人民币均衡汇率与失调实证分析——基于NATREX模型

基于NATREX自然均衡汇率理论对1981-2009年间人民币的均衡汇率研究，并通过与历年实际汇率的比较计算出汇率错位的幅度的实证数据验证得出结论：改革开放以来，人民币价值总体上是低估的。因此．人民币汇率形成机制改革符合我国的根本利益，适当上调人民币汇率水平虽然在短期内对一些竞争力比较弱的行业和企业产生调整的压力，从总体上看对我国宏观经济、企业和人民生活的影响是有利的，我国应积极主动的对人民币汇率进行管理和调节，维护汇率的正常浮动，保持汇率在合理，均衡水平上的基本稳定，促进国际收支基本平衡。维护宏观经济和金融市场的稳定。

Empirical Analysis of NATREX Model on Misalignment of Japanese Yen's Real Exchange Rate

Using Natural Real Exchange Rate model and combining with actual economic situations in Japan,we set up equilibrium real exchange rate model of Japanese Yen.Based on the model we assess the misalignment and also analyze its reason since the beginning of Yen's fluctuation.Finally we get conclusions as follows: Yen/Dollar real exchange rate has always been fluctuating acutely.Overvaluation alternates with undervaluation,either of which may last three to five years.Japanese government's too much intervention in nominal exchange rate is a very important factor of the misalignment.Overvaluation does much negative effect on the economy,especially in a period when the economy shrinks due to lacking for domestic consumption demand.In that case,currency crisis will probably soon break out.

NATREX AND DETERMINATION OF REAL EXCHANGE RATE OF RMB

In this paper, we analyze the movements of the real exchange rate in China. Our empirical evidence shows that the purchasing power parity does not hold in the long run, and the real exchange rate is non-stationary. The decomposition of the movements of the real exchange rate also indicates that real shocks result in permanent changes in the real exchange rate whereas nominal shocks just result in temporary changes. Based on these facts, we apply NATREX approach to analyze the determination of real exchange rate in China. The NATREX model successfully explains the evolution of the real exchange rate in China: The real exchange rate in the long run is determined by the real fundamentals including the productivity at home and abroad, and the domestic time preference. In the long run, a rise of the domestic productivity significantly appreciates the real exchange rate whereas a rise of the foreign productivity or a rise of the domestic time preference significantly depreciates the real exchange rate. We also find that the estimated NATR.EX rate converges to the steady-state exchange rate in the long run. Although there are short-run fluctuations around the NATREX rate, the real exchange rate will converge to the NATREX rate over time.

均衡汇率理论文献评述

均衡汇率的影响因素复杂多样,导致均衡汇率理论呈现多样性。目前在均衡汇率理论当中,具有影响力的主要有:宏观经济均衡分析方法的均衡汇率理论、FEER、BEER、BPEER、NATREX以及ERER等,它们分别从不同的角度研究现实中不同国家的均衡汇率。

现代均衡汇率理论评述

详细介绍了现代均衡汇率理论的发展脉络。在依次回顾基本因素均衡汇率理论、行为均衡汇率理论、自然均衡汇率理论和均衡实际汇率理论的基础上进行比较分析,指出了各种均衡汇率理论的优缺点,最后对合理的均衡汇率水平作了定性判断,认为均衡汇率应该是一个区间。

人民币均衡汇率理论及研究现状分析

目前的均衡汇率理论包括基于价格角度的购买力平价理论和基于宏观经济平衡角度的各种理论。本文对均衡汇率的各种理论进行综述,从理论提出、研究方法、优缺点、研究现状等多个角度对各种均衡汇率理论进行梳理。

均衡汇率理论研究综述

均衡汇率理论经过几十年的发展,已经成为经济学研究的一个重要领域。目前研究比较系统且取得一定成果的均衡汇率理论主要有:基本要素均衡汇率理论(FEER)、行为均衡汇率理论(BEER)、自然均衡汇率理论(NATREX)和均衡实际汇率理论(ERER)。它们分别从不同的角度研究均衡汇率问题。