非均衡条件下人民币汇率预期性质研究

The Study of the Nature of Expectations of RMB Exchange Rate under the Condition of Disequilibrium

升值惯性是困扰汇改的难题,消除升值预期直接关系到汇改的成功与否。本文根据中国外汇市场的现实状况分析非均衡条件下人民币汇率预期性质,构建基于适应性预期的非抛补利率平价模型,实证结果表明人民币汇率具备向后看的适应性预期特征。这一结论对人民币汇率管理具有重要的政策意义。

The appreciation inertia is considered as the trickiest issue in the exchange rate reform process. Therefore, eliminating the appreciation inertia is closely related to the success of the reform of foreign exchange rate. Based on the reality of Chinese foreign exchange market, this paper builds the model of non-covered interest rate parity under adaptive expectations after analyzing the nature of expectations of RMB exchange-rate on the condition of disequilibrium. As the empirical test indicates, the RMB exchange rate has the character of looking-backwards adaptive expectations. This conclusion imposes meaningful effects on the policy-making of RMB exchange-rate management.