国际产业竞争视角下的一国实际汇率形成机制

【作者】 谢谦；

【导师】 刘军梅；

【作者基本信息】 复旦大学 ， 世界经济， 2011， 硕士

【摘要】 汇率的话题一直是国际金融的核心和热门课题,其相关话题是国际经济学要尝试解决的但是尚未给出完美答案的领域。从国外的经典的研究来看,目前汇率的定价和形成机制大概就有两个不同出发点的研究,即宏观出发和微观市场出发。由于近年来人民币汇率问题一直是举国上下的热门问题,所以我国学者也在此话题上耗费了大量的时间和精力,学术界呈现百家争鸣的状态。本文从国际产业分工和产业竞争力的视角出发,试图解开实际汇率和宏观经济的关系这个谜团,得出实际汇率形成的一般机制。通过对国际产业分工、产业竞争力、名义汇率和实际汇率等的理论分析后,作者得出了从产业竞争力视角出发分析实际汇率形成机制的“八步逻辑法”。而后,笔者进一步将“八步逻辑法”应用于人民币实际汇率形成机制的分析,得出我国中低端制造业的国际竞争力的提升是人民币实际汇率升值压力凸显的决定性因素。除此之外,笔者肯定了货币因素、名义汇率、政府的作用等在实际汇率形成中所发挥的重要的作用,同时论述了产业竞争力、实际汇率和均衡汇率之间的复杂关系,肯定了一国主导产业竞争力对其实际汇率的决定性影响。在理论分析的基础上,作者引入了时间序列分析和格兰杰因果检验进行实证分析。通过对以机电音像设备及其零件附件为代表的中低端制造业国际竞争力变化和实际汇率变化的检验,实证了前者是后者的格兰杰原因,时间滞后2-3个月。与此同时实证发现,代表货币因素的流动性指标不是人民币实际汇率变化的格兰杰原因。由此,我们的实证分析印证了一国主导产业竞争力变化是决定该国实际汇率变化的基本观点,同时也证明了货币因素M2/GDP是影响实际汇率变化的重要因素。与我们前面的理论分析完全相一致。最后,围绕产业竞争力和实际汇率之间的关系,我们给出了有关产业升级和人民币汇率改革的政策建议。即从产业升级的角度来说,主要就要是从全球的视角出发选择即是在政府财力之内的能够培养的产业。同时大力发展教育和降低投资的行政壁垒可以增加产业竞争强度,有利于现存产业提高国际竞争力。同时我们看到,人民币汇率改革也是一个长期的过程,等到我们国家的产业竞争力在世界的舞台上要足够的强,金融体系也要足够的完善后,我们方可将汇率改革纳入快速的改革通道。更多还原

【Abstract】 Foreign exchange rate related topics have always been on hot debate in the field of international finance, for those puzzles have not been well explained and solved by existing theories of international economics. From the foreign classics, the existing theories can be classified roughly into to two schools-macro and micro-structure perspective. While the RMB has been going through reform since the year of 2005, domestic scholars have consumed a lot of time and efforts on the topic of RMB exchange rate. Therefore, thousands of different views have been published since then, and research papers’quality has been greatly improved.This essay seeks out to unveil the puzzles of foreign exchange pricing mechanism from the perspective of international industry specialization and global competition, and hence derives the general relationship between real effective exchange rate and the real economy. After theoretical analysis of one country’s industry competiveness and many other important influencing factors of exchange rate, a mechanism called "Eight Logic Steps’is derived as a general way of analyzing the formation of real effective exchange rate. Afterwards, this essay analyzes the formation mechanism of RMB exchange rate, and concludes that the competitiveness of our mid and low-end manufacturing conclusively drives the appreciation of RMB real effective exchange rate. What’s more, other factors such as monetary liquidity、nominal foreign exchange rate and roles of the government are also discussed in this paper.On the basis of theoretical analysis, Time Series analysis and Granger Causality Test are performed in the Chapter Four to test the reliability of the foregoing analysis. The competitiveness of Chinese low-end manufacturing and monetary liquidity M2/GDP are both found to be highly related to the RMB real effective foreign exchange. However, though Granger Causality Test, the rising competitiveness of Chinese low-end manufacturing is confirmed to be Granger cause of appreciation of RMB real effective foreign exchange, while M2/GDP is determined not to be. Therefore, empirical analysis corresponds with our theoretical logics.In the last part of this essay, policy proposals on industry upgrade and RMB reform are put forward. From the perspective of industry upgrade, government should choose the right industry to cultivate, while vigorously develops education and lows down the administrative barriers of industry investments. At the same time, we should notice that RMB reform still has a long road to go. Only when our industries are strong enough and our financial system is solid enough can we start the preparation for a floating currency.更多还原