复旦人民币汇率指数的开发和应用研究

Fudan RMB Exchange Rate Indices:Design and Application Analytics

长期以来,人们在讨论人民币汇率时主要聚焦于人民币兑美元双边汇率,但对中国经济影响较大的是人民币有效汇率。本文讨论了复旦人民币名义有效汇率、实际有效汇率和模拟盯住一篮子货币汇率指数的开发和初步应用。文章分析了复旦人民币汇率指数11年的变动趋势及主要影响因素,通过模拟汇率指数与实际汇率指数的比较,证明当前人民币兑美元汇率是被高估而非低估。在世界金融危机期间,人民币盯住美元的汇率政策为世界经济复苏和金融稳定做出了巨大的牺牲和贡献。

The existing literature has focused on RMB-USD bilateral exchange rate for quite a long time. However, it is RMB effective exchange rate that has larger influence on the Chinese economy. This paper discusses the original design and applications of Fudan RMB nominal and the real effective exchange rate indices, as well as the simulated RMB exchange rate index pegged to a basket of currencies. The paper analyzes the variation trend of Fudan RMB exchange rate indices over the last eleven years, and demonstrates that RMB is not undervalued but overvalued at present, through the comparison of simulated and real effective exchange rates. In fact, as RMB is pegged to the U.S. dollar during the recent global financial crisis, China has endured sacrifices and made enormous contributions to the world economy and financial stability.