基本面因素与人民币均衡汇率

Equilibrium Exchange Rate and Fundamentals

测算方法的差异使得对人民币均衡汇率水平的不同研究的测度结果大相径庭。本文借鉴新近研究,引入生产率和国外净资产变量,采用经常账户缺口法、基本行为均衡方法的误差修正模型和ML-ARCH模型测度了人民币汇率的均衡区间;并探讨了决定均衡汇率变化的基本面因素。结果证实人民币被低估的水平并不十分显著,生产率的提升、贸易条件变化和增长导向的经济发展模式和外汇储备是决定均衡汇率变化趋势的关键基本面因素;均衡汇率变化的估值效应能够显著影响国外净资产水平。

Discrepancies in measurement methods made results of studies on the RMB equilibrium exchange rate level different.Draw on recent research papers,this study focused on the measurement of the reasonable interval of RMB＇s equilibrium exchange rate and explored the underlying macro-variables that are driving its change,by using current account gap method,the FFER approach with Vector Error Correction model and the ML-ARCH model.And by introducing productivity and net foreign assets variable,we attempted to provide a better understanding of exchange rate movement and determination.Our results confirmed that the level of RMB is undervalued and that,fundamentals of productivity enhancement,terms of trade changes and growth-oriented economic development model all contributed to the trend of equilibrium exchange rate.Also,our study revealed the valuation effect of exchange rate changes can significantly affect the level of net foreign assets.