人民币均衡汇率单方程模型实证分析

(),19802003,:2080,,;,;,F83017AEmpiricalStudyOfSingleEquationOnRMBsEquilibriumExchangeRateAbstracts:Bysettingupageneral2equilibriumsingleequationmodel,thispa2perestimatestheequilibriumexchangerateofRMBbasedontheannualdatafrom1980to2003,unitroottest,cointegrationanderrorcorrectionmodel1Thepaperdrawssomeconclusions:realeffectiveexchangerateofRMBfluctuatesroundtheequilibriumexchangeratesince1980sandhasbeenoverestimatedandunderes2timated;basiceconomicfactorssuchastermoftrade,openning2upaffectREERofRMBmoremarkedlythanfiscalpolicy,monetarypolicyandforeignexchangere2serve;RMBcanmodifymisalignmentbyitselfandpeggingtoabasketcurrencycanreflectthefluctuationofREERofRMBpreferably1Keywords:RMB;EquilibriumExchangeRate;RealEffectiveExchangeRate(REER),,,,4220062,(Overholt,2003;Bosworth,2004;Frankel,2004;Goldstein,2004)(,19982000;,2002;,2003;,2004),(1997)(2001)(2004),,,,2000,ERER(,20002001;,2002;,2002;,2003;,2004)BEER(,2001;,2001;,2004),(2001)19781999,GDP,,(ERER),1984119994(BEER)(2001)19541997,(BEER),(GDP)(2003)19922001,,,,(,2001;,2001;,2002;,2002)2001,2001;(,2001;,2002;,2004),;(,2004),;;Edwards,(19992001),,19802003,;;11EdwardsEdwards,,,52(2004),,,(ERER),Edwards,:log(e3t)=0+ilog(FUNDit)+ut(1),e3tERER,FUNDitEdwards33:(TOT);(GCN);(KCON);(XCON);(TECHPRO);GDP(INVGDP);(EXC);(DEH)(1),Edwards:Vloget={loge3t-loget-1}-{Zt-Z3t}+{logEt-logEt-1}-(PMPRt-PMPRt-1)(2),e;e3;Zt;Z3t;Et;PMPR;,(),e3,(2),Vloget:Vloget=1log(TOT)t+2log(GCGDP)t+3log(TARIFFS)t+4log(KAPFLO)t+5log(TECHPRO)t-loget-1-EXCREt+NOMDEVt-(PMPRt-PMPRt-1)+t(3),TOT;GCGDPGDP;TARIFFS;KAPFLO;TECHPRO;EXCRE;NOMDEV21,,GDP,,ERER,,,,,;,,,;,,,,6220062,,(2005721),,,,,,,,,ERER:REER=f[TOT(+),OPEN(-),GEX(+),FR(+)],REER;TOT;OPEN;GEX;FRGDP;,(REER),1990100;TOT1995100;OPENGDP;GEXGDP;FRGDP;198020041172TOT:19801990(1999),,2001;20002003;OPENGEX:http::http::19801999(1999),,2001;20002003,20042,,LTOTLOPENLGEXLFRLREER,,11,,,1(C,t,q)(1%)(5%)DWLREER(C,0,1)-21086241-317667-31003821063669&LREER(C,t,2)-41232920-415000-31659121413944LTOT(C,0,1)-11681771-317856-31011411954746<OT(C,0,1)-31325035-318067-31019921021245LOPEN(C,0,1)-01643145-317667-31003811776095&LOPEN(C,0,1)-31742178-317856-31011411942785LGEX(C,0,1)-11498794-317667-31003811528515&LGEX(0,0,1)-11804035-216819-11958311962715LFR(C,t,1)-31061746-414691-31645421228785&LFR(C,0,1)-31685647-318067-31019911980028:C;t;1Engle2GrangerLREERLTOTLOPENLGEXLF,(2);,RESIDADF,ADF-31442406,5%,,,LREERLTOTLOPENLGEXLFR,(t):LREER=-3176+2103LTOT-015LOPEN+01778LGEX+010047LFR(-11928651)(416689814)(-41590561)(91710346)(21319118)R2=01978558AdjR2=01973513DW=11811715F=193196362TC-3175644711947707-11928651010706LTOT210296080143470141668981010002LOPEN-0150118701109178-41590561010003LGEX017781530108013691710346010000LFR010473840102043221319118010331R20197855841730998R2019735130142540301069233-2130595901081483Schwartz-2105799530136555F19319636DW11811715F01000000:LREER8220062;,2103,1,;-015,1,015;01778,1,018;01047,1,0105,,01047,,,,,,,,,,,,Granger,:yt=0+0xt+(t-1)(yt-1-ktxt-1)+t,(t-1)(yt-1-ktxt-1)(yt-1-ktxt-1)t-1(t-1),yt3TRESID(-1)-0184050701380673-212079530104458DLTOT115424280154523721828911010142DLOPEN-0148941501192920-21536875010248DLGEX018217700126224831133563010079DLFR0104870103700511316049012109DLCREDIT-0128789901313415-01918586013750NOMDEP(-1)010063920100797801801225014374R201770187-01047568R2016464420111540401068620-2123813401061213Schwartz-1184022131150041F61223962DW21197061F01002370:DLREER;D,-1;RESIDE92(3)(t):DLREER=-0184RESID(-1)+1154DLTOT-0149DLOPEN+0182DLGEX(-21207953)(21828911)(-21536875)(31133563)+01049DLFR-01029DLCREDIT+01016NOMDEP(-1)(11316049)(-01918586)(01801225),RESID(-1)0184,Edwards,,GDP,,,,20,,H2PGDPGDP,,19802003,:MIS=REER-REERHPREERHP100%,REERHPHP(2)(Misalignment),,(3),1981199019992003;19821985,198319840320062Edwards0173901941Elbadawi01670178H2P,80HodrickPrescott;19861995,198619871988199219931994;19962002,1996199720002001,2080,,,,,;;,;,,,,,0184,,,,,,[1]:[M],,2001[2]:[M],,2003[3]:[J],199710[4]:[J],199810[5]:[J],20001[6]::19781999[J],20008[7]:[J],200212[8]:[J],20025[9]::[J],200311[10]:[J],200210[11]:[J],20041[12]:[J],20042[13]:[J],20044[14]:[J],20045[15]:[R],20053[16]Overholt,William,ChinapsCurrencyProspects,processed,RandCorporation,January,20031[17]MorrisGoldstein,AdjustingChinapsExchangeRatePolicies,PaperpresentedtoIMFSeminaronTheForeignExchangeSystem,Dalian,China,May2627120041(107)13,[1]SalopSC,Scheffman:DTRaisingstrategies[J],TheJournalofIndustrialEconomics,1987,36(1):1934.[2]PerryMK1Vertical,Integration:Themonopsonycase[J],AmericanEconomicReview,1978,68(4):5615701[3]FarrellJ1,ShapiroC1Horizontal,mergers:Anequilibriumanalysis[J],AmericanEconomicRe2view,1990,80(3):1071261[4]OrdoverJA,SalonerG,SalopSC1Equilibriumverticalforeclosure[J],TheAmericanEconomicReview,1990,80(1):1271421[5]HartO,TiroleJ1Verticalintegrationandmarketforeclosure[M],BrookingsPapersonEconomicActivity:Microconomics,199012052761[6]ChenYongmin1Onverticalmergersandtheircompetitiveeffects[J],RANDJournalofEconom2ics,2001,32(4):6676851[7]