人民币“内贬外升”的原因与机制研究

【作者】 李衡；

【导师】 刘迎秋；

【作者基本信息】 中国社会科学院研究生院 ， 国民经济学， 2014， 博士

【摘要】 自2005年7月人民币汇率制度改革以来，人民币币值出现对内贬值、对外升值的现象。人民币的“外升”非常明显，既表现为人民币相对美元的升值，也表现为人民币相对一篮子货币的升值。人民币的“内贬”则体现在国内物价的上涨。人民币的“内贬外升”及背后的内外失衡给中国经济运行和政策制定带来了一系列巨大的冲击和挑战，例如企业生产经营环境恶化、中小微型企业融资难度加大、资源配置效率下降、货币政策操作难度加大、外汇储备及其管理风险大幅上升、商业银行盈利能力削弱、金融监管难度增大和金融风险上升等等。论文从购买力平价、利率平价、国际收支、全球视角这四个维度分析人民币“内贬外升”的原因与机制，探讨各维度之间的逻辑关系，并提出相应的政策建议。研究表明，人民币的“内贬外升”有五个方面的原因。第一，从相对购买力平价角度来看，1998-2002年人民币的“内升”（通货紧缩）导致人民币实际汇率贬值并偏离均值水平，2005年之后的人民币“内贬外升”是人民币实际汇率均值回归的结果。第二，从绝对购买力平价和巴拉萨-萨缪尔森视角来看，中国在经济赶超阶段，可贸易品部门劳动生产率增长率远高于不可贸易部门以及劳动力供给拐点的出现，导致不可贸易部门（例如服务业）价格上涨较快，并造成国内结构性物价上涨和人民币实际汇率升值。从绝对购买力平价视角来看，随着中国人均收入的提高，人民币通过实际汇率升值逐步逼近购买力平价水平。第三，从利率平价视角来看，“套息交易循环”加剧了人民币的“内贬外升”。在外生变量作用下出现的人民币升值预期引发了套息交易，从而导致资本通过各个渠道大规模流入中国境内，并导致国内宽松的货币信贷环境和低利率，进而造成人民币“内贬”、中国央行加息和收紧银根，最终导致人民币升值预期的强化和套息交易的加剧。“套息交易循环”导致人民币“内贬外升”自我实现、自我强化，具有内生性的特征。第四，从国际收支视角来看，经济发展阶段、收入分配、人口结构、房价上涨、热钱流入等因素导致中国储蓄率升至异常高的水平，进而促使经常项目顺差占GDP之比从2000年的1.7%大幅提高至2007年的10.1%。巨大的经常项目顺差导致人民币的升值压力持续升温。“高储蓄循环”是导致人民币“内贬外升”自我强化的又一个内生机制。经济发展阶段等外生变量导致中国出现高储蓄率，并造成高顺差和人民币“外升”，从而推动热钱流入和宽松的货币信贷环境，进而导致人民币“内贬”和房价上涨。热钱流入和房价上涨导致储蓄率进一步提高。第五，从全球视角来看，全球失衡和“双速增长”导致人民币和其他新兴经济体货币“内贬外升”。2000年之后，新兴经济体储蓄率大幅提高，经常项目顺差持续扩大，而美国则出现巨额的经常项目逆差，这促使新兴经济体货币兑美元名义汇率升值。在美元本位的国际货币体系以及全球经济“双速增长”的背景之下，美元长期走弱和长期低利率加剧套息交易，导致包括中国在内的新兴市场经济体货币“内贬外升”。除此之外，论文还纠正了运用绝对购买力平价理论和巴拉萨-萨缪尔森理论判断人民币币值低估/高估研究中的误区：只要人民币兑美元汇率高于（绝对）购买力平价，人民币汇率就是低估的（例如英国《经济学家》杂志编制的巨无霸汉堡包指数）。从巴拉萨-萨缪尔森理论视角来看，在中国目前的发展阶段（人均收入仅为美国的八分之一），人民币兑美元汇率高于（绝对）购买力平价是符合发展规律的。论文的研究表明，国际金融危机爆发之后，世界经济发生深刻的变化，尤其是近一两年来人民币（以及其他新兴经济体货币）“内贬外升”出现阶段性缓解，甚至可能逆转。原因包括四个方面：第一，近年来由于人民币兑美元实际汇率升值过快（“内贬外升”过于剧烈），无论是从相对购买力平价理论视角来看，还是从巴拉萨-萨缪尔森理论视角来看，短期内人民币汇率均已达到合理水平，甚至有所高估。第二，“四万亿投资计划”等外生变量冲击导致中国的储蓄投资缺口缩窄、国际收支失衡大大改善，并在很大程度上打破了“高储蓄循环”、“套息交易循环”等促使人民币“内贬外升”自我强化的内生机制。第三，国际金融危机、欧洲主权债务危机迫使美国和欧洲国家进行经济结构调整，发达经济体经常项目逆差大幅缩窄，基本恢复国际收支平衡。第四，美联储启动缩减量化宽松货币政策规模导致套息交易资金回流，并引发新兴经济体金融市场动荡和货币贬值。尽管目前为止，人民币汇率并未受到大的冲击，但是人民币升值预期已经大大削弱。当然，长期来看，只要中国经济继续保持较快的增长率，全球经济“双速增长”的格局不变，中美人均收入和可贸易部门的劳动生产率差距持续缩窄，人民币实际汇率仍然将呈现升值的趋势。总而言之，人民币“内贬外升”既是外生变量引发的现象，又有内生机制（“套息交易循环”、“高储蓄循环”）在发挥作用。进一步看，“内贬外升”不是人民币特有的现象，而是新兴经济体所共有的现象。在美元本位制和“双速增长”背景下，新兴经济体陷入一个两难困境，要么忍受套息交易、“内贬外升”、货币政策独立性削弱等问题；要么牺牲经济和金融稳定。推动人民币国际化，加快推进国际货币体系改革，形成美元、欧元、人民币三足鼎立的国际货币体系是化解这一两难困境的重要途径。对中国而言，解决人民币“内贬外升”带来的问题，一方面，需要推动中国经济自身的结构调整和人民币汇率制度改革，另一方面，还需要积极稳妥推进资本项目可兑换、人民币国际化和国际货币体系改革。更多还原

【Abstract】 Since the reform of the RMB exchange rate regime was implemented in July,2005, the value of the RMB has depreciated internally and appreciated externally.Externally, the appreciation was dramatic, both in terms of the appreciaton of theRMB against the U.S. dollar, and against a basket of currencies. Internally, thedepreciation of the RMB means the inflation in China. The RMB internaldepreciation and external appreciation and the imbalanced economy brought a seriesof shocks and challenges to the performance of China’s economy and the policysetting, such as the deterioration of the operation environment for firms, the financingdifficulty for small-medium enterprises, the decline of resource allocation efficiency,the difficulty of monetary policy implementation, the mounting risk for themanagement of foreign exchange reserve, the impairment of banking profit, thedifficulty for financial regulation and the rise of financial risk. The thesiscomprehensively analyzes the reason and mechanism of the RMB internaldepreciation and external appreciation from the perspectives of puchasing powerparity (PPP), interest rate parity (IRP), balance of payment (BOP), and globalperspective. Furthermore, the thesis discusses the logical relationships between thefour pespectives, and provides policy recommendations.According to the research, there are five reasons for the RMB internaldepreciation and external appreciation. Firstly, in terms of relative PPP, the RMBinternal appreciation and external depreciation between1998and2004caused theRMB real exchange rate deviation. The RMB internal depreciation and externalappreciation after2005was the result of mean reversion of the RMB exchange rate.Secondly, according to Balassa-Samuelson (B-S) Effect, in the catching up stagefor China economy, that the productivity of tradable sector was much higher than thatof untradable sector, as were as the turning point of labor supply, led to the rapid riseof the price of untradable sector, the structural inflation in China and the appreciationof the RMB real exchange rate. From the perpective of absolute PPP, the RMBapproaches parity gradually via real exchange rate appreciation, as the rise of China’sper capita income.Thirdly, the “carry trade cycle” accelerated the RMB internal depreciation and external appreciation. The RMB appreciation expectation, which was caused byexogenous variable, triggered the carry trade, and brought about the large-scale inflowof international capital from various channels. Additonally, this led to the loosemonetary and credit environment in China, the internal depreciation of the RMB, andthereby the tightening of monetary policy and the raise of interest rate by PBC, thecentral bank of China. Finally, the appreciation expectation of the RMB exchangerate and carry trade was strengthened. The “carry trade cycle”, an endogenousmechanism, caused the RMB internal depreciation and external appreciation in aself-fulfilment approach.The fourth, the high saving rate in China resulted from the factors such aseconomic development stage, income devision, demographic structure, housing boom,and hot money inflow. In addition, the rising saving rate led to the current accountsurplus as percent of GDP in China increased from1.7%in2000to10.1%in2007.The tremendous current account surplus brought about the rise of the RMB exchangerate appreciation pressure.“High saving rates cycle” was another endogenousmechanism that strengthened the RMB internal depreciation and external appreciation.The exogenous variable, such as economic development stage, increased China’ssaving rate, gave rise to huge current account surplus and the external appreciation ofthe RMB, and caused the hot money inflow and loose monetary and creditenvironment. Furthermore, it led to the internal dereciaion of the RMB and thehousing boom. Finally, the housing boom and hot money inflow further increasedthe saving rate.The fifthe, global imbanlances and two-speed world economy brought about theinternal depreciation and external appreciation of emerging markets currencies.Since2000, the appreciation of emerging markets currencies against the U.S. dollarhave been caused by the dramatic increase of the saving rate and the current accountsurplus of emerging markets, and the current account deficit of the United States.Under the background of the international monetary system, characteristized by thedollar standard and global imbalances, the long term weak dollar and the low interestrate of the dollar aggravated the carry trade, and led to the internal depreciation andexternal appreciation of emerging markets currencies, including the RMB.Furthermore, the thesis corrects the misuse of absolute PPP and B-S theory injudging the undervaluation or overvaluation of the RMB. It was belived that, as longas the RMB exchange rate against the U.S. dollar was higher than the absolute PPP, the RMB exchange rate was undervalued, for example, the big MAC index compiledby The Econmist. From the perspective of B-S theory, at the current developmentstage for China, when China’s per capita income is merely1/8of the United States,that RMB exchange rate is higher than absolute PPP conforms to the law ofdevelopment.The thesis reveals that, the world economy has experienced profound changessince international financial crisis broke out in2008. Especially since the recent oneor two year, the internal depreciation and external appreciation of the RMB, and otheremerging markets currencies, have temporarily eased, even might reverse in the nearterm. There are four reasons for the reversion. Firstly, due to the fast real exchangerate appreciation for the RMB, from the relative PPP perspective or the B-S theoryperspective, the RMB exchange rate have reached reasonable level in the short term,or even overvalued to some extent. Secondly, exogenous variable shocks such as the“4-Trillion stimulus plan” decreased China’s saving-investment gap, improved thebalance of payments imbalances, and broke the endogenous mechanisms such as“high saving rates cycle” and “carry trade cycle”. The third, international financialcrisis and European sovereign debt crisis forced the United States and Europeancountries to adjust their economic structure, which restored the banalce of paymentfor developed countries. The fourth, the quantitative easing (QE) tapering of the Fedled to the backflow of carry trade fund, which caused the turmoil of emerging marketsfinancial markets and the depreciation of emerging markets currencies.Of course, in the long term, as long as China’s economy keeps growing in arelatively high rate, the two-speed world economy persists, and the gaps of per capitaincome and tradable sector productivity between China and the United States keepdeclining, the RMB real exchange rate will maintain the trend of appreciation.To sum up, the RMB internal depreciation and external appreciation results fromboth exogenous variables and indogenous mechanisms. Furthmore, internaldepreciation and external appreciation is not the unique phenomenon of the RMB, butwidely shared by emerging markets. Emerging markes are in a dilemma, eithersuffering carry trade, internal depreciation and external appreciation, impairedmonetary policy autonomy, or sacrifying economic and financial stablilty. Animportant approach to solve the dilemma is to promote the RMB internationalization,the reform of international monetary system, and form a trio-currency (the U.S. dollr,the Euro and the RMB) international monetary system. In order to solve the problems broght about by the RMB internal depreciation and external appreciation,China has to promote the economic structural adjustment and reform of the RMBexchange rate regime on the one hand, and promote the capital account liberalization,the RMB internationalization, and the reform of international monetary system on theother.更多还原