CAJ | 학술논문

本文改进传统回归均值系数分析的缺陷,引进汇率风险变量和适应性预期变量,通过构建行为均衡汇率（BEER）的状态空间模型,利用卡尔曼滤波估计时变系数,同时估计了人民币汇率的ECM模型,研究2000年1月～2011年12月各因素对人民币均衡汇率的动态影响,并测算了人民币均衡汇率.研究发现：政府支出、TOT、FDI对人民币的升值影响显著增强,其中贸易条件对人民币升值贡献最大;利率差R、汇率风险RIS和适应性预期变量,逐渐符合理论预测.人民币均衡汇率失衡均在6％以内,不存在较大偏差.近期人民币升值压力主要来自热钱流入,非经济基本因素的内在需求.解释变量对人民币汇率的长期影响符合理论预期,但短期内各因素对人民币汇率的影响与长期影响有一定的冲突.
본문개진전통회귀균치계수분석적결함,인진회솔풍험변량화괄응성예기변량,통과구건행위균형회솔（BEER）적상태공간모형,이용잡이만려파고계시변계수,동시고계료인민폐회솔적ECM모형,연구2000년1월～2011년12월각인소대인민폐균형회솔적동태영향,병측산료인민폐균형회솔.연구발현：정부지출、TOT、FDI대인민폐적승치영향현저증강,기중무역조건대인민폐승치공헌최대;리솔차R、회솔풍험RIS화괄응성예기변량,축점부합이론예측.인민폐균형회솔실형균재6％이내,불존재교대편차.근기인민폐승치압력주요래자열전류입,비경제기본인소적내재수구.해석변량대인민폐회솔적장기영향부합이론예기,단단기내각인소대인민폐회솔적영향여장기영향유일정적충돌.
Renminbi （RMB） fluctuation is a major issue during rapid economic development in China.This issue creates many interesting research questions.Is RMB exchange rate overvalued or undervalued？ What are the factors influencing the equilibrium exchange rate of RMB？ Are these factors associated with structural changes in the Chinese economy changing？ There is not a unified conclusion about RMB equilibrium exchange rate.The results show that the range of the RMB exchange rate misalignment is from-66% to 162%.The conclusions of foreign scholars are quite different because of the model and the selected variables.However,most of the results show that RMB is undervalued.The current study has no consistent results because different theoretical models are used.The domestic scholars choose the right model and variables to analyze the impact factors of RMB equilibrium exchange rate and estimate RMB equilibrium exchange rate by applying foreign theories.The current studies are basically establishing co-integration equation by VAR.The coefficients are the mean values which are estimated by the co-integration equation and doesn＇t reflect dynamic changes of economic structure.Some scholars have noted the economic structure mutation.They use either the margin co-integration analysis method or the Bai-Perron endogenous multiple structural breaks test method to study RMB equilibrium exchange rate.However,the coefficients of the two mutations are also a mean value,which cannot explain the dynamic changes of RMB Equilibrium Exchange Rat＇s factors.The impact of these factors on the RMB Equilibrium Exchange Rate cannot be analyzed.Very few studies pay attention to the impact of the exchange rate risk variable and the adaptive expectations variable so it is necessary to improve the current study.Based on the state-space model of BEER,we improve the traditional regression analysis by applying the Kalman filter to estimate time-varying coefficients of various factors.We study the dynamic effects of various factors and estimate the equilibrium exchange rate of RMB,which covers the period from Q1 2000 to Q1 2011.The findings indicate that the misalignment of RMB equilibrium exchange rate is less than 3%.There is no large deviation.RMB appreciation has an impact on government expenditure,TOT,and FDI significantly.Among these factors,the term of trade has the largest contribution to the appreciation of RMB equilibrium exchange rate.The interest rate differentials,the Exchange Rate Risk,and the adaptive expectation are all variables in accord with the theoretical predictions.Recently RMB appreciation pressures come from speculation.There is inherent demand of non-economic factors.The long-term effects of the explanatory variables are in line with theoretical expectations,but there is a conflict with the short-term and long-term impact of these variables.