人民币均衡汇率测算:基于DSGE模型的实证研究

On the Estimation of RMB Equilibrium Exchange Rate:An Empirical Research based on DSGE Model

本文在新开放宏观经济学的动态随机一般均衡框架下建立了适合中国国情的宏观经济模型,应用DSGE模型实证测算了人民币的均衡汇率水平。实证结果发现1997年金融危机前后,人民币汇率出现一定幅度高估,随着亚洲金融危机逐渐结束,中国加入WTO劳动生产率快速提高以及巴拉萨——萨缪尔森效应逐渐发生作用,人民币汇率由高估变为低估,低估幅度在2006年达到高点,接近15%。2008年国际金融危机爆发后人民币汇率低估幅度迅速收窄,甚至出现短暂高估。2009年之后实际有效汇率围绕均衡汇率小幅波动,两者逐渐趋同,人民币实际汇率趋向均衡。人民币均衡汇率主要受中外劳动生产率增速差异、货币供应增速差异以及世界其他地区消费情况等诸多动态因素的影响,本身仍在不断变化之中,因此人民币汇率与均衡汇率的关系也在不断变化之中。本文研究对未来:DSGE模型的实证应用和人民币均衡汇率的测算具有一定的启示作用。

This paper established a macroeconomics model suitable for China's situations in the framework of the dynamic stochastic general equilibrium of neo-classical macroeconomics,and applied the DSGE model to estimate RMB's equilibrium exchange rate firstly.The empirical results showed that RMB was to some extent overvalued before and after the Asian financial crisis during 1997.Along with the ending of Asian financial crisis,a rapid improvement of China's labor productivity due to its joining to WTO,and the gradually taking role of Balassa-Samuelson effect,RMB turned to undervalue with the level peaked at nearly 15%in 2006.After the international financial crisis,the RMB's undervalued level declined rapidly and was even temporarily overvalued.RMB's real effective exchange rate fluctuated slightly around the level of equilibrium exchange rate after2009 and the differentials between them gradually narrowed,showing that the real exchange rate of RMB is tending to equilibrium.At the end of 2011,RMB was a little overvalued.This paper provided some inspiration to the empirical application of the DSGE model and the estimation of RMB equilibrium exchange rate in the future.