人民币均衡汇率分析:BEER方法

Abstract

本文运用行为均衡汇率模型BEER方法,采用1995年第1季度至2005年第4季度的数据,估计了人民币均衡实际汇率以及人民币实际汇率失调程度。协整分析结果表明,相对贸易条件的改善和净对外资产比重的提高会引起均衡汇率升值,而反映Balassa-Samuelson效应的非贸易品与贸易品价格比的提高、开放度的提升及政府支出比重的上升都会引起人民币均衡汇率的贬值。样本期内汇率失调的估计结果表明,人民币实际汇率的失调程度并不像国外文献估计的那么高,相反在我们估计的样本期内失调程度是比较小的,说明人民币实际汇率基本稳定在均衡汇率附近。增长回归分析表明汇率失调对经济增长率有负面影响,高估会降低经济增长率,而低估对经济增长有一定的促进作用,实际汇率波动对经济增长没有显著影响。

This article employs BEER approach to estimate RMB Equilibrium Exchange Rate and its misalignment with the quarterly data from 1995-2005. The cointegration analysis proves that the improvement of the relative terms of trade and increment of share of net foreign assets will drive RMB real exchange rate appreciation and the increment of the ratio between the price of non-traded goods and that of the traded goods, the improvement of openness and the increment of government expenditure will drive the RMB real exchange rate depreciation. And the estimation sees that the misalignment of RMB real exchange rate is not as large as some foreign literatures' estimation,which proves that the gradual reform of the mechanics of RMB exchange rate was succeed. The growth regression on misalignment shows that misalignment has a significant negative effect on economic growth, specifically, overvalue does harm to growth, while undervalue may improve growth.