金融理论与实践
金融理論與實踐
금융이론여실천
FINANCIAL THEORY AND PRACTICE
2015年
8期
21-24
,共4页
BEER%均衡汇率%汇率失调程度%协整分析%误差修正模型
BEER%均衡彙率%彙率失調程度%協整分析%誤差脩正模型
BEER%균형회솔%회솔실조정도%협정분석%오차수정모형
BEER(Behavior Equilibrium Exchange Rate)Model%Equilibrium Exchange Rate%Exchange Rate Misalignment%Co-integration Analysis%VECM(Vector Error Correction Model)
自2005年7月我国汇率改革后，人民币持续升值。2014年2月到3月中旬，人民币兑美元汇率下跌创下5年内最大跌幅2.6%，引发国际上各方舆论。在当前形势下，科学合理地评估人民币均衡汇率水平，具有重要的现实意义。在分析总结均衡汇率理论的基础上，选择适合我国国情的行为均衡汇率理论（BEER），采用1994—2014年的月度数据，通过协整检验建立了人民币均衡汇率模型和误差修正模型，测算出人民币实际有效汇率总失调程度，结果表明不存在大幅高估或低估。
自2005年7月我國彙率改革後，人民幣持續升值。2014年2月到3月中旬，人民幣兌美元彙率下跌創下5年內最大跌幅2.6%，引髮國際上各方輿論。在噹前形勢下，科學閤理地評估人民幣均衡彙率水平，具有重要的現實意義。在分析總結均衡彙率理論的基礎上，選擇適閤我國國情的行為均衡彙率理論（BEER），採用1994—2014年的月度數據，通過協整檢驗建立瞭人民幣均衡彙率模型和誤差脩正模型，測算齣人民幣實際有效彙率總失調程度，結果錶明不存在大幅高估或低估。
자2005년7월아국회솔개혁후，인민폐지속승치。2014년2월도3월중순，인민폐태미원회솔하질창하5년내최대질폭2.6%，인발국제상각방여론。재당전형세하，과학합리지평고인민폐균형회솔수평，구유중요적현실의의。재분석총결균형회솔이론적기출상，선택괄합아국국정적행위균형회솔이론（BEER），채용1994—2014년적월도수거，통과협정검험건립료인민폐균형회솔모형화오차수정모형，측산출인민폐실제유효회솔총실조정도，결과표명불존재대폭고고혹저고。
After the China’s exchange rate regime reform in July 2005, the RMB appreciated continually. From February to mid-March 2014, the exchange rate of RMB against the U.S. Dollar dramatically fell to 2.6%that was the largest decline in past five years. This phenomenon caused fierce debate in the financial world. In the current situation, through assessing of the equilibrium exchange rate of RMB scientifically and rationally, not only can provide suggestions of exchange rate regime reform for the central banks and regulatory authorities, but also can benefit for the development of China's foreign trade. It also enhances international trust and promotes global economic recovery, which has important practical significance. This paper summarizes the equilibrium exchange rate theories and selects BEER model which is the most suitable for China. With using the monthly data of 1994 to 2013, and co-integration test, this paper builds RMB equilibrium exchange rate model, measures out the RMB current and long- term equilibrium exchange rate. Furthermore, it depicts exchange rate misalignment.
