人民币均衡汇率论文人民币均衡汇率的半参数估计及评价.doc

人民币均衡汇率论文：人民币均衡汇率的半参数估计及评价【中文摘要】近年来,中国经济持续高速发展,与世界的联系增多的同时也增加了争议和摩擦。其中,关于人民币汇率改革和要求人民币升值的争论更是焦点中的重点。对汇率和汇率形成机制进行研究、对人民币均衡汇率进行实证分析和评价、对今后的汇改取向进行探讨有助于我们更好的认识和分析现实中面临的问题,为我国的汇率改革和政策制定提供可靠的理论依据和支持。我国于2005年7月21日起开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。人民币不再单一钉住美元,人民币汇率形成机制更加富有弹性。但从近年来的实践效果来看,当前机制仍然存在一些需要改进的弊端。本文主要围绕着人民币均衡汇率的决定及其实证分析来展开。首先综合分析了目前理论界关于汇率和均衡汇率的各种理论,做出了分类和评述。然后在比较了各种模型的适用性后,选取ERER模型为基础,结合中国国情进行改进,选取合适的基本经济要素变量建立了人民币均衡汇率实证模型。其次以1994年到2009年中美国两国的相关数据为研究对象,在利用传统协整估计方法进行分析的基础上,利用半参数估计的计量方法对模型进行实证分析。本文对运用不同方法得出的估计结果进行了对比和分析,指出了半参数估计方法在拟合程度等方面的优越性。最后,本文建立误差修正模型和长期的人民币均衡汇率模型,对人民币均衡汇率进行测算,对人民币汇率的失调情况做出判断和评价,并提出了相关政策建议。希望能为今后在分析和研究人民币汇率形成机制时提供参考和借鉴。【英文摘要】In recent years, Chinas sustained rapid development and enhanced the ties with the world, which has also brought a number of disputes and friction in the mean time. Among them, the RMB exchange rate reform and the argument about RMB appreciation is the key focus. It is very necessary for us to study on the exchange rate and exchange rate formation mechanism and make empirical analysis and evaluation on the equilibrium exchange rate of RMB. Discussing the future orientation of the reform of the RMB exchange rate will help us better understand and analyze the real problems for Chinas exchange rate reform and provide a reliable theoretical basis and support to our policy development.Since July 21,2005, RMB adopted the directed floating exchange rate system with the basic of market supply and demand and regulating reference of a basket of currencies. RMB exchange rate is no longer onefold dollar peg and the RMB exchange rate formation mechanism is more flexible. However, from the practical effect showed in recent years, there are still some shortcomings in the current mechanism that need to be improved.This paper mainly revolves around the decision of RMB equilibrium exchange rate and the empirical analysis on it. First, it analysed the current theories about the exchange rate and the equilibrium exchange comprehensively, and made classification and comments. Then, after comparing the applicability of various models, the paper amended the ERER model combined with Chinas national conditions and established an empirical model of RMB equilibrium exchange rate which has selected the appropriate variable of economic fundamentals. Second, using the data of China and the United States from 1994 to 2009 as objects, it made an empirical analysis with semi-parametric estimation on the model on the basis of traditional co-integration estimation method. The paper compared and analyzed the results estimated by different methods and adopted the more reasonable one to improve the models accuracy. It pointed out the superiority of Semi-Parameter Regression model which can offer us a new way to the estimation of the RMB Equilibrium Exchange Rate. Finally, error correction model and long-term RMB equilibrium exchange rate model were built to estimate the equilibrium exchange rate of RMB, and the RMB exchange rate misalignment was judged and evaluated. This paper also put forward some policy proposal according to the situation of RMB exchange rate misalignment. It is hoped that this paper can make the readers get a more clear understanding of the RMB exchange rate formation mechanism and provide reference for the future study.【关键词】人民币均衡汇率 ERER模型 半参数估计 E-G协整分析 汇率失调【英文关键词】RMB Equilibrium Exchange Rate ERER Model Semi-parametric Regression E-G Co-integration Test Exchange Rate Misalignment【目录】人民币均衡汇率的半参数估计及评价摘要6-7Abstract7-8第1章 绪论11-221.1 选题背景11-141.1.1 研究背景11-121.1.2 研究意义12-141.2 国内外研究现状14-201.2.1 国外研究现状14-171.2.2 国内研究现状17-201.3 本文的研究目的和内容20-221.3.1 研究目的201.3.2 研究的主要内容20-211.3.3 研究方法与技术路线21-22第2章 人民币汇率变动综述及分析22-282.1 人民币汇率改革与变动趋势22-252.1.1 人民币汇率改革的历程回顾22-232.1.2 人民币汇率历史数据及其变动趋势23-242.1.3 人民币汇率变动的解释24-252.2 人民币汇率购买力平价的检验25-282.2.1 购买力平价的检验与计量方法25-262.2.2 人民币汇率购买力平价的实证检验26-28第3章 人民币均衡汇率的半参数估计28-423.1 半参数估计方法与模型28-293.1.1 半参数估计简介283.1.2 线性半参数模型28-293.2 人民币均衡汇率模型设定29-313.3 变量的选取和数据说明31-333.4 人民币均衡汇率模型的估计33-423.4.1 传统对数模型的估计33-363.4.2 半参数估计结果及比较分析36-42第4章 基于半参数估计的人民币汇率失调测算与评价42-524.1 半参数估计修正后回归方程残差的协整检验42-434.2 误差修正模型(Error Correction Model)