基于Gonzalo-Granger方法的长期均衡汇率的估计

The Estimation of Long-term Equilibrium Exchange Rate on the Basis of Method of Gonzalo and Granger

研究人民币应当升值或贬值就是研究实际汇率是否存在高估或低估的现象,实际汇率浮动应以均衡汇率为中心。为了分析长期均衡汇率的估计问题,文章通过均衡汇率决定模型—MacDonald(1998)模型,利用国际先进的计量方法Gonzalo-Granger的长期共同成分分解方法来研究人民币长期均衡汇率。结论是人民币名义汇率存在低估,当前人民币升值是正确的,是大势所趋,出于外汇制度改革的战略性考虑,应适当地让人民币名义汇率升值。

The research on RMB appreciation or depreciation is to study the phenomenon of actual exchange rate which is overestimated or underestimated, and the actual exchange rate fluctuation should take the balanced exchange rate as the center. In order to analyze the estimation of the long- term equilibrium exchange rate, with the determination model of the equilibrium exchange rate - MacDonald （ 1998 ）, employing the advanced econometric method in the world, common long - term components decomposition, inaugurated by Gonzalo and Granger, this article is to study the long - term equilibrium exchange rate of RMB. The conclusion shows that the nominal exchange rate of RMB is underestimated; Currently, RMB appreciation is correct, and is ultimately. Stemming from the strategic consideration of foreign exchange system reform, we should let the nominal exchange rate of RMB appreciate suitably.