人民币均衡实际汇率测算与失调程度分析
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引用本文:文先明,曹滔,翟欢欢.人民币均衡实际汇率测算与失调程度分析[J].财经理论与实践,2012,(5):18-23
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作者单位
文先明,曹滔,翟欢欢 (长沙理工大学 经济与管理学院,湖南 长沙410114) 
中文摘要:基于国内外关于均衡汇率的相关研究,选择由Montiel提出的ERER改进模型,并结合中国实际情况,构建人民币均衡实际汇率模型,并利用单位根检验,协整分析,误差修正模型,H—P滤波技术对人民币均衡实际汇率进行测算,研究人民币汇率是否失调。结果表明:人民币实际有效汇率与开放度、货币供应量、外汇储备之间存在协整关系,人民币汇率错位修正机制存在,自我修正功能较强。另外,2008年金融危机发生以来,人民币实际有效汇率小幅高估,所以国外提出让人民币大幅升值的观点不切实际。
中文关键词:人民币实际有效汇率  协整分析  汇率失调
 
Estimating RMB Equilibrium Real Exchange Rate and Misalignment analysis
Abstract:Based on the equilibrium exchange rate theory ,considering the actual situation in China ,learned from improved ERER model which proposed by Montiel, the equilibrium exchange rate model was built in the paper. After cointegration analysis, the model was revised. Estimating equilibrium real exchange rate by H-P filtering techniques, the rate misalignment was analyzed. The results show that cointegration can be found among real exchange rate, openness, government expenditure and foreign exchange reserves. And it is also found that RMB exchange rate can self correct. Moreover, since the financial crisis in 2008, RMB real effective exchange rate is slightly overvalued, the opinion of “China should appreciate RMB” is unrealistic.
keywords:RMB Real Effective Exchange Rate  Cointegration Analysis  Exchange Rate Misalignment
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