基于OR分析框架的人民币汇率评估

The Appraisal of Exchange Rate of RMB Based on OR Analytical Framework

本文在Obstfeld和Rogoff(1995)(OR)标准模型的分析框架下,构建出了基于分部门的、微观的、动态的、居民跨期消费效应最大化的均衡汇率决定模型。根据该理论模型的非线性和动态特点,设计了一个向量自回归(VAR)模型,实证分析了历年来人民币对美元的名义汇率是否合理。

In this paper,based on the standard model framework proposed by Obstfeld and Rogoff （1995） （OR）,we build a decisive model of equilibrium rate of exchange decision in consideration of sector microeconomic dynamic and maximizing the utility of intertemporal consumption of residents. Based on the theoretical model,we design a Vector Autoregression Model and make empirical analysis to understand whether the nominal exchange rate between the RMB and US dollar is reasonable or not over the past few years.