本文選題：均衡實際匯率 + HSIAO程序��； 參考：《華中科技大學》2014年博士論文

【摘要】：近年來,我國宏觀經(jīng)濟平穩(wěn)較快增長、在全球經(jīng)濟中地位舉足輕重。然而,一方面,我國經(jīng)濟總體上消費不足而投資過剩,經(jīng)常賬戶和資本賬戶持續(xù)保持著雙順差,國內(nèi)外宏觀經(jīng)濟存在失衡的局面；另一方面,以美國為首的西方發(fā)達集團不斷對人民幣匯率施加壓力,聲稱我國是“匯率操縱國”,人民幣實際匯率存在嚴重低估。國內(nèi)外宏觀經(jīng)濟形勢都要求我們主動去解決內(nèi)外部門失衡和匯率爭端問題。我國如何實現(xiàn)國內(nèi)外經(jīng)濟均衡,人民幣實際匯率是否低估?實際匯率作為開放宏觀經(jīng)濟的核心變量,它是連接國內(nèi)經(jīng)濟和外部經(jīng)濟的橋梁。此外,均衡實際匯率反映一國國內(nèi)外經(jīng)濟平衡狀況的指標,也是衡量匯率合理與否的標準。因而本文以均衡實際匯率為切入點,來分析和解答上述問題。均衡實際匯率是指內(nèi)外宏觀經(jīng)濟均衡下的實際匯率,它既由國內(nèi)外基本宏觀經(jīng)濟變量決定(比價屬性),同時也會反作用于國內(nèi)外宏觀經(jīng)濟變量(杠杠屬性)。因而,對均衡實際匯率的研究,不僅要測算均衡實際匯率和評估實際匯率水平的合理性,還需要分析實際匯率失調(diào)對國內(nèi)外宏觀經(jīng)濟主要變量的影響,以便找到實現(xiàn)內(nèi)外平衡、匯率合理穩(wěn)定的途徑,對于我國合理的宏觀經(jīng)濟政策和相應(yīng)的匯率政策具有重要的理論和實踐意義。 本文首先實證測算了均衡實際匯率,并對當前實際匯率狀況進行了評估。在前人理論描述和實證研究的基礎(chǔ)上,本文將BEER模型和ERER模型結(jié)合起來,采用Hsiao程序確定了最優(yōu)解釋變量,同時考慮了2005年匯改引起的結(jié)構(gòu)突變,通過結(jié)構(gòu)突變協(xié)整分析得出了均衡實際匯率與基本經(jīng)濟變量的長期均衡關(guān)系,代入由HP濾波得到的解釋變量的長期均衡值,從而得到了均衡實際匯率的軌跡。實證結(jié)果表明：人民幣實際匯率出現(xiàn)了四次低估和三次高估,其中高估時間幅度不大、時間也不長,平均不到1%水平；而1994-1997年、2003-2007年人民幣實際匯率則經(jīng)歷了時間較長、幅度較大的低估,尤其是1994年-1997年平均低估5%以上。 在估算出匯率失調(diào)程度后,本文進一步就實際匯率失調(diào)對國內(nèi)外宏觀經(jīng)濟的影響作了實證分析：(1)實際匯率失調(diào)對國內(nèi)物價水平的影響。實際匯率失調(diào)對國內(nèi)三個價格指數(shù)CPI、PPI和RPI的傳遞效應(yīng)是不完全的,短期來看,PPI的彈性最大為-0.309,但長期來看實際匯率失調(diào)對CPI的影響最大為-0.028,實際匯率失調(diào)(錯位)從總體上會造成國內(nèi)物價水平的不穩(wěn)定,給以通貨膨脹為目標的貨幣政策帶來不確定性；(2)匯率失調(diào)對經(jīng)濟增長和就業(yè)的影響�？偟膩砜�,實際匯率失調(diào)會給本國經(jīng)濟和就業(yè)帶來不利的負面效應(yīng)。具體地,短期,人民幣實際匯率每低估1%,中國實際GDP增長率就增加0.289%,但長期不利于經(jīng)濟的可持續(xù)增長和產(chǎn)業(yè)結(jié)構(gòu)的優(yōu)化；實際匯率高估抑制經(jīng)濟增長,且效應(yīng)大于0.289。實際匯率失調(diào)對就業(yè)增長率也有滯后的負面效應(yīng),實際匯率每低估0.1個百分點,就業(yè)增長率就提高5.6個百分點；(3)實際匯率失調(diào)對國際收支的影響。實際匯率失調(diào)對經(jīng)常賬戶的影響是負向的,實際匯率低(高)估與凈出口正(負)相關(guān)。具體地,實際匯率每低估1%,則出口增加1.967%、進口降低0.153%,對于以FDI為代表的資本項目,實際匯率失調(diào)與FDI負相關(guān),實際匯率低估1%,會使得FDI增加4.24%,因而實際匯率低估反而有利于對國外資本的投資吸引,這或許是緣于外資對我國經(jīng)濟看好和人民幣升值預(yù)期的綜合反映。 最后,作者還對引起實際匯率失調(diào)的原因作了定性分析,并就實現(xiàn)內(nèi)外經(jīng)濟平衡的開放宏觀經(jīng)濟政策和匯率機制提出了相應(yīng)的政策建議或制度革新。一國匯率制度的選擇、財政政策和貨幣政策等宏觀調(diào)控手段的運用、貿(mào)易和資本政策是否合乎國情,都會引致實際匯率的失調(diào)。這需要一系列政策和工具的組合共同協(xié)調(diào)來實現(xiàn)我們的內(nèi)外均衡和匯率穩(wěn)定合理的目標：實際匯率的自我修復、與匯率政策相一致的財政和貨幣政策的調(diào)控、合理的貿(mào)易和資本政策的配合、輔之以適當?shù)膮R率政策。
[Abstract]:In recent years , China ' s macro - economy has been steadily increasing rapidly , which plays an important role in the global economy . However , on the one hand , China ' s economy generally has insufficient investment , the current account and the capital account continue to keep the double surplus , the domestic and foreign macro - economy has unbalanced situation ;
On the other hand , the western developed group , led by the United States , is constantly exerting pressure on RMB exchange rate , claiming that our country is " currency manipulator " , and the real exchange rate of RMB is seriously undervalued .

Based on the former theory description and the empirical research , the BEER model and the ERER model are combined , the long - term equilibrium relationship between the equilibrium real exchange rate and the basic economic variable is determined by using the program procedure , and the track of the equilibrium real exchange rate is obtained . The empirical results show that the real exchange rate of RMB has four times of undervaluation and three overvaluation , and the overvaluation time is not large , the time is not long , the average is less than 1 % ;
In 1994 - 1997 , the renminbi ' s actual exchange rate for 2003 - 2007 had experienced a longer time and a greater undervaluation , particularly in 1994 - 1997 , an average of more than 5 per cent .

After estimating the degree of exchange rate offset , this paper makes an empirical analysis on the effect of real exchange rate offset on domestic price level . The effect of real exchange rate offset on the domestic price index is incomplete . In the short term , PPI ' s elasticity is up to - 0.309 , but in the long run , the effect of real exchange rate offset on CPI is - 0.028 , and the real exchange rate offset ( offset ) can cause the instability of domestic price level , which brings uncertainty to monetary policy aiming at inflation .
( 2 ) The effect of exchange rate offset on economic growth and employment . In general , real exchange rate offset can bring adverse effects to domestic economy and employment . In particular , the real GDP growth rate of China is increased by 0 . 289 % , but it is not conducive to the sustainable growth of economy and the optimization of industrial structure .
Real exchange rate overvaluation suppresses economic growth , and the effect is greater than 0.289 . Real exchange rate offset has a negative effect on employment growth rate . The actual exchange rate is undervalued by 0.1 percentage point , and the growth rate of employment increases by 5.6 percentage points ;
( 3 ) The effect of actual exchange rate offset on the balance of payments is negative . The actual exchange rate is low ( high ) is related to net export positive ( negative ) . In particular , the actual exchange rate is 1 % lower than that of the net exports . In particular , the actual exchange rate is reduced by 1 % , and the real exchange rate is reduced by 0 . 153 % . The real exchange rate is undervalued by 1 % . Therefore , the actual exchange rate is undervalued , which is beneficial to the investment attraction of foreign capital , which may be due to the comprehensive reflection of foreign investment on our economy and the expectation of RMB appreciation .

Finally , the author makes a qualitative analysis on the causes of real exchange rate adjustment , and puts forward the corresponding policy suggestion or system innovation on the open macro - control policy and exchange rate mechanism of realizing internal and external economic equilibrium . The application of macro - control measures such as the choice of the country ' s exchange rate system , fiscal policy and monetary policy , etc .
【學位授予單位】：華中科技大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.6

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