人民币均衡汇率与汇率失调:1991—2004

Renminbi Equilibrium Exchange Rate and China's Exchange Rate Misalignment: 1991—2004

本文运用行为均衡汇率模型对人民币均衡实质汇率和汇率失调程度进行了实证研究,样本区间为1 991年1季度—2 0 0 4年3季度。本文的主要发现是:( 1 )从1 994年4季度起人民币均衡实质汇率处于不断升值的状态,其背后的主要驱动力量是我国制造业劳动生产率的快速上升和经常项目盈余导致的净对外资产余额的不断增加;( 2 ) 2 0世纪90年代以来,人民币实际实质汇率在大部分时期偏离均衡实质汇率轨迹,表现为人民币汇率的失调。其中,1 992年2季度—1 994年4季度为人民币汇率低估时期,1 995年1季度—1 999年2季度为人民币汇率高估时期,而1 999年3季度往后的时期人民币汇率重新转为低估,并且低估程度有进一步扩大的趋势。本文对人民币汇率失调的原因分析表明1 997年以来硬钉住美元的汇率政策是造成人民币汇率失调的一个主要宏观政策因素。因此,本研究的政策含义是,从应对人民币汇率失调的角度。

This paper employs the so called behavioral equilibrium exchange rate model to estimate the equilibrium real exchange rate of Renminbi and the exchange rate misalignment in China, which covers the period from 1991q1 to 2004q3. The main findings of the paper are that (1) since 1994q4, Renminbi equilibrium exchange rate has exhibited a steady appreciation, the main moving forces behind that are the fast productivity growth within the manufacture sector and the rapidly enlarged net foreign asset position; and (2) that Renminbi real exchange rate has been misaligned during most of the sample period, particularly, undervaluation occurred in 1992q2—1994q4 period, overvaluation occurred in 1995q1—1999q2, and undervaluation has occurred again since 1999q3, which also has an enlarging trend since 2002q2. The paper also analyses the economic reasons and policy implications of the findings.