“变量迷失”与人民币实际汇率决定的转型

The "Missing Variables" Phenomenon and the Transition in RMB Real Exchange Rate Determination

实际汇率在宏观金融管理中扮演重要的角色,有关其决定的研究一直备受关注。本文从人民币实际汇率决定文献中存在的"变量迷失"入手,构建能够同时检验结构突变序列平稳性、自动搜寻突变点位置、识别序列单整阶数的"四步检验法",以及考虑结构突变的协整分析框架,研究1980年至2013年人民币实际汇率决定问题。研究发现,本文设计的研究方法有效解决了"变量迷失"问题,人民币实际有效汇率的自然对数序列服从1994年发生漂移项突变的一阶单整过程;在我国由计划经济向市场经济转型的过程中,人民币实际汇率的决定具有明显的转型特征,其中"非市场"驱动机制逐步让位于"市场"驱动机制。

The real exchange rate has always been playing a significant role in macro financial management, hence its determination receiving wide publicity. Setting out from the ＂Missing Variables＂ phenomenon in the related literature of RMB real exchange rate determination, the paper develops a ＂Four-step＂ method for unit-root tests with structural breaks w hieh integrates stationary testing, breaks searching and order identifying of integrated processes, as well as an analytic framework for co-integration with structural breaks. By applying the framework to RMB real exchange rate determination from 1980 to 2013, this paper shows that the ＂Missing Variables＂ phenomenon has been well resolved, and the logarithm of RMB REER follows an I（1 ） process with a break in drift in 1994, together with its determination reflecting different characteristics in China＇s transform from a planned economy to a market economy. These characteristics can be summarized as the gradual substitution of some marketized mechanisms in RMB real exchange rate determination for some non-marketized ones.