【作者】 徐晖；

【导师】 何泽荣；

【作者基本信息】 西南财经大学 ， 金融学， 2008， 博士

【摘要】 汇率是宏观经济体系中最为重要的价格变量之一。汇率是调节国民经济内外均衡的杠杆,是国际金融领域最重要的政策工具。真实汇率(Real Exchange Rate),通常还被称为实际汇率,是汇率问题研究的一个核心实证概念,它几乎是所有与汇率问题相关实证研究的基础。真实汇率是经过相对价格水平调整的名义汇率,是体现一个经济体的商品和国际竞争力的重要指标,对中国这样一个在开放经济条件下经济快速增长的大国来说,真实汇率反映国家经济基本面,同时又调节着内外经济关系。1994年1月1日,我国的外汇管理体制进行了重大的改革,人民币官方汇率与外汇调剂市场汇率并轨,实行了“以市场供求为基础的、单一的、有管理的浮动汇率制”。在此期间,在内部经济环境方面,中国经历了近30年年平均9.63%的高速经济增长,国内经济先后经历了通货膨胀—通货紧缩—通货膨胀压力的轮回;在外部经济环境方面,中国既经历了东南亚金融危机期间要求人民币汇率贬值的压力,也经历了2002年以来,美国、日本等国要求人民币汇率升值的压力。人民币汇率政策争论表面看是围绕名义汇率调整问题进行的,但是其实质问题在于真实汇率是否失衡。经济增长和开放经济环境融合程度越深入,真实汇率的调节作用就越重要。对中国真实汇率的决定与评价需要在特定的汇率制度下构建正确的真实汇率理论框架和分析视角。本文以真实汇率为研究对象和分析视角,在经济增长和对外开放的双重背景下,构建了一个完整的人民币真实汇率分析框架:第1章导论;第2章真实汇率理论和中国数据的测算和解析,是论文研究的基础;第3章至第5章分别实证研究人民币真实汇率的长期走势、中期定值和真实汇率在国际贸易收支中的调节作用,是论文研究的重点。第6章介绍了日本、德国在经济崛起时期面临汇率升值压力下货币走强的过程,运用修正的蒙代尔—弗莱明模型对当前名义汇率升值条件下的中国宏观经济政策搭配效果进行了研究,并提出了相应的政策建议。各章内容摘要如下:第1章主要介绍论文的选题意义、国内外文献回顾、研究内容、研究方法、论文创新和不足之处、以及核心概念的界定等内容。第2章对改革开放以来人民币汇率制度的历史演进进行了描述,以提供真实汇率研究的制度背景。对真实汇率的概念、分类及测算方法进行了系统的论述和分类测算。接着,选择美国、加拿大、澳大利亚、德国、法国、英国、意大利、荷兰、俄罗斯,日本、香港、韩国、台湾、马来西亚、印度尼西亚、新加坡等16个国家和地区作为测度人民币真实有效汇率的主要贸易伙伴,在对样本、权重和测算模型的科学选择基础上,对1994年1季度—2005年2季度的人民币真实有效汇率进行了测算,并对测算结果进行了基于价格因素和国别(地区)因素的结构性解析。第3章介绍了巴拉萨—萨缪尔森假说的理论发展和理论模型,构建了中国、美国两国贸易品和非贸易品部门劳动生产率的季度数据。遵循巴拉萨-萨缪尔森假说的理论分析逻辑,分别检验了人民币真实汇率的巴拉萨—萨缪尔森效应的国内机制和国际机制。实证检验的结果表明,中国劳动生产率部门差异(相对变动)能够解释中国内部真实汇率的变动,中国国内版的巴拉萨-萨缪尔森效应存在。进一步检验发现,中国、美国相对部门劳动生产率差异(相对变动)能够解释中美两国双边真实汇率的变动,国际版本的巴拉萨-萨缪尔森效应存在。第4章介绍了均衡汇率理论的发展和行为均衡汇率理论模型,引入劳动生产率、贸易条件、广义货币供应量、净对外资产、开放度等五个经济基本面变量,采用1994年1季度至2005年2季度的数据,运用行为均衡汇率理论模型测算了人民币均衡真实汇率和真实汇率错位程度。研究表明:样本区间劳动生产率、贸易条件、货币供应量、净对外资产、开放度都是人民币均衡真实汇率的重要长期决定因素。第5章介绍了汇率的弹性贸易收支理论发展和理论模型。运用总量弹性分析法研究了人民币真实有效汇率对中国总体贸易收支的影响,研究结果表明,马歇尔—勒纳条件在我国是成立的。运用双边弹性分析法分别对中国:美国,中国:英国,中国:日本,中国:法国,中国:德国,中国:意大利,中国:加拿大七组双边真实汇率的关系进行检验,研究结果表明,在七组双边真实汇率对双边贸易收支的关系中,对应于不同的贸易伙伴,人民币真实汇率弹性存在明显的不对称性。这种不对称性既取决于国别间收入弹性的差异,也取决于国别间人民币相对价格的不对称性。第6章从横向国际比较的维度,介绍了日本、德国这二个经济大国在经济崛起时期面临汇率升值压力下货币走强的过程。分析了1994-2005年间人民币/美元双边真实汇率的决定和其间中国货币政策和汇率政策的效果。接着,在现行的2005年7月21日汇率制度改革的框架下,对人民币真实汇率上升的路径进行了研究。结合当前宏观经济形势,运用修正的蒙代尔—弗莱明模型对名义汇率升值条件下的宏观经济政策搭配效果进行了研究,并提出了相应的政策建议。更多还原

【Abstract】 Exchange rate is one of the vital price variables in the macroeconomic system, a lever to adjust the balance of national economy, also the most important political tool in the international finance. Real exchange rate is one of the core concepts in the empirical research of financial problems. It is the basis for all researches to the problems that related to exchange rate. Real exchange rate, a nominal exchange rate after adjustment to related price index, is an important index to reflect the international competitiveness of an economic entity. Real exchange rate reflects the basic aspect of the national economy and also balancing the internal and external economic relations to the fast growing China.On January 1st of 1994, a vital reform swept the foreign exchange control system of our country. The official exchange rate and the foreign currency swap market exchange rate were unified. The managed floating exchange rate system based on market supply and demand was implemented. During the same period, China had an average 9.63 percent economy growth in the past thirty years. Internally, the country’s economy experienced the circular of inflation--deflation--inflation. Externally, China witnessed the pressure of the deflation of RMB during the SEA crisis, as well as the pressure of appreciation of RMB put by the western countries.The real problem of the argument of the RMB exchange rate policy lies in whether the real exchange rate is well balanced though most of the arguments are focused to the nominal exchange rate. The more economic growth along with open climate, the more important adjusting function role the real exchange rate plays. With the establishment of the theoretical framework for exchange rate and a proper perspective in the special exchange rate system, the real exchange rate for RMB can be determined and evaluated. This article describes an integrated analysis framework for the real exchange rate, taking into consideration the economic growth and opening up. The first chapter is the preface and the following chapter tells the readers the definition, different sorts and evaluation of the real exchange rate, the basis for the research. The following three chapters consist of the long-term trend, mid-term definition and the adjusting role that the real exchange rate played in the trade balance. These three chapters are the main parts of the research. The last chapter Raised policy proposals after study the effectiveness of policy combination of the macro-economy policies by using the widened Mundell-Flemming Model.The abstract for every chapter is shorted as below:The first chapter is composed of the significance of the thesis, the documents within china and abroad, contents researched, researching method, the merits and deficits of the paper, the core problem, etc.The second chapter begins with the description of the history for the exchange rate of RMB; it described the concept of real exchange rate, categories, as well as the calculations. It calculated the real effective exchange rate of RMB from Q1’94 to Q2’05, as well as analyzed the calculation result based on the price index and the strcture of region, based on the assumption of select 16 countries as main business partners including US, Canada, Australia, Germany, France, UK, Italy, Holland, Russia, Japan, Hong Kong, Korea, Taiwan, Malaysia, Indonesia, and Singapore.The third chapter introduced the theory and the development of the Balassa-Samuelson Hypothesis (“BSH”below). It established the quarterly data of the tradable sector and nonetradable sector between China and US. From the analysis of BSH effectiveness of domestic and international mechanism of the RMB real exchange rate, it concluded the existing of China version of BSH, and the relative labor productivity growth of tradable/nontradable sector in China explained the moving of internal real exchange rate. Using USA as the benchmark country,it measures two-countries relative Labor Productivity of tradable/ nontradable sector and real exchange rate in the period.The evidence has been found to support the linkage between two-countries productivity differences and RMB real exchange rate during the period.Balassa-Samuelson Effect is significant in China.The fourth chapter introduced the development of the theory of equilibrium exchange rate and the model of Behavioral Equilibrium Exchange Rate(“BEER”below), introduced five fundamentals economical factors ,the term of trade (“TOT”below),net foreign asset (“NFA”below), monetary aggregates(“M2”below), the productivity(“Prod”below) , openness(“Open”below).Worked out the RMB BEER and the misalignment of real exchange rate based on the data from Q1’94 to Q2’05 by using BEER model. Concluded that Prod, TOT, M2, NFA, and Open are the long term key criteria to decide the RMB BEER.The fifth chapter introduced the development of the elasticity approach to balance of payments. Studied how the RMB real exchange rate impacts to the general China trade balance by using the total elasticity analysis method, and concluded that the Marshall-Lerner Condition is obvious true in China. Studied the elasticity bilateral analysis of China vs US, China vs UK, China vs Japan, China vs France, China vs Germany, China vs Italy, China vs Canada, and concluded the existing of the im-parallel of RMB real exchange rate among the different trading partner. This im-parallel depends on both difference of elasticity of income and the relative price of RMB between countries.The sixth chapter introduced the history how Japan and Germany got their currency stronger under the pressure of currency appreciation during their economy growth. It studied the decision of Bilateral External Real Exchange Rate of RMB/USD during 1994-2005, and the effectiveness of the monetary policy and exchange rate policy during the period. Also analyzed the path of RMB real exchange rate rising after the July 21, 2005. Raised policy proposals after study the effectiveness of policy combination of the macro-economy policies by using the widened Mundell-Flemming Model.更多还原