摘要近年来，我国经济快速发展，人民币对美元汇率屡创新高。但是国际上要求人民币升值的呼声不减反强，人民币是否应该升值已成为学术界和政策当局一个热点话题。本文旨在通过估计的长期均衡实际有效汇率，把关于人民币的错位程度的争论放置于一个容易处理的框架。本文在梳理西方各均衡汇率理论的基础上，综合考虑中国的国情和数据的可得性，借鉴行为均衡理论进行均衡汇率的实证研究。选取三个基本经济因素：相对劳动生产率、对外开放程度以及实际货币供应量，采取1996年-2010年的季度数据，并通过X11季节调整、ADF单位根检验、Johansen极大似然估计法、误差修正模型等一系列现代计量方法构建均衡汇率模型，以确定人民币均衡汇率水平和失调程度。研究表明：1996年2季度前人民币汇率存在低估，但低估程度很小，1996年2季度以来人民币持续高估，且在2009年前后达到顶峰。最后本文分析了高估的原因和不利影响。60211
毕业论文关键词 均衡行为理论 人民币均衡汇率 汇率失调
毕 业 论 文 外 文 摘 要
Title The empirical study of RMB equilibrium exchange rate and misalignment
Abstract
With China's rapid economic development, the exchange rate of RMB against the U.S. dollar is reaching new heights in recent years.The international calls for revaluing its currency ,however,seems stronger . The expectation of Appreciation of RMB has been prevalent in the civil academe and policy authorities. This paper aims to place the debate about the degree of RMB’s misalignment in a tractable framework by estimating the long run equilibrium real effective exchange rate of the currency. On the basis of combing several Western Theory about equilibrium exchange rate ,we choose Behavioral Equilibrium Exchange Rate Theory to constructs the equilibrium exchange rate model of RMB because of the special situation of China and the availability of data. This paper collects related data from 1996q1 to 2010q4, using modern econometrics methods including X 11 seasonal adjustment ,ADF unit test , Johansen’s maximum likelihood estimation, VEC model and H-P filter to analyze the equilibrium exchange rate and the misalignment of RMB empirically .According to the result of computation, some main conclusions can be made: RMB exchange rate has been overvalued all the time since 1996q2,while it is slightly undervalued before. What’s more, the degree of overestimation reaches the peak of 40% from 2008q4 to 2009q1.Finally,this paper gives some explanations about exchange rate misalignment and influence.
Keywords BEER Theory RMB equilibrium exchange rate RMB’s misalignment
1 绪论… 1
1.1 研究背景及研究意义1
1.2 研究内容及研究方法… 1
1.3 特色及不足… 2
3 均衡汇率的研究方法及评价… 5
3.1 购买力评价方法5
3.2 宏观均衡汇率方法… 5
3.3 研究的理论模型选择… 8
4 基于BEER的人民币汇率实证研究9
4.1 基本经济变量的选取…9
4.2 人民币均衡汇率的估算10
4.3 汇率失调程度的测算13
5 人民币失调原因及影响分析…15
5.1 人民币汇率失调原因分析…15
5.2 人民币汇率失调的危害16
结论 … 18
致谢 … 20
参考文献…21
附录A BEER模型所需宏观数据 … 23 人民币均衡汇率及汇率失调实证研究:http://www.751com.cn/jingji/lunwen_65610.html