竞争力平价与人民币均衡汇率研究

International Competitiveness Parity and RMB Equilibrium Exchange Rate

传统的汇率决定理论认为,一国货币汇率均衡水平是由购买力平价、利率平价和货币相对供求等决定的。大多数实证研究表明,这些均衡汇率理论只是强调单一因素,同现实相距甚远。本文构建了多因素国际竞争力平价模型,认为均衡实际汇率随着国际竞争力的相对变化而变化,国际竞争力相对提高,该国货币升值,反之则反之。本文利用主成分分析法,从影响人民币汇率的多因素中构造国际竞争力这个指标,实证研究表明人民币实际有效汇率与国际竞争力之间存在协整关系,然后再基于这个协整关系式计算人民币的均衡实际有效汇率,并据以判断人民币汇率偏离均衡水平的程度。

According to traditional exchange rate determination theories, equilibrium exchange rate is determined by purchasing power parity, interest rate parity,money supply and demand, etc. Most empirical analyses show that these theories focus on single factor and are notagreed with the reality. This paper holds the idea that equilibrium real exchange rate changes in pace with the change of international competitiveness. If international competitiveness relatively improves, the currency of this country will appreciate. This paper uses the principal analysis to build international competitiveness from multiple factors that have effect on RMB exchange rate. The empirical analysis shows that there is cointegration relationship between RMB real effective exchange rate and international competitiveness. Based on the cointegmtion relationship, we can get the equilibrium RMB real effective exchange rate and make the judgment about how much RMB exchange rate has deviated from the equilibrium exchange rate.