基于结构突变的人民币均衡汇率研究

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浙江财经学院硕士学位论文

摘要

20世纪 90 年代以来，人民币汇率问题逐渐引起了全世界的关注。2002 年10

月以来，国际社会要求人民币汇率升值的呼声日益高涨，我国的对外贸易每年都

会受到美方要求人民币汇率升值的困扰。经验分析表明：合理的汇率制度不仅关

系到一个国家外部收支的可持续性，同时也是国内宏观经济稳定和经济可持续增

长的必要保障。我国的市场经济制度尚未完善，经济与社会制度改革频繁推行，

对人民币汇率造成了重要的影响。因此，对考虑了各项改革等事件后的人民币均

衡汇率进行测算，并在此基础上指导人民币汇率制度进行改革，具有重要的价值。

现有的均衡汇率测算涉及结构突变的不多，涉及的一般也只考虑汇率改革对

均衡汇率的影响。本研究不是经验性确定所考察的结构突变，而是从一般均衡多

方程模型出发，逐项判断哪些变化对人民币汇率存在显著影响。这样，模型涵盖

了更多常见并且具有重要性的结构突变，能够被用于考察多种经济政策、社会制

度改革对人民币汇率的影响，是对现存均衡汇率模型的一种补充。同时，现存包

含结构突变的测算方法一般直接在标准模型中加入虚拟变量，通过线性回归确定

该虚拟变量的系数，进而判断该突变是否重要。而本研究首先使用 chow 检验判断

该时点处是否发生显著地结构突变，若发生则在模型中加入相应的虚拟变量。本

研究将判断模型是否发生结构突变与依据突变进行模型修改分开，便于在均衡汇

率测算模型中考虑多项突变而不致混淆。

本研究首先测算了在不考虑结构突变情况下的 2002-2012 年人民币均衡汇率

及汇率偏离率。测算表明：十年来人民币实际有效汇率在其均衡水平两侧变动，

人民币汇率不存在系统性失调。随时间推移，人民币汇率缓慢向高估方向发展。

人民币汇率失调呈阶段性，共划分为 5个阶段。第一阶段：2002 年2月至 03 年7

月人民币汇率被持续低估，平均低估率 9.2%；第二阶段：2003 年8月至 05 年1

月人民币汇率基本稳定在均衡水平，平均低估率 5.5‰；第三阶段：2005 年2月至

08 年3月人民币被持续低估，平均被低率 9.14%；第四阶段：2008 年4月至 10

年10 月人民币被持续轻微高估，平均高估率 5.63%；第五阶段：2010 年11 月至

12 年6月人民币被持续高估且高估幅度递增，平均高估率 28.7%。

接着，本研究通过罗列十年来的重大经济、社会事件并验证其对均衡的影响，

进而选定了 5项引发均衡汇率测算模型结构突变的事件。包括：2006 年5月的合

格境内投资者境外证券投资开放，2007 年5月的人民币汇率形成机制改革，2008

年5月的汶川特大地震，2009 年3月的医药卫生体制改革以及 2009 年7月的下调

出口关税。

进一步，本研究将结构突变以虚拟变量形式加入均衡汇率测算模型，得到了

浙江财经学院硕士学位论文

包含结构突变的人民币均衡汇率测算模型。然后通过实证分析，获得了包含结构

突变的人民币均衡汇率及偏差。测算表明：在考虑结构突变的情况下，人民币实

际有效汇率在大多数时间内与其均衡水平吻合良好，人民币汇率不存在系统性失

调。汇率失调集中在一个时段内，总失调程度可划分为 5个阶段。第一阶段：2002

年2月至 06 年4月人民币汇率被轻微低估，平均低估率 1.68%；第二阶段：2006

年5月至 06 年9月人民币汇率被严重高估，平均高估率 184.69%；第三阶段：2006

年10 月至 07 年1月人民币汇率被严重低估平均低估率 128.91%；第四阶段：2007

年2月至 07 年6月人民币汇率被高估，平均高估率 51.99%；第五阶段：2007 年7

月至 12 年6月人民币汇率被轻微高估，平均高估率 3.68%。

此外，本研究还确定了突变事件对人民币汇率的影响。其中，2007 年5月的

人民币汇率形成机制改革造成了实际有效汇率下降 61.41%；2008 年5月的汶川特

大地震造成了实际有效汇率上升 22.55%；2009 年3月的医药卫生体制改革造成了

实际有效汇率下降 6.13%；2009 年7月的下调出口关税造成了实际有效汇率下降

20.09%。

基于上述关于人民币失调程度的结论，本研究提出政府应当减少对汇率的直

接干预，保持人民币汇率基本稳定。同时政府应全面分析各项经济、社会政策对

汇率的影响，审慎政策与改革的推行。

关键词：人民币汇率；结构突变；chow 检验；一般均衡；汇率改革

浙江财经学院硕士学位论文

ABSTRACT

Since the 1990s, the RMB exchange rate has gradually caught the world's attention.

Since October 2002, the international societies’ requirements of the RMB exchange rate

appreciation have been increased. China's international trade was bothered by the RMB

exchange rate problems every year. Empirical analysis shows that: A reasonable

exchange rate is not only related to the country’s balance of international payment, but

also the domestic macroeconomic stability and the economic sustainability of growth.

Our country's market economic system has not yet been perfect, so the economic and

social system reform carries out frequently, which has important influences on the RMB

exchange rate. Therefore, it is of great importance to calculate the RMB equilibrium

exchange rate in consideration of these reforms.

The existing equilibrium exchange rate calculations do not involve structure

mutation very often. The one that involves only think about the influence of the

exchange rate reform on equilibrium exchange rate. This research however, does not

empirically determine the mutations, but starts from the general equilibrium equation

model, and judges which changes or reforms have significant influences on RMB

exchange rate item by item. So, this study covers more common and important structure

mutations, and can be used to study the influences of a variety of economic policies and

social system reforms on the RMB exchange rate. At the same time, the existing

calculations which contain structure mutations usually add dummy variables into the

standard model directly, determine their coefficient through linear regression, and then

judge the importance of the mutations. But this research uses chow test to judge if a

structure mutation has occurred in the first place. If it occurred, adds the corresponding

dummy variable into the model. This research separates the judgment of the structure

mutations and the modification of the model based on mutations, which takes the

confusions out of the calculation of multiple mutations equilibrium exchange rate.

This study first estimates the 2002-2012 RMB equilibrium exchange rate and its

deviation ratio, under no consideration of structure mutation. Estimates show that: In

ten years, the RMB real effective exchange rate changed on both sides of its equilibrium

level. And there is no sign of systemic disorders. Over time, the RMB exchange rate

showed a slow development to the overestimate. The exchange rate disorder is periodic,

and can be divided into five stages. The first stage: From February 2002 to July 2003

the RMB exchange rate are consistently undervalued, with an average underestimate

浙江财经学院硕士学位论文

rate of 9.2%; The second stage: From August 2003 to January 2005 the RMB exchange

rate was basically stable at equilibrium level, with an average underestimate rate of

5.5‰; The third stage: From February 2005 to March 2008 the RMB was consistently

undervalued, with an average underestimate rate of 9.14%; The fourth stage: From April

2008 to October 2010 the RMB is sustainedly minor overvalued, with an average

overestimate rate of 5.63%; The fifth step: From November 2010 to June 2012 the RMB

is continuously and increasing overestimates, with an average overestimate rate of

28.7%.

Then, this study lists the significant economic or social events in ten years and

verifies their influences on the economic balance. And selects five events that cause

structure mutations in the equilibrium exchange rate estimation model. The events

include: The qualified domestic institutions overseas investment (QDII) opening up in

May 2006, the RMB exchange rate formation mechanism reform in May 2007, the

earthquake of Wen Chuan in May 2008, the medical health system reform in March

2009, and the cutting down of export tariffs in July 2009.

Further, this research adds structure mutations into the equilibrium exchange rate

model in the from of dummy variables, and gets RMB equilibrium exchange rate model

which contains structure mutations. Then acquires RMB equilibrium exchange rate and

its deviation containing structure mutations through empirical analysis. Estimates show

that: If taking the structure mutations into consideration, the RMB real effective

exchange rate and its equilibrium level anastomose good in most time. The RMB

exchange rate does not show any systemic disorders. The disorders concentrates in a

specific period of time, and the total disorder degrees can be divided into five stages.

The first stage: Form February 2002 to April 2006 the RMB exchange rate is minor

underestimated, with an average underestimate rate of 1.68%; The second stage: Form

May to September 2006 the RMB exchange rate is seriously overvalued, with an

average overestimate rate of 184.69%; The third stage: Form October 2006 to January

2007 the RMB exchange rate is badly underestimated, with an average underestimate

rate of 128.91%; The fourth stage: From February to June 2007 the RMB exchange rate

is overvalued, with an average overestimate rate of 51.99%; The fifth stage: From July

2007 to June 2012 the RMB exchange rate is minor overvalued, with an average

overestimate rate of 3.68%.

In addition, this study determines the influences of the mutation events on the

RMB exchange rate. Among them, the RMB exchange rate formation mechanism

浙江财经学院硕士学位论文

reform in May 2007 caused the real effective exchange rate fall by 61.41%, the

earthquake of Wen Chuan in May 2008 caused the real effective exchange rate rising by

22.55%, the medical health system reform in March 2009 caused the real effective

exchange rate fall by 6.13%, and the cutting of export tariffs in July 2009 caused the

real effective exchange rate fall by 20.09%.

Based on the above conclusions of the RMB exchange rate disorders, this study

proposes that the government should reduce direct interventions in the exchange rate,

and keep the RMB exchange rate basically stable. At the same time, the government

should make comprehensive analysis about the influence of the various economic and

social policies on the exchange rate.

Keywords: RMB exchange rate; structural mutation; chow-test; general

equilibrium, exchange rate reform

浙江财经学院硕士学位论文

第一章绪论 .................................................................................................................... 9

第一节研究背景与意义 ....................................................................................... 9

第二节研究内容与研究方法 ............................................................................... 10

第三节可能的创新点 ........................................................................................... 12

第二章文献综述 .......................................................................................................... 13

第一节均衡汇率测算的理论研究 ....................................................................... 13

第二节人民币均衡汇率测算的实证研究 ........................................................... 16

第三节包含结构突变均衡汇率测算的实证研究 ............................................... 19

第四节文献简要评述 ........................................................................................... 21

第三章一般的均衡汇率测算 ...................................................................................... 23

第一节一般均衡框架下的均衡汇率研究模型 ................................................... 23

第二节数据及实证分析 ....................................................................................... 27

第三节均衡汇率测算的结果分析 ....................................................................... 36

第四章结构突变点的选择与判断 .............................................................................. 38

第一节实际有效汇率的波动 ............................................................................... 38

第二节一般均衡模型中可能的结构突变 ........................................................... 39

第三节 chow 检验与突变点选定 ......................................................................... 43

第五章包含结构突变的均衡汇率测算 ...................................................................... 47

第一节对研究模型的修正 ................................................................................... 47

第二节包含突变的实证分析 ............................................................................... 47

第三节包含突变的均衡汇率测算结果分析 ....................................................... 52

第六章研究结论和相关建议 ...................................................................................... 56

第一节本研究的主要结论 ................................................................................. 56

第二节政策建议 ................................................................................................... 57

第二节本研究的局限性 ....................................................................................... 58

参考文献 ........................................................................................................................ 60

附录 ................................................................................................................................ 64

致谢 ................................................................................................................................ 71

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摘要：

浙江财经学院硕士学位论文3摘要20世纪90年代以来，人民币汇率问题逐渐引起了全世界的关注。2002年10月以来，国际社会要求人民币汇率升值的呼声日益高涨，我国的对外贸易每年都会受到美方要求人民币汇率升值的困扰。经验分析表明：合理的汇率制度不仅关系到一个国家外部收支的可持续性，同时也是国内宏观经济稳定和经济可持续增长的必要保障。我国的市场经济制度尚未完善，经济与社会制度改革频繁推行，对人民币汇率造成了重要的影响。因此，对考虑了各项改革等事件后的人民币均衡汇率进行测算，并在此基础上指导人民币汇率制度进行改革，具有重要的价值。现有的均衡汇率测算涉及结构突变的不多，涉及的一般也只考虑汇率改革对均衡汇率...

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