国际资本流动背景下人民币汇率的均衡水平及短期波动

Equilibrium Level and Short-term Fluctuation of RMB Exchange Rate in the Context of International Capital Flow

本文从国际产品市场和资本市场均衡的角度出发,通过建立包含中美利差和体制转型因素的人民币汇率的行为均衡汇率模型,测算了人民币汇率的均衡水平及错位程度,并利用误差修正模型分析了宏观经济基本面对人民币汇率的影响。分析表明:从1997年～2007年,人民币汇率并未显著偏离其均衡水平。生产力发展水平、外国直接投资、贸易条件、国有企业比重在长期和短期内都对人民币汇率产生正向冲击,而开放度则表现为负向冲击。政府支出在长期内对汇率表现为正向冲击,而在短期内表现为负向冲击。中美利差在长期内导致人民币汇率贬值,但在短期内表现为显著的正向冲击。本文建议我国政府控制人民币的升值幅度和速度,密切关注资产价格,并采取利率等多种政策工具收紧流动性。另一方面,货币当局应加强对非法跨境套利资本的打击力度,以避免大规模国际资本流动对人民币汇率造成重大冲击。

From the viewpoint of international goods market and capital market equilibrium, this paper measures the equilibrium level and misalignment degree of RMB real effective exchange rate with the behavioral equilibrium exchange rate model of RMB exchange rate. Furthermore, this paper analyzes the impacts of macroeconomic fundamentals on RMB real effective exchange rate with Error-Correction Model. The result shows that RMB exchange rate does not deviate from its equilibrium level significantly from 1997 to 2007. And the productivity, FDI, production share of state-owned enterprises and terms of trade does have positive impact on RMB exchange rate both in the long run and short run, but the openness has negative impacts on RMB exchange rate. In addition, government expenditure and Sino-Us interest rate spread also have positive or negative impacts on exchange rate y in the long or short run. This paper argues that the government should control the range and speed of RMB appreciation, pay close attention to the asset price and tighten the liquidity with policy tools. On the other hand, monetary authority should regulate illegal cross-border arbitrage capital to avoiding the impacts of international capital flow on RMB exchange rate.