本文選題：人民幣均衡匯率 + 宏觀均衡　； 參考：《吉林大學(xué)》2014年碩士論文

【摘要】：國外的均衡匯率理論對(duì)人民幣均衡匯率研究有一定的啟發(fā)意義，但已有的均衡匯率模型并不能很好地?cái)M合人民幣匯率變動(dòng)趨勢(shì)�；谥袊幕緡楹蛧鴥�(nèi)外宏觀均衡建立創(chuàng)新的人民幣均衡匯率模型非常必要。本文旨在結(jié)合中國基本國情，探索人民幣匯率決定條件和制約人民幣匯率變動(dòng)的因素，研究市場供求因素和外部國際環(huán)境對(duì)人民幣匯率決定的機(jī)制。 首先，本文闡述并分析國內(nèi)外已成體系的均衡匯率理論，并研究人民幣均衡匯率的測(cè)算方法。然后在符合中國基本國情的條件下，利用行為均衡理論對(duì)人民幣均衡匯率進(jìn)行計(jì)量方法研究，發(fā)掘不同宏觀經(jīng)濟(jì)變量對(duì)人民幣均衡匯率形成機(jī)制的影響。此后結(jié)合我國宏觀均衡分析，利用長中短期基本面因素對(duì)均衡匯率的決定作用構(gòu)建人民幣均衡匯率模型。本文采用1996年-2013年的季度數(shù)據(jù)對(duì)人民幣均衡匯率模型進(jìn)行協(xié)整分析，并寫出長期均衡的協(xié)整模型。在長期模型基礎(chǔ)上進(jìn)行誤差修正，得到均衡匯率的短期誤差修正模型，并通過脈沖分析研究各解釋變量對(duì)均衡匯率的沖擊影響。最后，利用HP濾波法和長期協(xié)整模型求出各期人民幣均衡匯率和實(shí)際匯率錯(cuò)位百分比，并繪制出直觀的人民幣匯率錯(cuò)位圖，分析人民幣的失調(diào)情況，給出減少失調(diào)程度的對(duì)策。 論文在BEER模型（行為均衡模型）的理論基礎(chǔ)上，從貿(mào)易自由化、全球經(jīng)濟(jì)發(fā)展、貨幣供求和外部國際市場環(huán)境等多個(gè)方面探索決定人民幣均衡匯率的基本因素，建立符合中國基本國情的均衡匯率模型。在考慮長期、中期和短期三種因素對(duì)人民幣匯率的決定過程中，創(chuàng)新性地加入固定資產(chǎn)投資、經(jīng)濟(jì)增速、房地產(chǎn)市場和金融市場等指標(biāo)，，使用最新數(shù)據(jù)進(jìn)行實(shí)證研究，并對(duì)人民幣匯率的錯(cuò)位進(jìn)行測(cè)算分析。匯率的短期誤差修正模型分析能夠很好的擬合實(shí)際情況，人民幣匯率錯(cuò)位分析有助于找出失調(diào)的根源，給出調(diào)控的可操作性對(duì)策建議，有一定的實(shí)際意義。人民幣均衡匯率短期模型的脈沖分析顯示廣義貨幣供應(yīng)量對(duì)人民幣均衡匯率的沖擊影響最大，而反映我國外匯儲(chǔ)備的國外凈資產(chǎn)指標(biāo)對(duì)人民幣均衡匯率的沖擊影響并沒有想象中的劇烈。 人民幣實(shí)際有效匯率是指選取2010年為基期（REER2010=100），61個(gè)樣本經(jīng)濟(jì)體作為貨幣籃子，中國與其他60個(gè)經(jīng)濟(jì)體價(jià)格水平比較，經(jīng)過調(diào)整后的人民幣名義有效匯率。人民幣實(shí)際有效匯率排除了本國通貨膨脹等因素的影響，能夠真實(shí)反映人民幣匯率的波動(dòng)。人民幣匯率失調(diào)的測(cè)算顯示，1996年-2013年人民幣匯率的失調(diào)主要受到兩次世界經(jīng)濟(jì)危機(jī)的影響，且人民幣實(shí)際有效匯率回復(fù)到均衡水平的速度相當(dāng)緩慢。我國貨幣當(dāng)局應(yīng)在經(jīng)濟(jì)危機(jī)時(shí)采取相關(guān)措施，避免人民幣匯率的大幅高估或大幅低估，提高對(duì)突發(fā)危機(jī)的應(yīng)變能力。貨幣當(dāng)局應(yīng)充分考慮周邊貿(mào)易經(jīng)濟(jì)體的雙邊匯率，根據(jù)貿(mào)易規(guī)模的大小設(shè)定權(quán)重，去除本國通貨膨脹等因素，得到反映人民幣真實(shí)有效匯率的指標(biāo)，然后根據(jù)該指標(biāo)偏離均衡匯率的程度設(shè)定合理的波動(dòng)上下限。貨幣當(dāng)局不應(yīng)在制定匯率波動(dòng)區(qū)間時(shí)過分保守，應(yīng)放寬匯率波動(dòng)區(qū)間，發(fā)揮市場供求調(diào)節(jié)作用，減少投機(jī)行為。
[Abstract]:The equilibrium exchange rate theory of foreign countries has some enlightening significance on the study of the RMB equilibrium exchange rate, but the existing equilibrium exchange rate model can not fit the change trend of the RMB exchange rate very well. It is necessary to establish an innovative RMB equilibrium exchange rate model based on the basic national conditions of China and the macroeconomic equilibrium at home and abroad. This paper aims to combine the Chinese basis with the Chinese basis. In the present situation, we explore the determinants of the RMB exchange rate and the factors that restrict the change of the RMB exchange rate, and study the mechanism of the market supply and demand factors and the external international environment on the determination of the RMB exchange rate.
First, this paper expounds and analyzes the equilibrium exchange rate theory of the domestic and foreign system, and studies the calculation method of the equilibrium exchange rate of RMB. Then, under the conditions of China's basic national conditions, we study the equilibrium exchange rate of RMB by using the theory of behavior equilibrium and explore the formation machine of the equilibrium exchange rate of RMB that is not the same as the macroeconomic variables. In this paper, the equilibrium exchange rate model of RMB is constructed by using the long medium and short term basic factors to determine the equilibrium exchange rate. This paper uses the quarterly data of 1996 -2013 to carry out Cointegration Analysis on the equilibrium exchange rate model of RMB, and write a long term equilibrium cointegration model. The short-term error correction model of the equilibrium exchange rate is obtained, and the impact of the explanatory variables on the equilibrium exchange rate is studied by the pulse analysis. Finally, the HP filtering method and the long-term cointegration model are used to find the equilibrium exchange rate of RMB and the percentage of the actual exchange rate dislocation in each period, and draw a visual exchange rate map of the RMB exchange rate. The imbalance of the renminbi gives the countermeasures to reduce the degree of maladjustment.
On the basis of the theory of BEER model (behavior equilibrium model), this paper explores the basic factors that determine the equilibrium exchange rate of RMB from the aspects of trade liberalization, global economic development, money supply and demand and the external international market environment, and establishes a balanced exchange rate model in line with the basic conditions of China. Three factors are considered in the long term, medium and short term. In the process of determining RMB exchange rate, the investment of fixed assets, economic growth, real estate market and financial market are used to make an empirical study, and the misposition of RMB exchange rate is calculated and analyzed. The analysis of the short-term error correction model of the exchange rate can well fit the actual situation, the exchange rate of RMB exchange rate. The misalignment analysis helps to find out the root of the imbalance and gives the maneuverability countermeasures and suggestions, which has certain practical significance. The pulse analysis of the short-term model of the RMB equilibrium exchange rate shows that the impact of the broad money supply on the RMB equilibrium exchange rate has the greatest impact, while the foreign net assets index of our foreign exchange reserves is balanced to the balance of RMB. The impact of the exchange rate has not been affected by the intensity of the imagination.
The actual effective exchange rate of RMB is to select the 2010 as the base period (REER2010=100), 61 sample economies as the currency basket, China and the other 60 economies, the nominal effective exchange rate after the adjustment. The real effective exchange rate of the RMB excludes the influence of domestic inflation and other factors, which can truly reflect people. The measurement of RMB exchange rate imbalance shows that the imbalance of RMB exchange rate in 1996 was mainly affected by two world economic crises, and the rate of RMB real effective exchange rate returned to the equilibrium level was very slow. The monetary authorities should take relevant measures to avoid the RMB exchange rate in the period of economic crisis. The monetary authorities should take full consideration of the bilateral exchange rate of the surrounding trade economies, set weights according to the size of the trade, remove the national inflation and other factors to reflect the real effective exchange rate of the RMB, and then deviate from the equilibrium exchange rate according to the index. The monetary authorities should not be excessively conservative in formulating the range of exchange rate fluctuations, and should relax the range of exchange rate fluctuations, play the role of market supply and demand, and reduce speculation.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6

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