1978—2007年人民币行为均衡汇率的实证研究

详细信息

An Empirical Investigation of RMB Behavioral Equilibrium Exchange Rate from 1978 to 2007

摘要: 行为均衡汇率理论是均衡汇率的测算方法中影响较大的一种理论。依据行为均衡汇率测算方法,以中国1978—2007年度数据,运用向量误差纠正研究技术,对人民币实际有效汇率与贸易余额占GDP比重等经济基本因素时间序列之间的协整关系进行了实证检验。研究表明人民币实际有效汇率虽然在相当长一段时间内处于低估的状态,但随着经济基本因素的改变,目前它已经十分接近于均衡汇率水平。
- 人民币实际有效汇率 /
- 行为均衡汇率 /
- 汇率失调
Abstract: The Behavioral Equilibrium Exchange Rate approach is one of the most influential approaches to estimate equilibrium exchange rates. With the help of VEC technique, the author investigates the cointegration relation among RMB real effective exchange rate, the ratio of trade surplus to GDP, real effective terms of trade, total factor productivity and the ratio of foreign direct investment to GDP according to BEER approach. The empirical investigation shows that although RMB real effective exchange rate is undervalued over long time period, with the changing of real fundamentals, the RMB exchange rate now is very close to its equilibrium level.
- RMB real effective exchange rate /
- behavioral equilibrium exchange rate /
- exchange rate misalignment

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