汇率失衡的形成机制及其测度——基于双向随机前沿模型的研究

The Formation Mechanism and Measurement of Exchange Rate Imbalance-Based on Two-Tier Stochastic Frontier Model

汇率变动对一国宏观经济会产生的重要影响,因此对均衡汇率的测度、对真实汇率失衡的研究是国际宏观经济研究领域的一个重要分支。本文将一国的汇率失衡通过双向随机前沿模型构建的复合干扰项进行分解,得到一国汇率失衡的形成机制即本国与贸易伙伴国的双向影响机制,进而得到双向影响的净效应,从而对一国汇率失衡进行测度。本文选取G20国家为实证检验样本,以实际有效汇率为考察对象,对样本国家的汇率失衡进行测度,并依据金融危机的发生、经常账户平衡以及经济发展水平对样本进行划分并对子样本分别进行实证检验。实证结论表明,一国的汇率失衡受贸易伙伴国的影响大于本国的影响,但是这一模式会随着金融危机的发生、经常账户平衡的水平以及经济发展水平的变化而改变。

Exchange rate fluctuation will have an important impact on a country's macro-economy.Overvaluation or undervaluation of exchange rate will have an impact on a country's macro-economy.Therefore,the measurement of equilibrium exchange rate and the study of real exchange rate imbalance are also important branches of international macro-economic research.This paper uses two-tier stochastic frontier measurement to measure the overvaluation and undervaluation effects of real exchange rates in G20 countries,and then obtains the net effect of real exchange rates deviating from equilibrium exchange rates and the degree of exchange rate imbalance.Through the empirical study of all samples and sub-samples,it is found that among the unobservable factors affecting a country's real exchange rate deviation from the equilibrium exchange rate,the exchange rate imbalance,the asymmetric effect of the real exchange rate deviation has absolutely significant influence and explanatory power on the degree of the exchange rate imbalance of the country.On the basis of asymmetric effects,the exchange rate imbalance is analyzed.