人民币实际有效汇率与经济增长的实证分析
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摘要
2005年7月21日,人民银行发布公告:“即日起我国开始实行以市场供求为基础,参考一篮子货币进行调解,有管理的浮动汇率制度”,同时,人民币对美元汇率升值2%,调整为1美元兑8.11元人民币。这是我国汇率制度发展过程中的一个转折点。此后,我国经济一直以强劲的势头发展,2006年,股市也迎来了久违的大“牛市”。那么,人民币的汇率波动与中国的经济增长有没有因果关系呢?本文对这个问题进行了实证研究。
近年来,由于中国宏观经济的良好态势,以及中国对外贸易的巨大顺差,使人民币面临升值压力。这种情况下,国际热钱与游资大量流入我国境内,赌人民币升值预期,成为近几年我国外汇储备和外汇占款快速上升的主要原因。同时,诱发或加重了我国房地产价格一路飙升,局部通货膨胀,货币对内贬值。在这种情况下,无论人民币对外升值还是维持当前汇率,都会给我国经济带来一些深层次变化和难以驾驭的波动。
本文的研究思路是利用现代计量经济学的协整理论来检验实际有效汇率波动与经济增长之间的关系,建立误差修正模型寻求二者之间短期动态变化和长期均衡关系,利用格兰杰因果检验考察二者之间的因果影响,并利用脉冲响应和方差分解考察二者之间的作用的强度,最后谈了人民币升值的影响和应对措施。
July 21,2005, People’s Banks issued announcement:“Today , our country to start to implement take the market supply and demand as the foundation,refers to a basket currency to carry on the mediation , has the management the floating exchange rate system, At the same time,the RMB& US dollar exchange rate 2%.”This is a milestone in the development of exchange rate system.。From then on, economy has been developing at a high speed.Is there a cause-effect relationship between real effective exchange rate of RMB and economic growth?This paper did empirical research to this topic.
In recent years,RMB have been facing the pressure that has appreciated all the time , the main inducement of this kind of pressure is devalution of U.S.dollar and Sino-America trade deficit,In this case ,international hot money and idle fund into our country in a large amount,gamble the appreciation expectancy of RMB ,become of our country foreign exchange reserve with foreign currency account for main reason that fund rise fast in recent years,Meanwhile ,having brought out or aggravated the price of real eatate of our country and risen violently all the way ,some inflation ,the currency devalues inwards,In this case ,no matter RMB appreciate and maintain the present exchange rate to the outside will bring some profound level changing and fluctuation difficult to controls to economy of our country.
This paper studies the relationship between and economic growth by employing the approaches of cointegration theory.And then estabalishes error correction model to look for the short-term dynamic change and long-term equilibrium.Next this paper uses Granger causality test to explore causality relationship between them,in the end uses impulse response function and variance decomposition analysis to examine the degree of influence between them and give suggestion for appreciation of RMB.
近年来,由于中国宏观经济的良好态势,以及中国对外贸易的巨大顺差,使人民币面临升值压力。这种情况下,国际热钱与游资大量流入我国境内,赌人民币升值预期,成为近几年我国外汇储备和外汇占款快速上升的主要原因。同时,诱发或加重了我国房地产价格一路飙升,局部通货膨胀,货币对内贬值。在这种情况下,无论人民币对外升值还是维持当前汇率,都会给我国经济带来一些深层次变化和难以驾驭的波动。
本文的研究思路是利用现代计量经济学的协整理论来检验实际有效汇率波动与经济增长之间的关系,建立误差修正模型寻求二者之间短期动态变化和长期均衡关系,利用格兰杰因果检验考察二者之间的因果影响,并利用脉冲响应和方差分解考察二者之间的作用的强度,最后谈了人民币升值的影响和应对措施。
July 21,2005, People’s Banks issued announcement:“Today , our country to start to implement take the market supply and demand as the foundation,refers to a basket currency to carry on the mediation , has the management the floating exchange rate system, At the same time,the RMB& US dollar exchange rate 2%.”This is a milestone in the development of exchange rate system.。From then on, economy has been developing at a high speed.Is there a cause-effect relationship between real effective exchange rate of RMB and economic growth?This paper did empirical research to this topic.
In recent years,RMB have been facing the pressure that has appreciated all the time , the main inducement of this kind of pressure is devalution of U.S.dollar and Sino-America trade deficit,In this case ,international hot money and idle fund into our country in a large amount,gamble the appreciation expectancy of RMB ,become of our country foreign exchange reserve with foreign currency account for main reason that fund rise fast in recent years,Meanwhile ,having brought out or aggravated the price of real eatate of our country and risen violently all the way ,some inflation ,the currency devalues inwards,In this case ,no matter RMB appreciate and maintain the present exchange rate to the outside will bring some profound level changing and fluctuation difficult to controls to economy of our country.
This paper studies the relationship between and economic growth by employing the approaches of cointegration theory.And then estabalishes error correction model to look for the short-term dynamic change and long-term equilibrium.Next this paper uses Granger causality test to explore causality relationship between them,in the end uses impulse response function and variance decomposition analysis to examine the degree of influence between them and give suggestion for appreciation of RMB.
引文
[1] Andre Varella Mollick.Real exchange rate shocks on tradables,nontradables,and the current account:Mexico.Empirical Economics[J], 2003,Vol 28,No.3:615~638.
[2] Andrew Abbott,Adrian C.Darnell,Lynne Evans.The influence of exchange rate variability on UK exports.Applied Economics Letters[J],Vol 8,No.1:47~49.
[3] B.Egert.Estimating the impact of the Balassa-Samuelson effect on inflation and the real exchange rate during the transition.Economic Systems[J],Vol 26,No.1:1~16.
[4] Collins,S.On becoming more flexible:Exchange rate regimes in Latin America and the Caribbean.Journal of Development Economics, 1996.54~87.
[5] Dell Ariccia.Exchange Rate Fluctuations and Trade Flows:Evidence from the European Union .IMF Staff Paper,1999.23~58.
[6] Dornbusch,Rudiger and Timothy Vogelsang.Real Exchange Rates and Purchasing Power Parity,Balassa,Bela.Trade theory and economic reform:Morth,South,and East:Essays in honor of Bela Balassa.Edited by Jaime de Melo and Andre Sapir,Oxford and Cambridge,Mass. Blackwell,1991.3~24.
[7] Eleanor Doyle.Exchange rate volatility and Irish-UK trade,1979-1992.Applied Economics[J],Vol 33,No.2:249~265.
[8] Grand Hyatt.The Effects of Exchange Rate Fluctuations on Economic Activity in Turkey,Economic Research Forum,,December 2005:21~35.
[9] Kevin B.Grier.The real exchange rate process and its real effect : the cases of Mexico and The USA,Journal of Applied Economics,May 2004 ,Vol.7,No.1 :1~25.
[10] Lowrence S.Copeland.Exchange rate and International Finance[M],Addison- Wesley Publishing Co,1994 .23~46.
[11] Magda Ndil.Exchange rate fluctuations and economic activity in developing countries:Theory and evidence.Journal of economic development June 2004. Vol.29,No.1:85~109.
[12] M.Bleaney,D.Fielding.Exchange rate regimes,inflation and output volatility in developing countries.Journal of Development Economics[J],Vol 68,No.1:233~245.
[13] N.F.Ekanem.Differential impact of exchange rate on US trade with two major and two minor trading partners in Africa.Journal of Economics and Business[J],Vol 54,No.5:557~571.
[14] Peter C.Liu.Purchasing Power Parity in Latin America:A Cointegration Analysis.1993.662~680.
[15] Steven Russell.Quasi-fundamental exchange rate variation[J].Economic Theory, 2003,Vol 22,No.1:111~140.
[16] Tatsuyoshi Miyakoshi.Real exchange rate determination:Empirical observations from East-Asian countried.Empitical Economic[J], 2003,Vol 28,No.1:173~180.
[17] T.C.Mills,E.J.Pentecost.Is there a relationship between real exchange rate movements and the output cycle?.Economic Modelling[J],Vol 20,No.3:593~603.
[18] Zhichao Zhang.Real Exchange Rate Misalignment in China:An empirical Investigation.Journal of Comparative Economics,2001.1~15.
[19]陈国伟,夏江.人民币实际汇率变动对总产出影响的实证分析.经济科学,2002(4):16~19.
[20]陈学彬.近期人民币实际汇率变动态势分析.经济研究,1999(1):56~79.
[21]何新华,吴海英,刘仕国.货币有效汇率的波动及其对中国经济增长的影响.世界经济,2003(11):23~26.
[22]李海菠.人民币实际汇率与中国对外贸易的关系—基于1973-2001年数据的实证分析.国际金融,2003(7):32~36.
[23]李亚新,余明.关于人民币实际有效汇率的测算与应用研究.国际金融研究,2002(10):31~34.
[24]王香宁,甘燕.比较和分析不同计算法中的人民币有效汇率.运筹与管理,2005(4):25~28.
[25]魏巍贤.中国名义与实际有效汇率的构造及应用研究.统计研究,1996(6):31~34.
[26]魏巍贤.我国贸易收支的弹性分析1981-1995.统计研究,1997(5):32~35.
[27]徐占强.货币贬值的动态效应与人民币贬值效果的实证分析.金融研究,2000(9):15~19.
[28]谢建国,陈澟高.人民币汇率与贸易收支:协整研究与冲击分解.世界经济,2002(9):31~34.
[29]俞乔.购买力平价,实际汇率与国际竞争—关于测算我国加权实际汇率指数的理论方法.金融研究,2000(1):29~32.
[30]俞乔.论我国汇率政策与国内经济目标的冲突及协调.经济研究,1999(7):19~21.
[31]俞萌.人民币汇率的巴拉萨-萨缪尔森效应分析.世界经济,2001(5):32~35.
[32]杨长江.人民币实际汇率长期调整趋势研究,2002.12~35.
[33]易丹辉.数据分析与Eviews应用.中国统计出版社,2002.25~65.
[34]易纲,范敏.人民币汇率的决定因素及其走势分析.经济研究,1997(10):36~39.
[35]赵登峰.几种不同人民币实际汇率指数的测算与比较.工作视点,2006(2):21~25.
[36]张街.相对购买力平价.实际汇率与人民币汇率政策.财经研究,2001(6):23~26.
[37]张蕾,曾莹莹.浅谈实际汇率与中国的对外竞争力.云南财贸学院学报,2006(2):15~18.
[38]张晓朴.人民币均衡汇率的理论与模型.经济研究,1999(12):21~24.
[2] Andrew Abbott,Adrian C.Darnell,Lynne Evans.The influence of exchange rate variability on UK exports.Applied Economics Letters[J],Vol 8,No.1:47~49.
[3] B.Egert.Estimating the impact of the Balassa-Samuelson effect on inflation and the real exchange rate during the transition.Economic Systems[J],Vol 26,No.1:1~16.
[4] Collins,S.On becoming more flexible:Exchange rate regimes in Latin America and the Caribbean.Journal of Development Economics, 1996.54~87.
[5] Dell Ariccia.Exchange Rate Fluctuations and Trade Flows:Evidence from the European Union .IMF Staff Paper,1999.23~58.
[6] Dornbusch,Rudiger and Timothy Vogelsang.Real Exchange Rates and Purchasing Power Parity,Balassa,Bela.Trade theory and economic reform:Morth,South,and East:Essays in honor of Bela Balassa.Edited by Jaime de Melo and Andre Sapir,Oxford and Cambridge,Mass. Blackwell,1991.3~24.
[7] Eleanor Doyle.Exchange rate volatility and Irish-UK trade,1979-1992.Applied Economics[J],Vol 33,No.2:249~265.
[8] Grand Hyatt.The Effects of Exchange Rate Fluctuations on Economic Activity in Turkey,Economic Research Forum,,December 2005:21~35.
[9] Kevin B.Grier.The real exchange rate process and its real effect : the cases of Mexico and The USA,Journal of Applied Economics,May 2004 ,Vol.7,No.1 :1~25.
[10] Lowrence S.Copeland.Exchange rate and International Finance[M],Addison- Wesley Publishing Co,1994 .23~46.
[11] Magda Ndil.Exchange rate fluctuations and economic activity in developing countries:Theory and evidence.Journal of economic development June 2004. Vol.29,No.1:85~109.
[12] M.Bleaney,D.Fielding.Exchange rate regimes,inflation and output volatility in developing countries.Journal of Development Economics[J],Vol 68,No.1:233~245.
[13] N.F.Ekanem.Differential impact of exchange rate on US trade with two major and two minor trading partners in Africa.Journal of Economics and Business[J],Vol 54,No.5:557~571.
[14] Peter C.Liu.Purchasing Power Parity in Latin America:A Cointegration Analysis.1993.662~680.
[15] Steven Russell.Quasi-fundamental exchange rate variation[J].Economic Theory, 2003,Vol 22,No.1:111~140.
[16] Tatsuyoshi Miyakoshi.Real exchange rate determination:Empirical observations from East-Asian countried.Empitical Economic[J], 2003,Vol 28,No.1:173~180.
[17] T.C.Mills,E.J.Pentecost.Is there a relationship between real exchange rate movements and the output cycle?.Economic Modelling[J],Vol 20,No.3:593~603.
[18] Zhichao Zhang.Real Exchange Rate Misalignment in China:An empirical Investigation.Journal of Comparative Economics,2001.1~15.
[19]陈国伟,夏江.人民币实际汇率变动对总产出影响的实证分析.经济科学,2002(4):16~19.
[20]陈学彬.近期人民币实际汇率变动态势分析.经济研究,1999(1):56~79.
[21]何新华,吴海英,刘仕国.货币有效汇率的波动及其对中国经济增长的影响.世界经济,2003(11):23~26.
[22]李海菠.人民币实际汇率与中国对外贸易的关系—基于1973-2001年数据的实证分析.国际金融,2003(7):32~36.
[23]李亚新,余明.关于人民币实际有效汇率的测算与应用研究.国际金融研究,2002(10):31~34.
[24]王香宁,甘燕.比较和分析不同计算法中的人民币有效汇率.运筹与管理,2005(4):25~28.
[25]魏巍贤.中国名义与实际有效汇率的构造及应用研究.统计研究,1996(6):31~34.
[26]魏巍贤.我国贸易收支的弹性分析1981-1995.统计研究,1997(5):32~35.
[27]徐占强.货币贬值的动态效应与人民币贬值效果的实证分析.金融研究,2000(9):15~19.
[28]谢建国,陈澟高.人民币汇率与贸易收支:协整研究与冲击分解.世界经济,2002(9):31~34.
[29]俞乔.购买力平价,实际汇率与国际竞争—关于测算我国加权实际汇率指数的理论方法.金融研究,2000(1):29~32.
[30]俞乔.论我国汇率政策与国内经济目标的冲突及协调.经济研究,1999(7):19~21.
[31]俞萌.人民币汇率的巴拉萨-萨缪尔森效应分析.世界经济,2001(5):32~35.
[32]杨长江.人民币实际汇率长期调整趋势研究,2002.12~35.
[33]易丹辉.数据分析与Eviews应用.中国统计出版社,2002.25~65.
[34]易纲,范敏.人民币汇率的决定因素及其走势分析.经济研究,1997(10):36~39.
[35]赵登峰.几种不同人民币实际汇率指数的测算与比较.工作视点,2006(2):21~25.
[36]张街.相对购买力平价.实际汇率与人民币汇率政策.财经研究,2001(6):23~26.
[37]张蕾,曾莹莹.浅谈实际汇率与中国的对外竞争力.云南财贸学院学报,2006(2):15~18.
[38]张晓朴.人民币均衡汇率的理论与模型.经济研究,1999(12):21~24.