本文選題：人民幣匯率錯(cuò)位　切入點(diǎn)：均衡實(shí)際匯率模型　出處：《江西財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：自第二次世界大戰(zhàn)后以美元為中心的布雷頓森林體系瓦解之后，各國(guó)陸續(xù)放棄了固定匯率制度，實(shí)施有管理的浮動(dòng)匯率制度，外匯市場(chǎng)的波動(dòng)幅度隨之?dāng)U大。自此，外匯市場(chǎng)與股票市場(chǎng)之間的影響關(guān)系逐漸被經(jīng)濟(jì)金融學(xué)者所重視。發(fā)生于1997年的亞洲金融危機(jī)也表明了，在開(kāi)放經(jīng)濟(jì)體制下，匯率的變動(dòng)與股票市場(chǎng)的波動(dòng)之間的關(guān)系越來(lái)越緊密。我國(guó)自2005年開(kāi)始實(shí)行以市場(chǎng)供求為基礎(chǔ)、參考一籃子貨幣進(jìn)行調(diào)節(jié)、有管理的浮動(dòng)匯率制度以來(lái)，人民幣就不再單一盯住美元，形成了更有彈性的人民幣匯率制度，與此同時(shí)，我國(guó)股票市場(chǎng)進(jìn)行了股權(quán)分置改革，股市綜合指數(shù)在一定程度上反映了經(jīng)濟(jì)的整體運(yùn)行情況。國(guó)際金融危機(jī)的爆發(fā)，使得發(fā)達(dá)國(guó)家經(jīng)濟(jì)率先受到重創(chuàng)，為挽救本國(guó)國(guó)內(nèi)經(jīng)濟(jì)增長(zhǎng)和就業(yè)穩(wěn)定，發(fā)達(dá)國(guó)家相繼推出了各種量化寬松貨幣政策，如QE1、QE2和QE3，從而變相地引起我國(guó)貨幣升值。在這一背景下，加強(qiáng)對(duì)匯率變動(dòng)與股價(jià)波動(dòng)之間的關(guān)聯(lián)性研究具有重要的理論價(jià)值和現(xiàn)實(shí)意義。 在內(nèi)容上，本文主要分為兩大部分： （1）對(duì)人民幣均衡匯率水平和匯率錯(cuò)位的測(cè)算 在這部分，首先對(duì)國(guó)際上常用的測(cè)算均衡匯率水平的理論進(jìn)行詳細(xì)地闡述，主要有五種：購(gòu)買力平價(jià)理論(PPP)、基本要素均衡匯率理論(FEER)、自然均衡匯率理論(NATREX)、行為均衡匯率理論(BEER)和均衡實(shí)際匯率理論(ERER)。其中前四種理論主要是針對(duì)發(fā)達(dá)國(guó)家特有的經(jīng)濟(jì)特征提出來(lái)的，而均衡實(shí)際匯率理論(ERER)則考慮了發(fā)展中國(guó)家經(jīng)濟(jì)中的經(jīng)濟(jì)對(duì)外開(kāi)放程度較低、資本項(xiàng)目受管制、雙重匯率等特征。 接下來(lái)，本文結(jié)合中國(guó)國(guó)情，綜合考慮廖以高和呂江林、王磊關(guān)于均衡實(shí)際匯率模型(ERER)的拓展研究，使用1990年—2011年年度數(shù)據(jù)，經(jīng)過(guò)理論與計(jì)量分析，建立了人民幣匯率水平與政府支出水平、政府稅收余額水平、經(jīng)濟(jì)對(duì)外開(kāi)放程度、貿(mào)易條件、凈資本流入等變量之間的模型。實(shí)證結(jié)果表明，除政府支出水平對(duì)人民幣匯率水平的影響不顯著之外，政府稅收余額水平、經(jīng)濟(jì)對(duì)外開(kāi)放程度、貿(mào)易條件和凈資本流入對(duì)人民幣匯率水平存在不同程度的影響。其中，政府稅收余額水平的影響最大，其次為經(jīng)濟(jì)對(duì)外開(kāi)放程度。 最后，本文將政府支出水平、政府稅收余額水平、經(jīng)濟(jì)對(duì)外開(kāi)放程度、貿(mào)易條件和凈資本流入進(jìn)行H-P濾波，剔除其短暫性因素影響，得出上述變量的均衡值，再將上述變量的均衡值代入長(zhǎng)期均衡匯率模型中測(cè)算出人民幣均衡匯率水平，并使用匯率錯(cuò)位的定義計(jì)算出人民幣匯率錯(cuò)位程度。結(jié)果發(fā)現(xiàn)，在1990—1996年，2003—2007年間，人民幣匯率錯(cuò)位0，人民幣匯率被低估；在1997—2002年，，2008—2011年間，人民幣匯率錯(cuò)位0，人民幣匯率被高估。 （2）對(duì)人民幣匯率錯(cuò)位與股市波動(dòng)之間的關(guān)系進(jìn)行實(shí)證分析 在該部分，本文先從利率、進(jìn)出口貿(mào)易額、貨幣供應(yīng)量、心理預(yù)期等中介變量角度對(duì)匯率變動(dòng)與股市波動(dòng)之間的雙向傳導(dǎo)機(jī)制進(jìn)行詳細(xì)地描述；接下來(lái)，從理論上探討了人民幣匯率錯(cuò)位與股市波動(dòng)之間的影響關(guān)系；最后，對(duì)測(cè)算出來(lái)的匯率錯(cuò)位與我國(guó)上證綜合指數(shù)增長(zhǎng)率進(jìn)行格蘭杰因果檢驗(yàn)，研究結(jié)果表明，人民幣匯率錯(cuò)位不是股市波動(dòng)的格蘭杰原因，股市波動(dòng)也不是人民幣匯率錯(cuò)位的格蘭杰原因，并從外匯市場(chǎng)、股票市場(chǎng)和利率、貨幣供應(yīng)量等中介變量角度進(jìn)行了原因分析和政策建議。 本文的主要?jiǎng)?chuàng)新點(diǎn)是前人在對(duì)匯率變動(dòng)與股市波動(dòng)之間的影響關(guān)系進(jìn)行研究時(shí)，主要是從人民幣匯率角度考慮，而沒(méi)有從人民幣匯率錯(cuò)位這樣一個(gè)角度考慮。本文的不足之處有兩點(diǎn)：(1)由于數(shù)據(jù)的可獲取性和實(shí)證的不可操作性，本文忽略了人民幣均衡匯率模型中的國(guó)內(nèi)外利差和貨幣供應(yīng)量這兩個(gè)變量，這會(huì)使得人民幣均衡匯率水平的測(cè)算具有一定的偏差；(2)由于本人的知識(shí)和能力所限，本文僅對(duì)人民幣匯率錯(cuò)位與我國(guó)股市波動(dòng)之間的影響關(guān)系進(jìn)行了實(shí)證分析，而沒(méi)有進(jìn)一步從利率、貨幣供應(yīng)量等中介變量對(duì)其傳導(dǎo)機(jī)制進(jìn)行實(shí)證分析。
[Abstract]:After the collapse of the second world war with the dollar as the center of the Bretton Woods system, countries have abandoned the fixed exchange rate system, the implementation of a managed floating exchange rate system, the fluctuation in the foreign exchange market expands. Since then, between foreign exchange market and the stock market's influence gradually by the economic and financial scholars pay great attention to the Asian financial crisis. In 1997 also show that, in the open economy system, the relationship between exchange rate and stock market volatility more closely. China began to implement the basis of market supply and demand since 2005, with reference to a basket of currencies, since a managed floating exchange rate system, the RMB will no longer peg to the dollar, formed a more flexible RMB exchange rate system, at the same time, China's stock market share reform, the stock index reflects to a certain extent The overall economic situation. The outbreak of the international financial crisis, the economy of developed countries to be hit, in order to save the domestic economic growth and employment stability, the developed countries have launched a variety of quantitative easing monetary policy, such as QE1, QE2 and QE3, thus disguised to bring up our currency appreciation. In this context, strengthening has important theoretical value and practical significance to study the relationship between exchange rate and stock price volatility.
In the content, this article is divided into two main parts.
(1) calculation of the equilibrium exchange rate of RMB and the dislocation of the exchange rate
In this part, firstly, the common calculation of equilibrium exchange rate theory in detail, there are five main types: the theory of purchasing power parity (PPP), the basic elements of the theory of equilibrium exchange rate (FEER), natural equilibrium exchange rate theory (NATREX), behavioral equilibrium exchange rate theory (BEER) and the equilibrium real exchange rate theory (ERER). Four of them are unique economic characteristics in developed countries put forward, and the equilibrium real exchange rate theory (ERER) is considered the economy of developing countries in economic opening degree is low, the capital account controls, dual exchange rate and other features.
Next, this paper Chinese conditions, considering Liao Yigao and Lv Jianglin, Wang Lei on the equilibrium real exchange rate model (ERER) research and development, the use of the 1990 to 2011 Annual data, through theory and econometric analysis, the establishment of the RMB exchange rate level and the level of government expenditure, government tax balance, economic openness, trade conditions, between net capital inflows and other variables in the model. The empirical results show that, in addition to government spending on the RMB exchange rate is not significant, government tax balance, economic openness, there are different degrees of impact on the level of RMB exchange rate and net capital inflow in terms of trade. Among them, government tax balance is the largest, followed by the economic degree of opening.
Finally, the level of government expenditure, government tax balance, economic openness, trade conditions and net capital inflows of H-P filter for eliminating influence of the transient factors reached the equilibrium value of the above variables, then the equilibrium value of the above variables into a long-term equilibrium to calculate the equilibrium exchange rate of RMB exchange rate model, and definition the use of exchange rate misalignment is calculated on the basis of the RMB exchange rate misalignment. The results showed that in 1990 - 1996, 2003 - 2007 years, the RMB exchange rate misalignment 0, RMB exchange rate is undervalued; in 1997 - 2002, 2008 - 2011 years, the RMB exchange rate misalignment 0, RMB exchange rate is overvalued.
(2) an empirical analysis of the relationship between the misposition of the exchange rate of RMB and the fluctuation of the stock market
In this part, firstly from the interest rate, import and export trade, money supply, detailed description of the two-way transmission mechanism between exchange rate and stock market volatility of the psychological expectations of the intermediary variables such as angle; next, discusses the RMB exchange rate misalignment and influence between the stock market volatility relationship in theory; finally, based on the RMB exchange rate misalignment and growth rate of Shanghai Composite Index Grainger causality test, the results show that the Grainger reason of RMB exchange rate misalignment is not the stock market volatility, stock market volatility is not the Grainger reason of RMB exchange rate misalignment, and from the foreign exchange market, the stock market and interest rate, money supply and other intermediary variable angle are analyzed and the reasons of policy advice.
The main innovation of this paper is to study the effects in the former between exchange rate and the relationship between stock market volatility, the RMB exchange rate is mainly considered from the point of view, without considering the RMB exchange rate misalignment from such a point of view. There are two shortcomings in this paper: (1) due to the availability of data and empirical not in this operation, ignoring the domestic and foreign interest rate and money supply model of RMB equilibrium exchange rate in these two variables, which makes the calculation of RMB equilibrium exchange rate has a certain deviation; (2) because of my knowledge and ability is limited, this article only carries on empirical analysis between RMB exchange rate misalignment and influence China's stock market volatility, and no further from the interest rate, money supply and other intermediary variables of the transmission mechanism for empirical analysis.

【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.6;F832.51

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