人民币均衡实际汇率实证研究:1980-2006

An Empirical Study on RMB's Equilibrium Real Exchange Rate from 1980 to 2006

Hsiao的最优解释变量选择程序,来筛选人民币实际有效汇率的决定因素,估计人民币均衡实际汇率,并测算1980年到2006年人民币实际汇率的错位状况。这一研究结果表明,人民币币值在1983年到1985年期间被严重高估,高估幅度在20%左右,1997年到1998年的高估幅度在10%。1987年到1994年人民币币值被持续低估。2003年到2005年人民币币值接近均衡水平,2006年有高估趋势,高估幅度在5%左右,但仍处于10%的警戒线以内。

This study employs Hsiao＇ s procedure for selecting optimal explanatory variables to screen the determinants of RMB＇s effective real exchange rate, estimate RMB＇s equilibrium real exchange rate, and calculate the real exchange rate misalignment from 1980 to 2006. Our results show that RMB was overvalued by about 20% from 1983 to 1985 and 10% from 1997 to 1998. And it was continuously undervalued from 1987 to 1994 and but was close to equilibrium level from 2003 to 2005. In 2006, however, it was overvalued again, by about 5%, which was still below the warning level of 10%.