CAJ | 학술논문

测算方法的差异使得对人民币均衡汇率水平的不同研究的测度结果大相径庭。本文借鉴新近研究,引入生产率和国外净资产变量,采用经常账户缺口法、基本行为均衡方法的误差修正模型和ML-ARCH模型测度了人民币汇率的均衡区间;并探讨了决定均衡汇率变化的基本面因素。结果证实人民币被低估的水平并不十分显著,生产率的提升、贸易条件变化和增长导向的经济发展模式和外汇储备是决定均衡汇率变化趋势的关键基本面因素;均衡汇率变化的估值效应能够显著影响国外净资产水平。
측산방법적차이사득대인민폐균형회솔수평적불동연구적측도결과대상경정。본문차감신근연구,인입생산솔화국외정자산변량,채용경상장호결구법、기본행위균형방법적오차수정모형화ML-ARCH모형측도료인민폐회솔적균형구간;병탐토료결정균형회솔변화적기본면인소。결과증실인민폐피저고적수평병불십분현저,생산솔적제승、무역조건변화화증장도향적경제발전모식화외회저비시결정균형회솔변화추세적관건기본면인소;균형회솔변화적고치효응능구현저영향국외정자산수평。
Discrepancies in measurement methods made results of studies on the RMB equilibrium exchange rate level different.Draw on recent research papers,this study focused on the measurement of the reasonable interval of RMB＇s equilibrium exchange rate and explored the underlying macro-variables that are driving its change,by using current account gap method,the FFER approach with Vector Error Correction model and the ML-ARCH model.And by introducing productivity and net foreign assets variable,we attempted to provide a better understanding of exchange rate movement and determination.Our results confirmed that the level of RMB is undervalued and that,fundamentals of productivity enhancement,terms of trade changes and growth-oriented economic development model all contributed to the trend of equilibrium exchange rate.Also,our study revealed the valuation effect of exchange rate changes can significantly affect the level of net foreign assets.