人民币均衡实际汇率与最优弹性区间测度
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| Title | Equilibrium Real Exchange Rate of RMB and the Optimal Elastic Band Measurement
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| 作者 | 王爱俭 林楠 |
| Author | Wang Aijian and Lin Nan |
| 作者单位 | 天津财经大学 |
| Organization | Tianjin University of Finance and Economics |
| 作者Email | aijianw@163.com；ln831@163.com |
| 中文关键词 | 均衡实际汇率 相对货币结构 最优弹性区间 人民币国际化 |
| Key Words | Equilibrium Real Exchange Rate; Relative Monetary Structure; Optimal Elastic Band of REER; RMB Internalization |
| 内容提要 | 保持人民币汇率在合理、均衡水平上的基本稳定对于人民币国际化具有重要意义。本文在现有研究基础上，中长期通过实际汇率分解及巴拉萨—萨缪尔森效应拓展，短期内进行非抛补利率平价拓展分析，引入国内外相对货币结构差异因素，用以反映UIP风险升水补贴，进而对中国资本项目管制经济转型条件下实际汇率的主要决定因素进行协整检验和动态分析。在本研究框架下，综合考虑实体经济与货币金融经济后的人民币实际汇率失调并不严重。在协整和动态回归分析基础上，对人民币实际有效汇率的最优弹性区间进行测度约为6%，该弹性区间在一般情况下基本够用，并且进入2011年人民币实际有效汇率已升值过度并出现了汇率高估，为此应审慎升值。 |
| Abstract | It is important to keep RMB exchange rate stable in a reasonable and balanced band for RMB Internalization. This paper extends the PPP from the real exchange rate decomposition and Balassa-Samuelson effect in the long-run and in short-run by UIP expansion analysis. In order to reflect the UIP risk premium，the paper introduces domestic and foreign relative currency structure difference factors. As for China’s economic transition and capital account control, we sum up the key factors, as the real exchange rate’s main determinants, and with the help of cointegration test and dynamic analysis, the paper presents a framework considering the real economy and the monetary economy, under which the RMB real exchange rate misalignment is not serious. On the basis of cointegration and dynamic regression analysis, the paper estimates that the RMB real effective exchange rate’s optimal elastic band is about 6%, which in the general case the elastic band is enough, and in 2011 REER has already appreciated excessively. So we should be careful with appreciation of RMB REER. |
| 文章编号 | WP350 |
| 登载时间 | 2012-08-31 |
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