【摘要】：近幾年市場對人民幣匯率有較強的升值預期。判斷人民幣匯率是否合理,首先要測算出人民幣均衡匯率水平。均衡匯率是匯率理論中的核心問題之一,是判斷實際匯率水平是否失調及匯率政策是否需要調整的主要客觀依據。 本文在借鑒國內外學者研究成果的基礎上,以馬克思主義匯率理論為指導,結合我國的經濟特征,分別從理論分析和實證分析的角度對人民幣匯率決定進行探索。理論研究部分基于博弈論的視角,通過構建雙層博弈模型,分別分析了人民幣匯率在國家層次和國際層次上的博弈。實證部分是基于單方程模型理論對人民幣匯率進行分析。首先采用ADF方法對各變量時間序列進行平穩(wěn)性分析,并進行協(xié)整檢驗,繼而建立反映短期調整的誤差修正模型。在此基礎上,運用H-P濾波法估算出人民幣均衡匯率水平,并對人民幣實際匯率水平進行合理性評估。實證結果表明2005年匯改到2008年之間,人民幣實際有效匯率與人民幣均衡實際匯率相比,相對低估,經過這一輪的升值,人民幣有效匯率在2008年基本接近均衡實際匯率。2008年以后,一方面由于經濟危機影響,另一方面歐美等國給人民幣施壓及美元對外大幅度貶值導致了人民幣實際有效匯率輕微的高估。筆者判斷,隨著后危機時代的到來,人民幣匯率將重新回到均衡水平,并逐漸趨于穩(wěn)定。 基于上述理論、實證研究結果,最后通過與日元升值的比較分析,本文對人民幣匯率升值的影響進行探討,進而提出進一步完善人民幣匯率改革機制的建議。
[Abstract]:In recent years, the market to the RMB exchange rate has a strong appreciation expectations. To judge whether the RMB exchange rate is reasonable, we must first measure the RMB equilibrium exchange rate level. Equilibrium exchange rate is one of the core problems in exchange rate theory. It is the main objective basis to judge whether the real exchange rate level is misaligned and whether the exchange rate policy needs to be adjusted. Based on the research results of domestic and foreign scholars and guided by Marxist exchange rate theory, this paper probes into the determination of RMB exchange rate from the angle of theoretical analysis and empirical analysis, combined with the economic characteristics of our country. Based on the perspective of game theory, the theoretical study analyzes the game of RMB exchange rate at the national and international levels by constructing a two-tier game model. The empirical part is based on the theory of single equation model to analyze the RMB exchange rate. Firstly, the ADF method is used to analyze the stationarity of the time series of variables, and the cointegration test is carried out, and then an error correction model reflecting the short-term adjustment is established. On this basis, the equilibrium exchange rate level of RMB is estimated by H-P filtering method, and the rationality of the real exchange rate level of RMB is evaluated. The empirical results show that the real effective exchange rate of RMB is relatively undervalued compared with the equilibrium real exchange rate of RMB between 2005 and 2008. The effective exchange rate of the RMB was basically close to the equilibrium real exchange rate in 2008. After 2008, on the one hand, because of the impact of the economic crisis, On the other hand, countries such as Europe and the United States have put pressure on the renminbi and the dollar has fallen sharply abroad, which has led to a slight overvaluation of the renminbi's real effective exchange rate. The author judges that with the arrival of the post-crisis era, the RMB exchange rate will return to equilibrium level and gradually stabilize. Based on the above theory, the empirical research results, and finally through the comparative analysis with the appreciation of the yen, this paper discusses the impact of RMB exchange rate appreciation, and then puts forward suggestions to further improve the mechanism of RMB exchange rate reform.
【學位授予單位】：福建師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.6;F224.32

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