人民币均衡汇率与汇率失调1991-2004

1No.C20050022005-01No.C200500220051112No.C2005002200511119911--20043319911--20043412354566ttttqZTβθε′′=++tqtZtT,βθtεttZTβθ′′+ttqZβ′′=tqtq′ttcmqq′=−**ttqZβ′=*tZtq*tq*ttpmqq=−7771ln()ln(/)iiiireerREERwSCPICPI===∑CPIiCPIiSiiwi71lnln(/)ln(/)iiiitotTOTEXIMwEXIM===−∑8Williamson199498,EXIM71ln()ln(/)ln(/)iiiitntTNTCPIWPIwCPIWPI===−∑101112——94.24.34.44.54.64.74.84.91992199419961998200020022004reer4.524.564.604.644.684.72199219941996199820002002200tnt4.24.34.44.54.64.74.84.91992199419961998200020022004reer4.524.564.604.644.684.72199219941996199820002002200tnt.2.3.4.5.6.7.81992199419961998200020022004trade.2.3.4.5.6.7.81992199419961998200020022004trade.0.1.2.3.4.5.6.7.8.91992199419961998200020022004nfa4.404.454.504.554.604.654.704.75199219941996199820002002200tot.0.1.2.3.4.5.6.7.8.91992199419961998200020022004nfa4.404.454.504.554.604.654.704.75199219941996199820002002200tot1013140-1VAR11-2VAR2ModelEvaluationDiagnosticsMultivariateDiagnosticTestAutocorrelationLMTestLM1LM4LM8LM1236.2363136.2929933.5845623.029310.0681*0.06730.11710.5759HeteroskedasticityTest2(345)χ=377.11880.1128Jarque-BeranormalTest2(10)χ=17.122990.0717*p1512=0.4982552.2200921.0587390.7755950.539198reernfatnttottrade+−−−134.24.34.44.54.64.74.84.95.01992199419961998200020022004reerbeer_current100%×16-7-614-.3-.2-.1.0.1.2.31992199419961998200020022004mis_current(%)100%×4.24.34.44.54.64.74.84.91992199419961998200020022004reerbeer_permanent1715-.3-.2-.1.0.1.2.31992199419961998200020022004mis_permanent(%)1819924199416141.219924194.431919941630%50%100%25%15%2015%5%21222310-15%171819RenminbiEquilibriumExchangeRateandChina’sExchangeRateMisalignment:1991-2004JianhuaiShi(ChinaCenterforEconomicResearch,PekingUniversity)HaifengYu(AssetManagementDepartment,HongtaSecuritiesCompanyLtd.)Abstract:ThispaperemploysthesocalledbehavioralequilibriumexchangeratemodeltoestimatetheequilibriumrealexchangerateofRenminbiandtheexchangeratemisalignmentinChina,whichcoverstheperiodfrom1991q1to2004q3.Themainfindingsofthepaperarethat(1)since1994q4,Renminbiequilibriumexchangeratehasexhibitedasteadyappreciation,themainmovingforcesbehindthatarethefastproductivitygrowthwithinthemanufacturesectorandtherapidlyenlargednetforeignassetposition;and(2)thatRenminbirealexchangeratehasbeenmisalignedduringmostofthesampleperiod,particularly,undervaluationoccurredin1992q2—1994q4period,overvaluationoccurredin1995q1—1999q2,andundervaluationhasoccurredagainsince1999q3,whichalsohasanenlargingtrendsince2002q2.Thepaperalsoanalysestheeconomicreasonsandpolicyimplicationsofthefindings.Keywords:Renminbi,equilibriumrealexchangerate,exchangeratemisalignment,behavioralequilibriumexchangeratemodel2021No.C20050021991-2004……No.C2005001………………………………No.C2004016……No.C2004015…………………………………………………No.C2004014………………………………No.C2004013……………………………………………………No.C2004012…………..No.C2004011000……………………………………………………No.C2004010,……………………No.C20040091644-2000………………..No.C2004008………………………………………No.C2004007…………………No.C2004006……………………………………………………No.C2004005………………………………No.C2004004……………………No.C2004003…………………………………………………………….No.C2004002…………….No.C2004001.................………..No.C2003033……………………………………………No.C2003032……………………………………………………………No.C2003031……………………………………………………………No.C2003030……………………