人民币实际有效汇率持续性研究

Research on the Persistence of the Real Effective Exchange Rate of RMB

本文基于2005年8月—2022年12月的中国月度实际有效汇率(REER),使用格点拔靴(Grid Bootstrap,GB)中值无偏估计和因子模型,从国家和行业两个层面考察汇率持续性。研究发现:第一,以半衰期衡量的中国REER持续性约为3.75年。第二,不同行业的REER持续性存在明显差异,其中,石油、化工和非金属三个行业半衰期在1年以下;金属、造纸、运输设备和食品等四个行业半衰期在1~3年期间;纺织、木材、橡胶、一般机械、电气机械和光学仪器六个行业半衰期近似无穷大;中国REER持续性主要由纺织等半衰期异常的行业主导。第三,因子分析结果表明,各行业汇率行为同时受代表持续性高低的公共因子和反映自身特性的特定因子主导。纺织和机电设备等缺乏产品竞争力和较依赖出口贸易的行业容易发生看市定价行为,此类行业的半衰期远高于化工和金属等有一定市场势力而不易发生看市定价行为的行业。针对研究结果,本文提出建议:第一,长期应突出货币政策和汇率政策的稳健性;第二,应突出政策结构性,对高持续性行业给予额外关注或适当政策倾斜;第三,进一步加强产业创新,促进产业转型升级,使出口产品兼具价格和质量优势。

The persistence of exchange rates stems from the phenomenon that the purchasing power parity theory does not hold in practice. This article innovatively studies the persistence of industry exchange rates, aiming to provide possible explanations for the mystery of purchasing power parity in China and provide reference for the government to formulate macroeconomic policies.This article examines China's monthly real effective exchange rate(REER) from August 2005 to December 2022, using grid bootstrap median unbiased estimation and factor modeling methods to examine exchange rate persistence at both national and industry levels.The empirical results show that, firstly, the persistence of China's REER, measured by half-life, is about 3.75 years. Secondly, there are significant differences in the sustainability of REER across different industries, with the petroleum, chemical,and non-metallic industries having a half-life of less than one year. The half-life of four industries, including metals, papermaking, transportation equipment, and food, is 1~3 years. The half-life of six industries, including textiles, wood, rubber, general machinery, electrical machinery, and optical instruments, is approximately infinite. The sustainability of China's REER is mainly dominated by industries with abnormal half-lives such as textiles. Thirdly, factor analysis indicates that the exchange rate behavior of various industries is dominated by both common factors representing sustainability and specific factors reflecting their own characteristics. Industries such as textiles and electromechanical equipment, which lack product competitiveness and rely more on export trade, are prone to market based pricing behavior. The half-life of these industries is much longer than that of industries with certain market power such as chemicals and metals, which are less prone to market based pricing behavior.Based on the research findings, the following suggestions are proposed. Firstly, focus on the long-term effect, highlight the robustness of monetary and exchange rate policies, and reduce the need for arbitrary decision-making. Secondly, highlight policy structure and give additional attention or appropriate policy preferences to high sustainability industries. Thirdly,strengthen industrial innovation, promote industrial transformation and upgrading, enable export products to have both price and quality advantages, and create competitive barriers.