乘法形式适应性预期计量模型的构建与应用--以人民币汇率预期对外汇贷款影响的实证研究为例

A model of Adaptive Expectations in Multiplication Form and Its Application——A Case of the Effect from the RMB Exchange Rate Expectation to Loans in Foreign Currency

本文基于通货膨胀的适应性预期理论,通过引入乘法形式,对原加法形式下适应性预期的演进过程进行了从算术平均到几何平均的变换,在此基础上构建了一个可用于研究在相对水平下自变量的变动预期对因变量影响的对数计量模型,从而解决了原加法形式无法应用于对数计量模型的难题;且模型通过二次迭代保证了参数的恰好识别并提供了克服其内生性的有效方法。作为模型的应用,本文选取了2005年7月人民币汇率形成机制改革以来外汇贷款和人民币对美元汇率的月度数据,结合广义矩估计方法(GMM)实证揭示了这期间人民币对美元汇率变化所具有的适应性预期特征及其对外汇贷款变动显著影响。

Based on the theory of adaptive expectations from inflation, this paper makes the transition of the process of adaptive expectations from arithmetic average to geometric average by introducing the multiplication form, and set up a logarithmic econometric model which can be used to study the effect from the expectation of the independent variable to the dependent variable in a relative level. Therefore it solves the problem that the adaptive expectation in the addition form can not be applied to the logarithmic econometric model and offers a effective method to overcome the endogenous problem of the independent variable by iteration. As a application of the model, this paper selects the monthly data of the RMB exchange rate and loans in foreign currency since the RMB exchange rate formation mechanism reform on July, 2005 and makes use of the GMM method to show the adaptive expectation of the RMB exchange rate and its significant effect on loans in foreign currency.