实际汇率与BS汇率的适用性对比研究

【作者】 蔡珞珈；

【导师】 姜波克；

【作者基本信息】 复旦大学 ， 金融学， 2010， 博士

【摘要】 作为国际金融领域一个重要的经济变量,实际汇率是一国参与国际经济活动时最主要的价格指标。与名义汇率相比,实际汇率不仅更能反映一国国际竞争力等实体经济层面的变化情况,同时也影响着一国宏观经济运行和国际收支状况。因此,研究实际汇率对于一国宏观经济政策制定具有重要的指导意义。在现有人民币实际汇率的相关研究中,以实际汇率作为标尺考察名义汇率变动是对于实际汇率的一个非常重要的应用。在名义汇率没有发生变动的情况下,两国物价水平的相对变动将使得实际汇率发生变化,从而使得名义汇率与实际汇率间发生了偏离,也就是名义汇率相对实际汇率高估或低估。目前广大学者在测算实际汇率时,使用最多的是基于购买力平价理论构建的外部实际汇率定义。该定义的测算是利用各种总体价格指数来反映一国商品和服务的本国价格,也就是一国货币的购买力。该测算方法之所以被普遍采用主要是出于两个原因：第一,数据可获得性高,目前世界各国政府都公布了该国当年各种总体价格指数的年度、季度和月度数据；第二,测算公式简单直接,只需要将两国或一国与多国之间的相对物价水平之比与名义汇率相结合,就可以得到实际汇率。与此同时,近年来,伴随着中国经济的持续快速增长,中国可贸易部门劳动生产率的大幅上升使得越来越多的学者开始关注巴拉萨-萨缪尔森效应的存在,并根据该效应的两部门划分对传统的购买力平价理论进行扩展。这种划分方式清楚的描述了巴拉萨-萨缪尔森效应的传导机制：由于一国两部门生产率的“国际相对增长”,在可贸易部门工资水平与生产率同步增长的情况下,可贸易品价格不发生变化,但不可贸易品价格会由于工资水平的提升而相应上升,从而使得该国不可贸易品与可贸易品的相对价格高于外国,最终导致该国实际汇率上升。本文利用巴拉萨-萨缪尔森效应的两部门划分,构建了能直观体现该效应的实际汇率——BS汇率。然而,该实际汇率的测算需要首先确定一国两部门划分,并进一步确定一国可贸易品和不可贸易品在该国全部商品中所占比重,因此测算过程较为繁琐。上述两种定义的实际汇率在测算方法上的差异决定了利用这两种实际汇率考察名义汇率偏离程度时也必然存在一定偏差。本文试图通过分别比较人民币实际汇率与名义汇率、人民币BS汇率与名义汇率的偏离程度,并进而直接比较人民币BS汇率与人民币实际汇率的差异程度,研究人民币实际汇率与人民币BS汇率在中国的适用性问题。与现有研究相比,本文在以下方面进行了部分尝试：第一,本文提供了一种有别于现有研究的全新视角来考察巴拉萨-萨缪尔森效应在中国的适用性问题。目前国内外研究巴拉萨-萨缪尔森效应时,往往采用放松假设前提进行模型拓展或以生产率作为解释变量分析一国两部门生产率变动或相对变动情况对于实际汇率的变化情况,以此考察巴拉萨-萨缪尔森效应在中国是否成立。而本文以人民币实际汇率和人民币BS汇率测算方法上的差异性为出发点,分别测算以其为标尺考察人民币名义汇率的失衡情况的差异情况,针对两种实际汇率测算方法存在差异和测算结果十分接近这一看似矛盾的事实,本文通过分析巴拉萨-萨缪尔森效应在中国的适用性予以解释。第二,本文有效填补了理论上的空白点,还具有较强的现实意义。在巴拉萨-萨缪尔森效应的应用方面,现有文献中仅有部分学者利用该效应对传统的购买力平价理论模型进行拓展,而很少有利用该效应进行实际汇率测算的研究。因此,本文构建的BS汇率有效填补了这一理论空白点。与此同时,本文的结论,也就是人民币实际汇率和人民币BS汇率适用性对比研究的结果也为今后我国政府的汇率政策制定及学者们实证研究具备良好的借鉴意义。围绕着本文的研究目标,本文以中美双边汇率为例,从人民币实际汇率、人民币BS汇率和名义汇率相互关系着手,对实际汇率与BS汇率的政策适用性进行了对比研究。全文共分六章：第一章是导论部分,主要对本文的选题背景与意义进行了介绍,并明确了本文的研究目标及范围,阐述了本文的技术路线与章节安排,指出了本文主要的研究方法与数据来源,最后概括了本文可能的创新点与不足之处。第二章对人民币实际汇率及人民币BS效应的国内外研究现状进行了系统梳理与回顾,并分析了现有研究对于本文的借鉴意义及存在的不足,同时还对人民币BS汇率测算及BS效应适用性分析中需要使用的两部门分类和生产率概念进行了介绍,明确了本文研究时所要选用的标准及定义。第三章主要研究人民币实际汇率与名义汇率。第一节对实际汇率存在的多种定义进行了逐一介绍,并选择了中美双边外部实际汇率作为本文测算人民币实际汇率和BS汇率时的定义。第二节重点介绍了外部实际汇率的三种测算方法,即：支出法、成本法和贸易品衡量,同时对代理变量法内部实际汇率也进行了简要介绍,并比较了四种测算方法的利弊。在此基础上,本文采用支出法和成本法测算了人民币实际汇率,将支出法确定为与人民币BS汇率进行比较的对象。第三节分析了人民币名义汇率与实际汇率的各自走势,在对差异性检验明确定义的基础上,从三个方面检验了两者间的差异。第四章主要研究人民币BS汇率与名义汇率。第一节较为全面地对BS效应进行了介绍,包括其理论渊源、理论描述及数理模型,并给出了传统的BS汇率定义表达式。第二节在明确本文BS汇率定义的基础上,简要分析了BS汇率的测算方法,并在利用De Gregorio、Giovannini and Wolf (1994)对两部门进行分类的基础上,确定了中美两国可贸易品在其全部商品中所占比重,进一步利用价格指数及名义汇率,测算了人民币BS汇率。第三节对人民币BS汇率的走势进行了分析,并同样从三个方面检验了人民币BS汇率与名义汇率之间的差异。第五章对人民币实际汇率和BS汇率进行对比研究。第一节首先从偏离度和拟合程度两个维度对上文两种差异性检验的结果进行对比,结果发现：与人民币BS汇率和名义汇率的差异相比,人民币实际汇率和名义汇率的差异更小,但总体而言,两个差异即偏离程度是十分接近的。随后通过进一步分析人民币实际汇率和BS汇率之间的相关关系,发现两者高度相关。针对这一比较结果,第二节分别考察了中美制造业劳动生产率的相对增长情况和中国制造业工资水平与劳动生产率的相对增长情况,指出中国工资水平并没有随劳动生产率同比例上涨是人民币实际汇率与人民币BS汇率的数值差异较小的主要成因。第三节通过进一步的中国国情基础分析,指出造成中国工资水平变动情况、即巴拉萨-萨缪尔森效应在中国不显著的主要原因将长期存在,因此今后可以直接采用人民币实际汇率来考察名义汇率的高低估程度。第四节是本章小结。第六章总结了全文的主要结论。更多还原

【Abstract】 As a major economic variable in the field of international finance, the real exchange rate is the most leading price indication when a country is engaged in international economic affairs. Compared with the nominal exchange rate, the real exchange rate not only directly reflects the change of real economic conditions of a country, but also influences one’s marcoeconomy and balance sheet. Hence, the study of the real exchange rate is very eventful for making macroeconomic policies of a country. In existing researches of the real exchange rate of RMB, the application that the real exchange rate is used as a benchmark to examine the movement of the nominal exchange rate is of great importance. When the nominal exchange rate keeps constant, the relative price-level change of the two countries will cause the real exchange rate to change, which makes the real exchange rate deviate from the nominal one. And this is the nominal exchange rate’s overvaluation or undervaluation relative to the real exchange rate.Currently, most of scholars use the external real exchange rate definition built up on PPP theory to estimate the real exchange rate. This definition of real exchange rate uses various total price indexes to show the domestic price of commodities and service of a country, which is the purchase power of the domestic currency. This calculation method is generally accepted since the data is easy to get and the calculation equation is quite simple.Meanwhile, with the notable growth of Chinese economy, the substantial increase in productivity of the tradable sector in China attracts many scholars’attention to the existence of the Balassa-Samuelson effect, and they extend the PPP theory according to the two-sector classification of this effect. This classification clearly describes the transmission-mechanism of BS effect: because of the rapid growth of dual productivity, if the wage of the tradable sector increases with the productivity synchronously, the price of tradable goods keeps constant while the price of non-tradable goods increases. In this case, the country’s general price level which is consisted of both the tradable and non-tradable goods becomes higher than that of the foreign country. Thus, the real exchange rate of this country rises up eventually. This paper builds up the real exchange rate-BS exchange rate reflecting this effect intuitively by the use of the two-sector classification of BS effect. However, the calculation process is rather complicated. We need to identify the two-sector classification and define the weights of the tradable and non-tradable goods in all the commodities in the country. Different methods in calculating of the two real exchange rates make the difference when they are used to estimate the extent of deviation of the nominal exchange rate. This paper tries to analyze the feasibility of both the RMB real exchange rate and RMB BS exchange rate in China by comparing the deviation of RMB real exchange rate from nominal exchange rate with the deviation of RMB BS exchange rate from nominal exchange rate, and the difference between the RMB BS exchange rate and the RMB BS exchange rate as well.Compared with the existing researches, this paper does the following trials:Firstly, this paper provides a new perspective to examine the feasibility of BS effect in China. In order to test the existence of BS effect, the researchers usually extend the BS model by relaxing the hypothesis or set the productivity as explanatory variable as to find out the relationship between the change or relative change of the productivity of two-sector and the change of real exchange rate. Based on distinct calculation methods, this paper examines the difference of disequilibrium between using the benchmark of the real exchange rate of RMB and the BS exchange rate of RMB. As for the paradox that the different calculation methods have similar results, this paper provides an explanation by analyzing the feasibility of the BS effect in China.Secondly, the objective of this paper not only fills in the blank academically, but also has strong practical implications. At present, only a few scholars make use of BS effect to extend the PPP model and few of them utilize it to study the real exchange rate calculation. Hence, the theoretical blank in the existing researches will be filled by the BS exchange rate established by this paper effectively. Also, the conclusion of this paper, the result of the comparison on feasibility of the RMB real exchange rate and RMB BS exchange rate policies, provides a good reference for the future development of our government’s exchange rate policy and the scholars’academic study.Based on the research objective, taking the Sino-US exchange rate for example, this paper compares the feasibility of both the real exchange rate and BS exchange rate policies, and focuses on the relationship among the real exchange rate, the BS exchange rate and nominal exchange rate of RMB. It is comprised of six chapters:As an introductory section, Chapter I introduces the topic’s background and its implication, defines the objective and scope of this paper, states the technical route and the breakdown of the chapters, points out the research methods and data sources, and summaries the innovations and shortcomings of this paper.The sectionⅠandⅡin ChapterⅡreview the existing study of the real exchange rate of RMB and the RMB BS effect systematically, and analyze the reference implication and flaws of existing researches. And sectionⅢdescribes the classification of two-sector and the concept of productivity and clarifies the standards and definitions to be used in this paper.ChapterⅢfocuses on the study of the real exchange rate and nominal exchange rate of RMB. In SectionⅠ, various definitions of the real exchange rate are introduced, and the Sino-US bilateral external real exchange rate is selected as the definition when calculating the real exchange rate and BS exchange rate of RMB. In sectionⅡ, three external real exchange rate calculation methods are introduced, which are the expenditure method, cost method, and tradable goods measurement method. This section also introduces the internal real exchange rate by proxy variable and compares the pros and cons of four methods as well. Based on this, this paper estimates the real exchange rate using the expenditure approach and the cost approach, and defines the result derived from expenditure approach as the comparative object of the RMB BS exchange rate. SectionⅢanalyzes the trends of the nominal exchange rate and real exchange rate of RMB respectively, and tests the differences of both from three dimensions based on a clear definition of the difference test.ChapterⅣfocuses on the study of the RMB BS exchange rate and nominal exchange rate. SectionⅠintroduces the BS effect comprehensively and provides the expression of the BS exchange rate definition. SectionⅡbriefly clarifies the definition and introduces the calculation method of the BS exchange rate, and identifies the weights of tradable goods among all the commodities in both China and USA on the base of the two-sector classification by De Gregorio、Giovannini and Wolf (1994), and measures the RMB BS exchange rate by the use of price indexes and the nominal exchange rate. SectionⅢanalyzes the trend of RMB BS exchange rate and tests the difference between the BS exchange rate and nominal exchange rate of RMB from three dimensions based on a clear definition of the difference test.ChapterⅤfocuses on the comparative study of the real exchange rate and BS exchange rate of RMB. In SectionⅠ, the results of two tests are compared from the degree of deviation and closeness of fit. It is noted that the divergence between the BS exchange rate and the nominal exchange rate of RMB and the divergence between the nominal exchange rate and the real exchange rate of RMB are very close. The further research shows that the real exchange rate and BS exchange rate of RMB are highly related. SectionⅡexamines the relative increase of manufacturing productivities in both China and US and the relative growth of the wage and productivity in Chinese manufacturing sector. It is indicated that the main reason for the little difference between the real exchange rate and BS exchange rate of RMB is Chinese wage-level disproportional increase with the rise of productivity. Section III analyzes the specific conditions of China, and points out that the reason for insignificance of BS effect will exist for a long time. Hence, we can use the RMB real exchange rate directly to examine the degree of overvaluation or undervaluation of RMB nominal exchange rate. Section IV is the summary of this chapter.Chapter VI summarizes the key conclusions of this paper.更多还原