实际汇率、汇率预期偏差与贸易余额

Real Exchange Rate,Expectation Deviation of Exchange Rate and Trade Balance

笔者在巴拉萨-萨缪尔森效应理论的基础上,将预期和工资调整的滞后性引入汇率传递的方程中,推导出实际汇率的一些基本性质:实际汇率服从随机游走,发展中国家的实际汇率服从带漂移项的随机游走,实际汇率的波动主要来自于汇率预期偏差的波动。这些结论很好地解释了Krugman提出的为什么实际汇率在浮动汇率制比固定汇率制下的波动大幅加剧。笔者又进一步分析了实际汇率影响贸易余额的方式,汇率预期偏差最终影响贸易余额,通过对人民币实际有效汇率的自回归和中美贸易余额与预期偏差率的实证检验,证明了理论分析得出的结论。

Based on Balassa-Samuelson effect theory, this paper introduces the expectations and wage adjustments lag into the exchange rate pass-through equation and gets some basic properties of the real exchange rate ： the real exchange rate is subject to random walk, and it is subject to random walk with a drift term in developing countries ; Fluctuations of real exchange rate mainly derive from the fluc- tuations of expectation deviation. These findings well explain the question raised by Paul Krugman （1989） why the real exchange rate in the floating exchange rate system was much more volatile than in the fixed exchange rate system. This paper further analyzes the way the real exchange rate affects the balance of trade. The deviation of exchange rate expectation affects trade balance finally. Then through autoregression of the real effective exchange rate of RMB and the empirical test of Sino-US trade balance with the exchange rate expectation deviation, the conclusions of theoretical analysis are well proved.