不完美套利条件下人民币均衡汇率研究
摘要
1997年亚洲金融危机以来,短短十余年时间里,人民币汇率问题几度成为国内外理论界和工商界关注的焦点。其中既涉及到人民币是否应该升值的问题,又涉及到人民币汇率形成机制改革的问题。对于人民币升值与贬值的争论,关键问题是要测算出人民币的均衡汇率;对于人民币汇率形成机制改革,关键问题则是测算出人民币汇率波动的合理幅度。这两个问题都需要理论界予以解决,本文的选题正是着眼于解决这两个问题的。具体来说,本文试图分析不完美套利条件下的人民币均衡汇率,并且得出结论:不完美套利条件下存在一个可以保证内外经济都处于均衡状态的人民币汇率区间,该区间的边界可以作为人民币汇率波动幅度的参考。因此本文的意义在于探求人民币汇率的合理水平,同时为确定人民币汇率的合理波动幅度提供技术支持。
本文首先分析了完美套利条件下均衡汇率的决定。通过建立一个包含一个国家、两个部门(贸易品部门和非贸易品部门)、两种产品(贸易品和非贸易品)的模型,本文认为完美套利条件下均衡汇率是由居民对贸易品和非贸易品不同的偏好、理想的外债余额-产出比以及各部门劳动生产率的差异决定的。具体而言,均衡汇率由三部分构成:资本边际生产率的差异、决定均衡汇率的需求因素和决定均衡汇率的供给因素;而均衡汇率的动态变化则主要来自于供给因素的变化,即劳动生产率的提高。
随后本文放松假设,讨论不完美套利条件下均衡汇率的决定。不完美套利意味着沉淀成本和交易成本不可忽略。借助于Dixit(1989)和Dumas(1992)的沉淀成本和交易成本模型,本文进一步证明:当套利不完美的时候,均衡汇率将是一个包含购买力平价的区间;而当沉淀成本和交易成本均消失的时候,均衡汇率区间将退化为一点,即购买力平价。而这里的购买力平价是内外均衡条件下的购买力平价,即完美套利条件下的均衡汇率。因此可以用内外均衡条件下的购买力平价、均衡汇率区间的最大值和最小值(分别称为中心汇率和两个边界汇率)来完整充分的刻画不完美套利条件下的均衡汇率。
在此基础上,本文首先通过建立多元线性回归模型探寻了不完美套利条件下人民币各年的均衡中心汇率,然后利用一个转换函数为logistic函数形式的双阀值单变量平滑转换自回归模型(LSTAR模型)实证分析了不完美套利条件下人民币均衡汇率区间的上下界。结果显示,若以人民币年平均汇率对均衡中心汇率的偏离程度度量,人民币均衡汇率区间是[-18.2%,14.9%],不仅如此,人民币汇率在均衡汇率区间内外的运行机制转换速度非常快。
基于上述结果,本文作出判断:1994年人民币汇率制度改革以来,由于人民币市场汇率表现的较为稳定,而同时人民币均衡汇率区间总体上却在升值通道中,因此人民币汇率开始日益低估;在人民币汇率形成机制改革方面,人民币汇率浮动区间的合理设置应该是在均衡中心汇率上下[-18.2%,14.9%]的范围内。最后,文章认为应该采取多次不连续重估的策略遏制当前流动性过剩的问题。
Since the Asian financial crisis in 1997,the RMB exchange rate has been the topic of discusses in the community of the theory and industries from home and abroad.They concerned about not only whether RMB should be revaluated but also the mechanism reform of RMB exchange rate formulation.As far as the revaluation and devaluation of RMB are concerned,the critical task is to calculate the equilibrium exchange rate of RMB,and to the mechanism reform of RMB exchange rate formulation,it is important to calculate the rational floating band of RMB exchange rate.And this paper is just to solve the very two problems.Specifically speaking,the paper tries to analyze the RMB equilibrium exchange rate under the condition of imperfect arbitrage and draws the conclusion that there is an equilibrium band of RMB exchange rate which can serve as the rational floating band of RMB exchange rate.
The paper firstly analyzed the decision of equilibrium exchange rates under the perfect arbitrage.In a model including one country,two sectors and two kinds of products,the author believed that equilibrium exchange rates under perfect arbitrage are decided by the differences in the preference to the tradable and non-tradable products,the rational debt-to-GDP ratio and the productivity.In more detail,the equilibrium exchange rate is equal to the relative marginal productivity of the two country's capital plus some factors in demand and supply,and the changing of the equilibrium exchange rate is caused mainly by the advancing of productivity.
Then,the paper got rid of some assumptions to analyze the equilibrium exchange rate under the condition of imperfect arbitrage,which means a considerable transaction cost and sunk cost.And the paper used dynamic programming to prove out that under the condition of imperfect arbitrage,the equilibrium exchange rate is a band of exchange rates including purchasing power parity,and when the transaction cost and sunk cost is zero,then the equilibrium band of exchange rate would be a point,that's PPP.So we can use PPP,which serves as the central equilibrium exchange rate,the maximum and minimum of the equilibrium band of exchange rates to describe the equilibrium exchange rate under the condition of imperfect arbitrage.
Based on the above results,the paper established a multiple linear regression model to search for the RMB central equilibrium exchange rate under the condition of imperfect arbitrage,and then a logistic smooth transition auto-regression model was used to seek the maximum and minimum of the equilibrium band of RMB exchange rate.The results are as follows:if the deviation from the central equilibrium exchange rate is used to calculate the equilibrium band of RMB exchange rate,the band is [-18.2%,14.9%],what's more,the RMB exchange rate will transfer from the internal band to the external band(or from the external band to the internal band) at a high speed.
In the end,the paper gave its own opinion:Since the RMB exchange rate system reform in 1994,the RMB exchange rate in foreign exchange market has been stable, and at the same time the RMB equilibrium exchange rate has been appreciated,so RMB exchange rate has been under-valuated day after day;and as far as the mechanism reform of RMB exchange rate formulation is concerned,the equilibrium band of RMB exchange rate is[-18.2%,14.9%];and to decrease the nowadays surplus liquidity,China should revaluate RMB exchange rate repeatedly and discretely.
本文首先分析了完美套利条件下均衡汇率的决定。通过建立一个包含一个国家、两个部门(贸易品部门和非贸易品部门)、两种产品(贸易品和非贸易品)的模型,本文认为完美套利条件下均衡汇率是由居民对贸易品和非贸易品不同的偏好、理想的外债余额-产出比以及各部门劳动生产率的差异决定的。具体而言,均衡汇率由三部分构成:资本边际生产率的差异、决定均衡汇率的需求因素和决定均衡汇率的供给因素;而均衡汇率的动态变化则主要来自于供给因素的变化,即劳动生产率的提高。
随后本文放松假设,讨论不完美套利条件下均衡汇率的决定。不完美套利意味着沉淀成本和交易成本不可忽略。借助于Dixit(1989)和Dumas(1992)的沉淀成本和交易成本模型,本文进一步证明:当套利不完美的时候,均衡汇率将是一个包含购买力平价的区间;而当沉淀成本和交易成本均消失的时候,均衡汇率区间将退化为一点,即购买力平价。而这里的购买力平价是内外均衡条件下的购买力平价,即完美套利条件下的均衡汇率。因此可以用内外均衡条件下的购买力平价、均衡汇率区间的最大值和最小值(分别称为中心汇率和两个边界汇率)来完整充分的刻画不完美套利条件下的均衡汇率。
在此基础上,本文首先通过建立多元线性回归模型探寻了不完美套利条件下人民币各年的均衡中心汇率,然后利用一个转换函数为logistic函数形式的双阀值单变量平滑转换自回归模型(LSTAR模型)实证分析了不完美套利条件下人民币均衡汇率区间的上下界。结果显示,若以人民币年平均汇率对均衡中心汇率的偏离程度度量,人民币均衡汇率区间是[-18.2%,14.9%],不仅如此,人民币汇率在均衡汇率区间内外的运行机制转换速度非常快。
基于上述结果,本文作出判断:1994年人民币汇率制度改革以来,由于人民币市场汇率表现的较为稳定,而同时人民币均衡汇率区间总体上却在升值通道中,因此人民币汇率开始日益低估;在人民币汇率形成机制改革方面,人民币汇率浮动区间的合理设置应该是在均衡中心汇率上下[-18.2%,14.9%]的范围内。最后,文章认为应该采取多次不连续重估的策略遏制当前流动性过剩的问题。
Since the Asian financial crisis in 1997,the RMB exchange rate has been the topic of discusses in the community of the theory and industries from home and abroad.They concerned about not only whether RMB should be revaluated but also the mechanism reform of RMB exchange rate formulation.As far as the revaluation and devaluation of RMB are concerned,the critical task is to calculate the equilibrium exchange rate of RMB,and to the mechanism reform of RMB exchange rate formulation,it is important to calculate the rational floating band of RMB exchange rate.And this paper is just to solve the very two problems.Specifically speaking,the paper tries to analyze the RMB equilibrium exchange rate under the condition of imperfect arbitrage and draws the conclusion that there is an equilibrium band of RMB exchange rate which can serve as the rational floating band of RMB exchange rate.
The paper firstly analyzed the decision of equilibrium exchange rates under the perfect arbitrage.In a model including one country,two sectors and two kinds of products,the author believed that equilibrium exchange rates under perfect arbitrage are decided by the differences in the preference to the tradable and non-tradable products,the rational debt-to-GDP ratio and the productivity.In more detail,the equilibrium exchange rate is equal to the relative marginal productivity of the two country's capital plus some factors in demand and supply,and the changing of the equilibrium exchange rate is caused mainly by the advancing of productivity.
Then,the paper got rid of some assumptions to analyze the equilibrium exchange rate under the condition of imperfect arbitrage,which means a considerable transaction cost and sunk cost.And the paper used dynamic programming to prove out that under the condition of imperfect arbitrage,the equilibrium exchange rate is a band of exchange rates including purchasing power parity,and when the transaction cost and sunk cost is zero,then the equilibrium band of exchange rate would be a point,that's PPP.So we can use PPP,which serves as the central equilibrium exchange rate,the maximum and minimum of the equilibrium band of exchange rates to describe the equilibrium exchange rate under the condition of imperfect arbitrage.
Based on the above results,the paper established a multiple linear regression model to search for the RMB central equilibrium exchange rate under the condition of imperfect arbitrage,and then a logistic smooth transition auto-regression model was used to seek the maximum and minimum of the equilibrium band of RMB exchange rate.The results are as follows:if the deviation from the central equilibrium exchange rate is used to calculate the equilibrium band of RMB exchange rate,the band is [-18.2%,14.9%],what's more,the RMB exchange rate will transfer from the internal band to the external band(or from the external band to the internal band) at a high speed.
In the end,the paper gave its own opinion:Since the RMB exchange rate system reform in 1994,the RMB exchange rate in foreign exchange market has been stable, and at the same time the RMB equilibrium exchange rate has been appreciated,so RMB exchange rate has been under-valuated day after day;and as far as the mechanism reform of RMB exchange rate formulation is concerned,the equilibrium band of RMB exchange rate is[-18.2%,14.9%];and to decrease the nowadays surplus liquidity,China should revaluate RMB exchange rate repeatedly and discretely.
引文
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