本文關(guān)鍵詞：人民幣均衡匯率及匯率特性與傳遞效應研究　出處：《南京航空航天大學》2013年博士論文　論文類型：學位論文

  更多相關(guān)文章： 人民幣均衡匯率 BEER模型 多重復合協(xié)整技術(shù) 長記憶 VAR-GARCH-BEKK模型

【摘要】：自從十一屆三中全會以來，隨著改革開放政策的實施，我國對外貿(mào)易日益活躍。在1981-1989年之間，我國對外貿(mào)易逆差平均每年為41.72億美元，2008年我國貿(mào)易順差2954.7億美元，在不到20年的時間內(nèi)，我國不僅扭轉(zhuǎn)了貿(mào)易逆差的局面，而且使貿(mào)易順差達到了接近3000億美元的峰值。巨額的貿(mào)易順差，使得人民幣匯率問題也越來越受到國際社會的關(guān)注。在西方社會特別是美國普遍認為：中國對外貿(mào)易收支持續(xù)保持大幅度順差的原因，是由于人民幣人為地被低估了，低估了的人民幣使得中國在與西方貿(mào)易交往過程中保持了不正當貿(mào)易優(yōu)勢。特別是近幾年，國際社會要求人民幣升值的壓力不斷增大。可以說，這種壓力是促使2005年7月21日人民幣匯率制度改革的主要推動力之一。據(jù)統(tǒng)計，按照2005年匯改當日的人民幣對美元中間價8.11來計算，至2011年為此，人民幣對美元已經(jīng)升值超過20%；但是，要求人民幣繼續(xù)升值的呼聲并沒有因此而減弱。因此，人民幣匯率問題自中國對外貿(mào)易存在巨大順差以來，一直是最熱門的研究話題之一。研究人民幣匯率均衡、相關(guān)特性及其對其它經(jīng)濟變量的影響，不僅具有重大的理論價值，同樣，也具有重大的現(xiàn)實意義。 本文通過構(gòu)建新模型，創(chuàng)建多重復合協(xié)整技術(shù)（MICCT）計量方法，運用ARFIMA-FIGARCH、VAR-GARCH-BEKK等前沿性計量方法，對人民幣均衡匯率及其相關(guān)問題進行了深入研究，通過研究發(fā)現(xiàn)： 第一、運用多重復合協(xié)整技術(shù)（MICCT）研究人民幣匯率長期均衡問題最為合理，多重復合協(xié)整技術(shù)（MICCT）不僅能捕捉某個對人民幣匯率有長期影響的未知影響因素，，又提高了人民幣匯率長期均衡失調(diào)pm時間序列的穩(wěn)定性檢驗水平，運用多重復合協(xié)整技術(shù)研究中國的人民幣匯率均衡問題較為合理。 從實證的結(jié)論可以看出，在樣本時間段內(nèi)，人民幣匯率確實發(fā)生了結(jié)構(gòu)突變，結(jié)構(gòu)突變點發(fā)生在人民幣匯率劇烈變化的時間點上，表明對匯率生生劇烈變化的外部經(jīng)濟因素對人民幣匯率有著長期影響，也就是說，在運用BEER模型研究人民幣匯率長期均衡問題時，應該在模型中加入中國元素，特別是具體的外部經(jīng)濟因素不容忽視。 研究結(jié)果還表明：在樣本時間段內(nèi)，人民幣匯率不存在顯著的低估現(xiàn)象，人民幣實際匯率偏離長期均衡水平僅為0.012％，遠遠小于國外認為的人民幣匯率低估約40%的水平；且從2009年4季度以來，人民幣匯率基本處在長期均衡匯率水平，并有逐漸高估的趨勢。 第二、人民幣實際有效匯率及人民幣對美元雙邊匯率時間序列的自相關(guān)函數(shù)圖以及R/S檢驗，顯示人民幣實際有效匯率及人民幣對美元雙邊匯率的均值過程（一階矩過程）均存在顯著的長記憶性特征。因此，差分自回歸動平均模型即ARIMA模型難以準確刻化與描述人民幣實際有效匯率及人民幣對美元雙邊匯率均值的動態(tài)過程，運用分整自回歸動平均模型即ARFIMA模型進行刻畫較為合理。但人民幣實際有效匯率與人民幣對美元雙邊匯率的ARFIMA模型的殘差存在異方差現(xiàn)象，因此，運用ARFIMA模型用以刻畫與描述人民幣實際有效匯率與人民幣對美元雙邊匯率存在明顯的不足。但無論是ARFIMA模型及R/S檢驗，均無法否定人民幣實際有效匯率與人民幣對美元雙邊匯率存在長記憶效應。 人民幣實際有效匯率及人民幣對美元雙邊匯率的一階矩過程的長記憶性特征表明人民幣實際有效匯率及其對美元雙邊匯率存在一定的粘性、其走勢具有一定的持續(xù)性，一些突發(fā)的外部事件對于人民幣實際有效匯率及其對美元雙邊匯率將產(chǎn)生長期的滯后影響。 通過對人民幣對美元雙邊匯率建立ARFIMA-FIGARCH與ARFIMA-FIAPARCH-M模型發(fā)現(xiàn)，人民幣對美元雙邊匯率時間序列不僅存在長記憶性，其波動也存在顯著的長記憶性，也就是人民幣對美元雙邊匯率存在“雙長記憶”特征；表明人民幣對美元雙邊匯率當前水平及當前波動性水平都依賴于自身較長時期的歷史信息；同樣，其當前水平及當前波動水平也將對未來較長時期產(chǎn)生影響。 第三、人民幣對美元匯率對國內(nèi)物價水平具有一定的影響作用，人民幣對美元匯率每上升一個百分點，國內(nèi)物價指數(shù)上升0.117個百分點，而人民幣對日元匯率相對于美元匯率影響作用更小，傳遞效應更低。由于我國在很長一段時間內(nèi)實行的是人民幣盯住美元的外匯政策，且美國是我國主要的貿(mào)易伙伴大國，人民幣對美元匯率的變化會較為顯著地影響我國國內(nèi)宏觀經(jīng)濟變量；而人民幣對非美元的雙邊匯率由于上述原因，顯然不會像美元那樣敏感，傳遞效應與其相比較小。 從實證研究的結(jié)果來看，人民幣匯率系數(shù)均明顯小于1，表明人民幣匯率不存在完全的傳遞效應。同時，從三個均值方程中的匯率系數(shù)的統(tǒng)計顯著性來看，無論是人民幣名義匯率、人民幣對美元匯率還是人民幣對日元匯率我國國內(nèi)消費者物價指數(shù)均不存在明顯的價格溢出效應，因此，通過人民幣對外匯率升值的方法，難以達到抑制國內(nèi)消費物價水平的目的。 人民幣名義匯率、人民幣對美元匯率以及人民幣對日元匯率均呈現(xiàn)出一定的的波動溢出效應；但從其數(shù)值的大小來看，要大于三者的均值溢出效應，表明人民幣匯率與國內(nèi)物價水平的一階矩相互影響較小，但兩者之間的二階矩具有一定程度相互影響作用。 總的來說，人民幣匯率對國內(nèi)物價水平有一定的影響，它們之間也存在波動溢出效應，當然也有一些其它因素影響了匯率對國內(nèi)物價水平的價格上的信息傳導，如人民幣對美元匯率的浮動區(qū)間管制、我國的外匯管理制度等。 第四、貿(mào)易收支、人民幣對美元雙邊實際匯率、我國國內(nèi)生產(chǎn)總值、美國對外總進口額以及經(jīng)濟結(jié)構(gòu)5個變量之間確實存在長期穩(wěn)定的協(xié)整關(guān)系。 從協(xié)整方程可以看出，人民幣對美元實際匯率與我國貿(mào)易收支呈同方向變化，表明人民幣對美元實際匯率上升，即人民幣對美元貶值，我國貿(mào)易收支得以改善；同時，從脈沖響應函數(shù)來看，短期內(nèi)，人民幣對美元實際匯率與我國貿(mào)易收支并沒有表現(xiàn)出“J曲線”效應，但長期內(nèi)，兩者存在協(xié)整關(guān)系；從Granger因果檢驗結(jié)果來看，兩者之間不存在Granger因果關(guān)系，這就表明人民幣對美元實際匯率并不是我國貿(mào)易收支變化的統(tǒng)計上的原因，以逼迫人民幣升值達到平衡貿(mào)易的目標注定難以實現(xiàn)。 我國的經(jīng)濟結(jié)構(gòu)與貿(mào)易收支之間也存在長期均衡關(guān)系，兩者呈同方向變化，從脈沖響應函數(shù)來看，經(jīng)濟結(jié)構(gòu)才是中美貿(mào)易順差產(chǎn)生的重要原因。由于要素資源稟賦及產(chǎn)業(yè)層次不同，中美兩國經(jīng)濟在很長時間內(nèi)都具有較強的互補性。由于兩國經(jīng)濟的互補性強，美國對中國的許多出口商品在美國都存在管制，也就必須產(chǎn)生中美貿(mào)易順差現(xiàn)象，美國不改變對華出口政策，無論如何逼迫人民幣對美元升值，可以預見這種貿(mào)易順差將會持繼下去，因為人民幣升值解決不了中美貿(mào)易結(jié)構(gòu)性問題。 從脈沖函數(shù)來看，對人民幣對美元匯率作一單位的正向沖擊后，在脈沖期內(nèi)，我國二元經(jīng)濟結(jié)構(gòu)呈現(xiàn)正向效應，表明人民幣對美元匯率越小，也就是人民幣對美元升值，第一產(chǎn)業(yè)產(chǎn)值越小，非農(nóng)產(chǎn)業(yè)產(chǎn)值增加，表明人民幣對美元升值有利于促進我國非農(nóng)產(chǎn)業(yè)的發(fā)展，有利于我國產(chǎn)業(yè)結(jié)構(gòu)向高級化1調(diào)整。
[Abstract]:Since the third Plenary Session of the 11th CPC Central Committee, with the implementation of the policy of reform and opening up, China's foreign trade has become increasingly active. In 1981-1989 years, China's foreign trade deficit in the average of $4 billion 172 million per year in 2008, China's trade surplus of $295 billion 470 million in less than 20 years, our country not only reversed the trade deficit situation, but also make the trade surplus reached a peak of nearly $300 billion. The huge trade surplus, the RMB exchange rate issue has become increasingly concerned by the international society. In western society, especially in the United States generally believe: China foreign trade continued to maintain close support the reason for the substantial surplus, is because the renminbi artificially undervalued, undervalued yuan makes China maintains the unfair trade advantage in the process of communication with Western trade. Especially in recent years, the international community for the renminbi appreciation pressure rising Great. It can be said that this kind of pressure is one of the main impetus for reform of exchange rate regime in July 21, 2005. According to statistics, in 2005 the exchange rate reform the RMB against U.S. dollar 8.11 to 2011 to calculate, therefore, the RMB against the U.S. dollar has appreciated more than 20%; however, the yuan appreciation to continue the voice and not so weakened. Since the issue of the RMB exchange rate, since there is a huge surplus of foreign trade China, has been one of the most popular topic. Research on RMB equilibrium exchange rate, related properties and their effects on other economic variables, not only has theoretical value, also important, is of great practical significance.
In this paper, we build a new model to create multiple composite cointegration Technology (MICCT) measurement method, and use ARFIMA-FIGARCH, VAR-GARCH-BEKK and other frontier econometric methods to conduct in-depth research on RMB equilibrium exchange rate and related issues.
First, using the multiple cointegration technique (MICCT) long-term equilibrium problems of RMB exchange rate is reasonable, multiple cointegration technique (MICCT) can not only capture the factors a long-term impact on the RMB exchange rate and improve the effect of the unknown, the RMB exchange rate long-term equilibrium stability test of the level of imbalance of PM time series, using the research the technology of multiple Co China RMB exchange rate equilibrium problem is more reasonable.
From the empirical results can be seen in the sample period, the RMB exchange rate is the structural change, structural change point occurred in the RMB exchange rate changes on the time point of the external economic factors exchange students a drastic change in the exchange rate of RMB has a long-term effect, that is to say, the long-term equilibrium problem in the use of the RMB exchange rate should be added to the BEER model, China elements in the model, especially the external economic factors can not be ignored.
The results also showed that in the sample period, the RMB exchange rate is not significantly undervalued, RMB real exchange rate deviates from the long-term equilibrium level is only 0.012%, far less than the RMB exchange rate that underestimate the level of about 40% since; and from the 4 quarter of 2009, the RMB exchange rate basically in the long-term equilibrium exchange rate, and gradually overestimate the trend.
Second, the real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate time series autocorrelation function diagram and R/S test shows the real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate mean process (first moments process) was significant long memory characteristic. Therefore, differential autoregressive moving average model ARIMA model is difficult to accurately characterize the dynamic process and describe the real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate means, with the autoregressive moving average model that ARFIMA model is more reasonable. But there are residual characterizations of RMB real effective ARFIMA model for the dollar bilateral exchange rate RMB exchange rate and the phenomenon of heteroscedasticity therefore, the use of ARFIMA the model used to characterize and describe the obvious shortage of real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate. But whether ARFIMA model And R/S test can not deny the long memory effect of the RMB real effective exchange rate and the RMB's bilateral exchange rate on the dollar.
Long memory characteristics of the real effective exchange rate of RMB and the RMB against the U.S. dollar bilateral exchange rate of first order moment process shows that there is a viscous and real effective exchange rate of RMB against the U.S. dollar bilateral exchange rate, the trend has a certain degree of persistence, some unexpected events external to the RMB real effective exchange rate and bilateral exchange rate against the dollar will have a lagging effect in the long term.
Through the discovery of RMB to establish ARFIMA-FIGARCH and ARFIMA-FIAPARCH-M model of the U.S. dollar bilateral exchange rate, the RMB has not only a long memory time series of bilateral exchange rate against the dollar, its volatility is significant long memory, which is the bilateral exchange rate of RMB against the U.S. dollar has "double long memory" feature; that the RMB against the U.S. dollar bilateral exchange rate volatility and the current level the level depends on the long period of historical information; similarly, the current level and the level of volatility will also affect the future long period of time.
Third, the RMB exchange rate against the dollar has a certain effect on the domestic price level, every one percent increase in the RMB exchange rate against the dollar, the domestic price index rose 0.117 percentage points, while the RMB exchange rate against the yen against the dollar exchange rate impact smaller, transfer effect is lower. Because our country in a long period of time is RMB the dollar exchange rate policy, and the United States is China's major trading partner countries, changes in the exchange rate of RMB to dollar will greatly affect China's domestic macroeconomic variables; and the RMB against non dollar bilateral exchange rate because of the above reasons, as the dollar is clearly not so sensitive, and transfer effects are relatively small.
The empirical research shows that the RMB exchange rate coefficient is significantly less than 1, indicated that the RMB exchange rate does not exist completely transfer effect. At the same time, the statistics from the exchange rate coefficient of three in the mean equation significant point of view, whether the RMB nominal exchange rate of RMB against the U.S. dollar exchange rate and the RMB exchange rate against the yen in China's domestic consumer price index there are no obvious price spillover effect, therefore, the RMB exchange rate appreciation method, it is difficult to inhibit the domestic consumer price level.
The nominal exchange rate of RMB, the RMB exchange rate of the dollar and the RMB against the yen showed some volatility spillover effect; but from the size of the value of the view, mean spillover effect is greater than three, that first moment of the RMB exchange rate and the domestic price level are less affected, but the two moments between the two is the degree of interaction.
In general, the RMB exchange rate has a certain impact on the domestic price level, there is volatility spillover effects between them, of course there are some other factors that affect the information transmission rate on the domestic price level on the pipe system such as the floating range of the RMB exchange rate against the dollar, China's foreign exchange management system.
Fourth, there is a long-term stable cointegration relationship between the trade balance, the real exchange rate of RMB to the US dollar, China's gross domestic product, the total import volume of the US and the economic structure of the 5 variables.
From the cointegration equation can be seen, the real exchange rate of RMB dollar and trade balance of China with the same tendency, that the real exchange rate of RMB against the U.S. dollar to rise, the devaluation of the renminbi against the dollar, China's trade balance is improved; at the same time, from the impulse response function, in the short term, the real exchange rate of RMB dollar and trade balance in China did not exhibit "J curve" effect, but in the long term, there is a cointegration relationship between the two; from the results of Granger causality test, there is no Granger causal relationship between the two, which shows the reason statistics of RMB real exchange rate against US dollar is not China's trade balance on the change, by forcing the appreciation of the RMB trade balance the target is difficult to achieve.
There is a long-term equilibrium relationship between China's economic structure and trade balance, both with the same tendency, the impulse response function, the economic structure is an important reason for the Sino US trade surplus produce. Because of different levels of resource endowments and industrial factors, the economy of both countries for quite a long time due to have strong complementarity. The complementarity of the two economies, the United States of Chinese many export commodities are regulated in the United States, also must have the Sino US trade surplus phenomenon, American exports to China in any case does not change the policy, forcing the appreciation of the renminbi against the dollar, it is expected that this trade surplus will continue indefinitely, because of the appreciation of the RMB can not solve the structural problems of Sino US trade.
From the point of view for the positive impact of impulse function, a unit of the RMB exchange rate against the dollar after the pulse period, two yuan of China's economic structure has a positive effect, that the RMB exchange rate against the dollar is small, also is the appreciation of the renminbi against the dollar, the first industry output value is small, non industrial output value increased, indicating that the yuan is conducive to the promotion of the development of China's non-agricultural industries to the dollar, is conducive to China's industrial structure adjustment to the advanced 1.

【學位授予單位】：南京航空航天大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.6;F224

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