variables during sample period. That an undervalued exchange rate via inflation, overvalued exchange rate via deflation. Granger causality test results show that exchange rate misalignment is the Granger cause of the price changes, in turn, price changes is not a Granger cause of exchange rate misalignment. Exchange rate misalignment and the price changes was the reverse in China. The real effective exchange rate pass-through based on VAR model show that the real effective exchange rate pass-through on domestic prices is negative and decreasing along the price chain, pass-through on import prices is the highest, the second one is that on producer price and the lowest one is that on consumer prices. There are lags of pass-through. For import price it is 5 quarters, industrial producer prices and consumer prices are 6 quarters. The variance decomposition results in the VAR model show that exchange rate changes impact on prices is weak corresponding to other variables. Further, results based on the nonlinear threshold error correction model show that there is non-linear cointegration between the real effective exchange rate and consumer price index.Chapter VII provide some corresponding policy recommendations according to the analysis results. Firstly, there is no serious misalignment of real effective exchange rate, recently, the RMB exchange rate is only 3.59% undervalued so that the monetary authorities have no need to change the level of RMB exchange rate. They should seize the current opportunity to deepen the exchange rate system reform. Secondly, China should adjust export-oriented economic development strategy, reduce the degree of external dependence, switch the driving force of economic growth more towards domestic consumption. Finally, strengthen the capital flows monitoring, and control hot money flow, eliminate the non-rational expectations of RMB appreciation. In particular, handle well the relationship between the RMB appreciation and inflation control.更多还原