运用结构变点理论的人民币均衡汇率研究

The RMB Equilibrium Exchange Rate on the Basis of Structural Changes Theory

文章在Elbadawi模型基础上,选取了生产率、贸易条件(TOT)、开放度(OPEN)、政府消费(GOVEXP)等四个基本经济要素来分析人民币均衡汇率,分析了这四个基本经济要素与人民币汇率的相互关系。通过单位根检验,发现TOT、OPEN、GOVEXP都是非平稳序列,所以将采取协整分析来拟合模型。通过结构变点检验发现1993年的确是结构变点,同时拟合出含有结构变点和不含结构变点的两个协整方程,通过比较发现含有结构变点的方程拟合效果更好一些。

In this paper, we select the productivity, terms of trade （TOT）, openness （OPEN） and government expenditure （GOVEXP）, on the basis of the Elbadawi model, to examine the RMB equilibrium exchange rate. We try to find the relationship among them. The unit root test shows that the series of TOT, OPEN, GOVEXP are not smooth processes. So we can use the cointegration theory. Before that, we use the change-point theory and find that 1993 is a change-point year. Because there is a change-point, we should add a virtual variable to the cointegration model. We estimate two cointegration models. One model has the virtual variable, while the other does not. Comparing the models, we find that the first model which has the virtual variable is better.