論人民幣匯率波動失衡與升值

1、作者姓名： 王義中論文題目 ：論人民幣匯率波動、失衡與升值作者簡介：王義中，男， 1978年 2月出生， 2005年 9月師從于浙江大學(xué)金雪 軍教授，于 2008年 6 月獲博士學(xué)位。中文摘要1994 年國家外匯管理體制改革到 2005 年 7 月期間，人民幣兌美元匯率維持在非常狹窄 的區(qū)間里波動，這種超穩(wěn)定賦予給國內(nèi)經(jīng)濟良好的外部環(huán)境。然而，透過日元和德國馬克變 化歷程發(fā)現(xiàn)的共同事實是經(jīng)濟大國崛起必然伴隨著本國名義匯率升值。近些年來，中國經(jīng)濟 高速增長，外匯儲備持有量已位居世界第一。毫無疑問，掩藏在高經(jīng)濟增長背后最主要的故 事便是人民幣匯率要升值。理論界和政策層面試圖通過各種方法和模型測算出

2、人民幣匯率的 均衡值，據(jù)以確定合理的調(diào)整幅度，但結(jié)果卻差強人意，至今沒有取得一致性結(jié)論。實質(zhì)上，應(yīng)該允許多大幅度實際匯率短期與長期波動才是政策層面優(yōu)先考慮的問題，因 為實際匯率波動會影響均衡匯率水平；實際波動幅度大小關(guān)系到投資者的風(fēng)險決策、關(guān)系到 宏觀經(jīng)濟穩(wěn)定、影響到投資者匯率預(yù)期?；诖?，第 3 章采用標(biāo)準(zhǔn)差、 GARCH 模型和 HP 濾 波法度量人民幣實際有效匯率的波動性。結(jié)果表明：實際匯率長期波動相對于短期波動其穩(wěn) 定性在提高，短期波動具有粘滯性、杠桿效應(yīng)和易受外來沖擊影響的特征。進一步的方差分 解公式表明：人民幣實際有效匯率波動主要來自于名義有效匯率波動而非相對價格波動；人 民幣兌美

3、元雙邊實際匯率則主要是由于可貿(mào)易品相對價格波動，而非非貿(mào)易品價格運動。既有均衡匯率理論許多地方需要完善。第 4 章區(qū)分產(chǎn)品市場和資產(chǎn)市場上的人民幣匯率 均衡、失調(diào)和波動，提供相對應(yīng)的理論基礎(chǔ)，充分考慮計量模穩(wěn)定性，并結(jié)合中國還存在資 本管制的現(xiàn)實對其進行解釋。發(fā)現(xiàn)人民幣不存在嚴(yán)重高估和低估，只是產(chǎn)品市場上近期實際 匯率低估且程度在加深，而資產(chǎn)市場上高估。長期均衡來自相對供給和相對需求因素，而相 對供給起決定性作用，短期均衡來自實際匯率自身、相對貨幣供給、預(yù)期因素和利差，其中 前兩者的作用比較明顯。人民幣實際匯率短期波動是資產(chǎn)市場上的一種貨幣現(xiàn)象，名義沖擊 和貨幣沖擊對波動影響較大，而長期波動是

4、產(chǎn)品市場上實體經(jīng)濟增長的反映，生產(chǎn)率沖擊或 供給沖擊對波動影響較大。第 5 章進一步從供給沖擊（生產(chǎn)率）的角度討論人民幣匯率波動 的來源。將生產(chǎn)率和貨幣政策相結(jié)合，在新開放經(jīng)濟宏觀經(jīng)濟學(xué)框架下構(gòu)建匯率預(yù)期變化的 理論模型。得到的結(jié)論是：人民幣匯率由升值預(yù)期轉(zhuǎn)換為貶值預(yù)期的關(guān)鍵性條件是消費偏倚 減弱。第 6 章從不同角度討論人民幣匯率失衡和升值過程中的政策選擇。首先總結(jié)了日元升值 過程中的宏觀經(jīng)濟操作方式的經(jīng)驗教訓(xùn)。發(fā)現(xiàn)日本政府采用的是“雙盯住政策”：頻繁干預(yù) 外匯市場影響匯率，試圖保持名義匯率和物價穩(wěn)定，從而盯住實際匯率。日本政策實行的是 擴張性盯住，而中國推行的是緊縮性盯住。為此，本章提供了

5、一個理論基礎(chǔ)，然后通過 VAR 模型分析了中國實行緊縮性政策的有效性和經(jīng)濟后果。結(jié)果表明：短期內(nèi)，提高利率緊縮經(jīng) 濟不僅可以實現(xiàn)被動式升值，而且能有效控制通脹，而主動性大幅度升值可能會陷入類似日 本經(jīng)歷的困境。若利率政策在短期內(nèi)難以達到理想效果，人民幣匯率主動式小幅度升值能有 效抑制通脹；長期中，“緊縮性盯住”（降低貨幣供給、提高利率和其他措施）并不一定會 帶來經(jīng)濟衰退。為避免“流動性陷阱”，“緊縮性盯住”優(yōu)于日本式的“擴張性盯住”。接 著討論在凈資本流入導(dǎo)致實際匯率升值的情況下所采取的宏觀經(jīng)濟政策，包括貨幣政策、財 政政策以及沖銷干預(yù)和放松資本流出政策。發(fā)現(xiàn)外商直接投資主要流入到貿(mào)易品部門，

6、短期 內(nèi)不會對人民幣實際匯率產(chǎn)生影響，而長期中會導(dǎo)致實際匯率升值；短期內(nèi)，沖銷干預(yù)是一 個較好的抑制升值的政策，但長期中該政策是無效的；長期來看，面對國外資本大量流入中 國，放松資本流出、鼓勵本國企業(yè)“走出去”是抵制升值的最有效政策；緊縮財政開支的政 策也有抑制升值的功能，但與放松資本流出政策相比，其政策效果一般。第 7 章區(qū)分“政府主導(dǎo)型”升值和“市場主導(dǎo)型”升值，利用動態(tài)優(yōu)化方法求解這兩種 方式下人民幣匯率的最優(yōu)升值路徑。由于中國產(chǎn)出匯率預(yù)期彈性大于資本可流動下產(chǎn)出利率 彈性，因而人民幣匯率升值路徑是“政府主導(dǎo)型”的，采取漸進式的階段性升值方式，只有 在該約束條件發(fā)生逆轉(zhuǎn)時，才能推行“市場

7、主導(dǎo)型”升值，實行自由浮動匯率制度。本文得出的結(jié)果表明 ：（1）人民幣匯率失調(diào)并不是一直保持高估或低估，個別時間接近 均衡匯率，現(xiàn)階段調(diào)整名義匯率并不意味著未來人民幣實際匯率一直保持在均衡狀態(tài)，可以 說失調(diào)是一種常態(tài)，均衡是一種偶態(tài)。適度低估可以維持出口和經(jīng)濟持續(xù)增長，過度低估才 會導(dǎo)致通貨膨脹上升、福利水平降低和外債風(fēng)險增加等問題，而且在東亞區(qū)內(nèi)各國匯率存在 著系統(tǒng)性低估，人民幣調(diào)整力度過大短期內(nèi)在東亞區(qū)喪失的優(yōu)勢就越多。人民幣匯率并沒有 存在著嚴(yán)重的低估，關(guān)注焦點應(yīng)該放在產(chǎn)品市場低估程度擴大的趨勢上，它主要源于相對供 給或生產(chǎn)率沖擊內(nèi)生出實際匯率升值而沒有升值，因而在需求政策效果不明顯的情

8、況下，可 以考慮供給管理政策實現(xiàn)內(nèi)外經(jīng)濟均衡。 名義匯率升值政策固然可以減緩產(chǎn)品市場失調(diào)程度， 但加劇了資產(chǎn)市場高估程度，結(jié)果進一步刺激資本流入和外債增加，資本賬戶持續(xù)順差。因 而名義匯率漸進式的升值要同消除資產(chǎn)市場高估的政策措施相結(jié)合，例如加寬短期匯率波動 幅度抑制升值預(yù)期。因此，人民幣名義匯率升值沒有必要硬釘住均衡匯率進行調(diào)整，調(diào)整力度和成本同資本 賬戶開放程度以及經(jīng)濟可承受程度相關(guān)，更多地應(yīng)該同整體經(jīng)濟協(xié)調(diào)進行，減緩?fù)獠繅毫Α?加強區(qū)域合作。人民幣匯率升值路徑應(yīng)該是“政府主導(dǎo)型”的，采取漸進式的階段性升值方 式。既然短期實際匯率是均衡的、短期波動是可控的，與其重視向長期均衡匯率接近，不如

9、 放寬短期波動，穩(wěn)定短期投機預(yù)期，集中力量穩(wěn)定實際匯率長期波動幅度。這種穩(wěn)定是一籃 子貨幣基礎(chǔ)之上的穩(wěn)定，是實際有效匯率的穩(wěn)定，是在長期均衡實際匯率基礎(chǔ)上的穩(wěn)定，一 方面降低了風(fēng)險，另一方面保持了對外競爭力。簡而言之，人民幣匯率調(diào)整應(yīng)該以產(chǎn)品市場 長期均衡匯率作為短期匯率調(diào)整的依據(jù)，同時擴大名義匯率波動幅度、保持長期實際匯率穩(wěn) 定。在長期穩(wěn)定的基礎(chǔ)上保持均衡更優(yōu)于在均衡的基礎(chǔ)上保持穩(wěn)定。（2）“擴張性盯住”與“緊縮性盯住”的最大區(qū)別在于實現(xiàn)匯率升值的方式不同，日本 的政策錯誤是在于主動式升值下采用“擴張性盯住”，中國要不重蹈日本覆轍，應(yīng)該在被動 式升值采取“緊縮性盯住”，該政策會不會導(dǎo)致經(jīng)濟衰

10、退的一個前提條件在于名義匯率升值 過程中，要保持同國外穩(wěn)定的通脹差距，盯住實際匯率實際上就是要盯住通貨膨脹，并且在 適當(dāng)時候減輕釘住美元的程度，以增強貨幣政策自由度；短期內(nèi)，不能推行類似日本的資本 賬戶完全自由化，保持一定的資本控制程度是必要的，這樣可以減緩緊縮性政策所致的資本 流入沖擊。與此同時，擴大名義匯率波動幅度。（ 3）宏觀政策的相互配合緩解升值壓力。 積極引導(dǎo)和調(diào)整外商在華直接投資的產(chǎn)業(yè)結(jié)構(gòu)， 由原有的“貿(mào)易導(dǎo)向”轉(zhuǎn)到“非貿(mào)易導(dǎo)向”，采取相關(guān)措施鼓勵外商投資于西部教育產(chǎn)業(yè)、 城市基礎(chǔ)設(shè)施建設(shè)、衛(wèi)生體育、科技文化等非貿(mào)易行業(yè)。同時，逐步取消對外商在華直接的 優(yōu)惠政策；若要擺脫依賴外需的

11、局面，把刺激內(nèi)需的任務(wù)賦予給擴張性財政政策，為避免擴 大財政開支對實際匯率升值的影響，政府在增加對非貿(mào)易部門的支出同時也應(yīng)該相應(yīng)增加對 貿(mào)易品部門的支出。例如，增加社會保障支出同時相應(yīng)增加對農(nóng)村的補貼支出；在面對大量 資本不斷流入和沖銷干預(yù)政策難以持續(xù)的情況下， 一方面不能放松對貨幣性資本流出的限制， 不能放松對外商投資企業(yè)長期資本流出的限制，另一方面要放松本國企業(yè)實物性資本流出政 策以及鼓勵本國更多的企業(yè)“走出去”。在市場投機預(yù)期消退后和資本流入比較平穩(wěn)時，才 能考慮放松對短期資本的管制，逐步、有序地推進資本項目可自由兌換。關(guān)鍵詞：實際匯率波動 均衡匯率 匯率升值Volatility 、 D

12、isequilibrium and Appreciation of the RMB Exchange RateWang YizhongABSTRACTFrom the foreign exchange system reform in 1994 to July 2005, the exchange rate of RMB to USD fluctuates slightly. This kind of super stability has endowed a good external environment for China. However, through the changing

13、patterns of Japanese Yen and German Mark, we can see a common fact that the rise of an economic power is inevitably accompanied with the appreciation of its nominal exchange rate. In recent years, the holding of the foreign exchange reserve of China has already ranked the first in the world with the

14、 high-speed development of Chinese economy. Undoubtedly, what has mainly hidden at the back of the high-speed economic growth is the appreciation of RMB exchange rate.The academic circle and policy-making organs have attempted to determine the equilibrium value of RMB exchange rate through various m

15、ethods and models so as to decide the reasonable adjustment extent, but the results turned out unsatisfactory. So far, there is no consistent conclusion.Essentially, the issue as to what extent the short-term and long-term fluctuation of real exchange rate can be allowed shall be the priority for th

16、e policy-making organs, for real exchange rate can influence equilibrium exchange rate level. Real fluctuation extent is related to the risk decision-making of the investor and the stability of the macro economy and affects the exchange rate expectation of the investor. In Chapter 3, standard deviat

17、ion, GARCH model and HP filter method are adopted to measure the fluctuation of the real effective exchange rate of RMB. The results show: the stability of long-term fluctuation of real exchange rate is increasing compared with that of short-term fluctuation which features stickiness, leverage effec

18、t and vulnerability to external impacts. The further variance decomposition formula shows that the fluctuation of real effective exchange rate of RMB is mainly from the fluctuation of nominal effective exchange instead of the fluctuation of relative price. Bilateral real exchange rate of RMB to USD

19、is mainly becausethe fluctuation of the relative prices of the tradable goods rather than the movement of the prices of non-tradable goods.There are many aspects requiring improvement in the existing equilibrium exchange rate theory. Chapter 4 will differentiate the equilibrium, imbalance and fluctu

20、ation of RMB exchange rate in the product market and the assets market, provide corresponding theoretic basis, fully consider the stability of the measurement model, and explain the issue with the combination of the reality of existing capital control in China. It has been found that no serious over

21、estimation and underestimation of RMB exists. However, recent real exchange rate in the product market is underestimated, and the underestimation degree is deepening, while it is just the other way around in the assets market. Long-term equilibrium depends on relative supply and relative demand in w

22、hich the relative supply is crucial, while short-term equilibrium comes from real exchange rate itself, relative currency supply, expectational factors and interest margin in which the former two (real exchange rate & relative currency supply) play a relatively obvious role. The short-term fluct

23、uation of real exchange rate of RMB is a currency phenomenon in the assets market. The fluctuation is significantly influenced by the nominal impact and currency impact. Long-term fluctuation is the reflection of the real economic growth in the product market. Productivity impact and supply impact h

24、ave a relatively significant effect on long-term fluctuation. Chapter 5 will further discuss the source of exchange rate fluctuation of RMB from the perspective of supply impact (productivity). The theoretic model of the expected change of exchange rate will be constructed under the framework of new

25、 open economy macroeconomics with the combination of productivity and monetary policy. The conclusion obtained is that the key condition for transforming appreciation expectation to depreciation expectation of RMB exchange rate is the decline of consumption preference.Chapter 6 will discuss the poli

26、cy selection during the process of imbalance and appreciation of RMB exchange rate from different perspectives. First, it has summarized the experience and lessons learned in the macroeconomic operation method during the process of Japanese Yen appreciation. It is thus found that the policy adopted

27、by Japanesegovernment was “double-control policy”: frequently intervene the foreign exchange market to influence the exchange rate; attempt to keep the stability of nominal exchangerate and price of commodities to control real exchange rate. What Japan has adopted is expansionary control policy whil

28、e China promotes constrictive control policy. Therefore, this Chapter provides a theoretic basis, and then analyzes the effectiveness and economic outcome of the constrictive policy adopted by China through the utilization of VAR model. The results show: in a short run, the rise of interest rate and

29、 the contraction of economy can not only realize the passive appreciation but also effectively control the inflation. However, dramatic active appreciation will repeat the difficult position Japan has experienced. In case that the interest rate policy is incapable of reaching ideal effect in a short

30、 run, active appreciation of RMB within a small extent can effectively inhibit inflation; in a long run, “constrictive control ”(reduction of currency supply, increase of interest rate and other measures) will not necessarily bring economic recession. In order to avoid “ liquidity trap”, “constricti

31、ve control”is superior to Japanese“expansionary control”. Next, the Chapter will discuss the macroeconomic policy taken under the condition that the inflow of net capital causes the appreciation of real exchange rate, including monetary policy, financial policy and Sterilized Intervention and capita

32、l outflow relaxation policy. It is found that the direct investment from the foreign traders mainly flows into tradable goods sector, which will not influence real exchange rate of RMB in a short run, and can cause the increase of real exchange rate in a long run. In a short run, Sterilized Interven

33、tion is a relatively good policy to inhibit appreciation; however this policy will become invalid in a long run. From a long-term perspective, the relaxation of the capital outflow and the encouragement of “going global” to domestic enterprises are the most effective policy to inhibit appreciation u

34、nder the background of huge foreign capital flowing into China. The policy of fiscal restraint also has the function of appreciation inhibition, but its effect is just acceptable compared with the policy of relaxation of capital outflow.Chapter 7 will differentiate “ governmen-ot riented ”appreciati

35、on and “ marke-ot riented ” appreciation. Dynamic optimization method has been utilized to work out the optimal appreciation path of RMB exchange rate under these two methods. Since the expected elasticity of output exchange rate of China is greater than that of the interest rate under the condition

36、 of capital flowability, the appreciation path of RMB is “government-oriented”, and the incremental staged appreciation method is adopted. Only when this constraint condition is reversed can “market-oriented”appreciation method be adopted to implement freely floating exchange rate system.Conclusion

37、from this paper shows that: （ 1） Disequilibrium of RMB exchange rate is not always underestimated or overestimated; actually sometimes it approachesequilibrium exchange rate. Adjustment of nominal exchange rate at current stage does not mean that actual exchange rate of RMB in future will always kee

38、p equilibrium. Or rather, disequilibrium is a normal status, and equilibrium is an occasional status. Moderate underestimate may sustain export and economical growth; only excessive underestimate will cause inflation, decline of welfare and increase of foreign debt disk. Besides, there is systematic

39、 underestimate in exchange rates of countries in East Asia. If RMB is regulated dramatically in short run, it will lose many advantages in East Asia Region. RMB exchange rate is not severely underestimated. The focus shall be on the trend that the underestimate of product market is expanding. It is

40、mainly because that actual exchange rate which has to increase due to productivity impact and supply impact fails to increase. Therefore, if the demand policy fails to work well, supply management policy may be considered to be taken to realize economy equilibrium. Though nominal exchange rate appre

41、ciation policy can reduce the disequilibrium of product market, it worsens capital market overestimate condition, which further stimulates capital inflow and increase of foreign debts, and continuous surplus of capital account. Hence, the incremental increase of nominal exchange rate shall be combin

42、ed with policies to eliminate overestimate of capital market. For example, to widen short term exchange rate fluctuation to inhibit appreciation expectation.As a result, it is not necessary to hook adjustment of increase of RMB nominal exchange rate with equilibrium exchange. The adjustment degree a

43、nd cost are related to open degree of capital account and sustainability of economy. Actually, it shall be coordinated with overall economy with foreign pressure reduced and regional cooperation strengthened. Path of RMB exchange rate appreciation shall be governmental-oriented in incremental staged

44、 appreciation means. Since the short term actual exchange rate is balanced and the short-term fluctuation is controllable, it is better to widened short-terms fluctuation, to stabilize short-term investment expectation, and to stabilize long term actual exchange rate fluctuation, instead of focusing

45、 on approximating long term equilibrium exchange rate. Such kind of stabilization is based on a series of currency policies; it is the stabilization of actual effective exchange rate, and is based on long term equilibrium actual exchange rate. On one hand, it reduces risk, and on the other hand, it

46、keeps outward competition. To sum up, for adjustment of RMB exchange rate, the short-term adjustment shall be based on long-term equilibrium exchange rate of product market. Meanwhile, the nominal exchange rate fluctuation shall be expanded and long term actual exchange rate stabilized. To sustain e

47、quilibrium on basis of long term stabilization is better than to keep stabilization on basis of equilibrium.（2）The major different between expansionary control and constrictive control lies in the way to realize exchange rate appreciation. The mistake in the Japanese policy is to adopt expansionary

48、control under active appreciation. China shall not repeat the failure of Japan, and shall adopt constrictive control with passive appreciation. The precondition of whether this policy will lead to economy recession or not is to keep stable inflation gap with foreign countries during nominal exchange

49、 rate appreciation. Control on actual exchange rate is actually control on inflation, and to relax control on USD at proper time in order to increase freedom of currency policy. In short run, completely free capital account like that of Japan shall not be promoted; it is necessaryto keep certain control on capital. In this way, impact from capital inflow due to constrictive police can be reduced. At the same time, nominal exchange rate fluctuation may be expanded.（ 3） Cooperation of macro policies may reduce appreciation pressure. We shall better actively introdu