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1、作者姓名： 王义中论文题目 ：论人民币汇率波动、失衡与升值作者简介：王义中，男， 1978年 2月出生， 2005年 9月师从于浙江大学金雪 军教授，于 2008年 6 月获博士学位。中文摘要1994 年国家外汇管理体制改革到 2005 年 7 月期间，人民币兑美元汇率维持在非常狭窄 的区间里波动，这种超稳定赋予给国内经济良好的外部环境。然而，透过日元和德国马克变 化历程发现的共同事实是经济大国崛起必然伴随着本国名义汇率升值。近些年来，中国经济 高速增长，外汇储备持有量已位居世界第一。毫无疑问，掩藏在高经济增长背后最主要的故 事便是人民币汇率要升值。理论界和政策层面试图通过各种方法和模型测算出
2、人民币汇率的 均衡值，据以确定合理的调整幅度，但结果却差强人意，至今没有取得一致性结论。实质上，应该允许多大幅度实际汇率短期与长期波动才是政策层面优先考虑的问题，因 为实际汇率波动会影响均衡汇率水平；实际波动幅度大小关系到投资者的风险决策、关系到 宏观经济稳定、影响到投资者汇率预期。基于此，第 3 章采用标准差、 GARCH 模型和 HP 滤 波法度量人民币实际有效汇率的波动性。结果表明：实际汇率长期波动相对于短期波动其稳 定性在提高，短期波动具有粘滞性、杠杆效应和易受外来冲击影响的特征。进一步的方差分 解公式表明：人民币实际有效汇率波动主要来自于名义有效汇率波动而非相对价格波动；人 民币兑美
3、元双边实际汇率则主要是由于可贸易品相对价格波动，而非非贸易品价格运动。既有均衡汇率理论许多地方需要完善。第 4 章区分产品市场和资产市场上的人民币汇率 均衡、失调和波动，提供相对应的理论基础，充分考虑计量模稳定性，并结合中国还存在资 本管制的现实对其进行解释。发现人民币不存在严重高估和低估，只是产品市场上近期实际 汇率低估且程度在加深，而资产市场上高估。长期均衡来自相对供给和相对需求因素，而相 对供给起决定性作用，短期均衡来自实际汇率自身、相对货币供给、预期因素和利差，其中 前两者的作用比较明显。人民币实际汇率短期波动是资产市场上的一种货币现象，名义冲击 和货币冲击对波动影响较大，而长期波动是
4、产品市场上实体经济增长的反映，生产率冲击或 供给冲击对波动影响较大。第 5 章进一步从供给冲击（生产率）的角度讨论人民币汇率波动 的来源。将生产率和货币政策相结合，在新开放经济宏观经济学框架下构建汇率预期变化的 理论模型。得到的结论是：人民币汇率由升值预期转换为贬值预期的关键性条件是消费偏倚 减弱。第 6 章从不同角度讨论人民币汇率失衡和升值过程中的政策选择。首先总结了日元升值 过程中的宏观经济操作方式的经验教训。发现日本政府采用的是“双盯住政策”：频繁干预 外汇市场影响汇率，试图保持名义汇率和物价稳定，从而盯住实际汇率。日本政策实行的是 扩张性盯住，而中国推行的是紧缩性盯住。为此，本章提供了
5、一个理论基础，然后通过 VAR 模型分析了中国实行紧缩性政策的有效性和经济后果。结果表明：短期内，提高利率紧缩经 济不仅可以实现被动式升值，而且能有效控制通胀，而主动性大幅度升值可能会陷入类似日 本经历的困境。若利率政策在短期内难以达到理想效果，人民币汇率主动式小幅度升值能有 效抑制通胀；长期中，“紧缩性盯住”（降低货币供给、提高利率和其他措施）并不一定会 带来经济衰退。为避免“流动性陷阱”，“紧缩性盯住”优于日本式的“扩张性盯住”。接 着讨论在净资本流入导致实际汇率升值的情况下所采取的宏观经济政策，包括货币政策、财 政政策以及冲销干预和放松资本流出政策。发现外商直接投资主要流入到贸易品部门，
6、短期 内不会对人民币实际汇率产生影响，而长期中会导致实际汇率升值；短期内，冲销干预是一 个较好的抑制升值的政策，但长期中该政策是无效的；长期来看，面对国外资本大量流入中 国，放松资本流出、鼓励本国企业“走出去”是抵制升值的最有效政策；紧缩财政开支的政 策也有抑制升值的功能，但与放松资本流出政策相比，其政策效果一般。第 7 章区分“政府主导型”升值和“市场主导型”升值，利用动态优化方法求解这两种 方式下人民币汇率的最优升值路径。由于中国产出汇率预期弹性大于资本可流动下产出利率 弹性，因而人民币汇率升值路径是“政府主导型”的，采取渐进式的阶段性升值方式，只有 在该约束条件发生逆转时，才能推行“市场
7、主导型”升值，实行自由浮动汇率制度。本文得出的结果表明 ：（1）人民币汇率失调并不是一直保持高估或低估，个别时间接近 均衡汇率，现阶段调整名义汇率并不意味着未来人民币实际汇率一直保持在均衡状态，可以 说失调是一种常态，均衡是一种偶态。适度低估可以维持出口和经济持续增长，过度低估才 会导致通货膨胀上升、福利水平降低和外债风险增加等问题，而且在东亚区内各国汇率存在 着系统性低估，人民币调整力度过大短期内在东亚区丧失的优势就越多。人民币汇率并没有 存在着严重的低估，关注焦点应该放在产品市场低估程度扩大的趋势上，它主要源于相对供 给或生产率冲击内生出实际汇率升值而没有升值，因而在需求政策效果不明显的情
8、况下，可 以考虑供给管理政策实现内外经济均衡。 名义汇率升值政策固然可以减缓产品市场失调程度， 但加剧了资产市场高估程度，结果进一步刺激资本流入和外债增加，资本账户持续顺差。因 而名义汇率渐进式的升值要同消除资产市场高估的政策措施相结合，例如加宽短期汇率波动 幅度抑制升值预期。因此，人民币名义汇率升值没有必要硬钉住均衡汇率进行调整，调整力度和成本同资本 账户开放程度以及经济可承受程度相关，更多地应该同整体经济协调进行，减缓外部压力、 加强区域合作。人民币汇率升值路径应该是“政府主导型”的，采取渐进式的阶段性升值方 式。既然短期实际汇率是均衡的、短期波动是可控的，与其重视向长期均衡汇率接近，不如
9、 放宽短期波动，稳定短期投机预期，集中力量稳定实际汇率长期波动幅度。这种稳定是一篮 子货币基础之上的稳定，是实际有效汇率的稳定，是在长期均衡实际汇率基础上的稳定，一 方面降低了风险，另一方面保持了对外竞争力。简而言之，人民币汇率调整应该以产品市场 长期均衡汇率作为短期汇率调整的依据，同时扩大名义汇率波动幅度、保持长期实际汇率稳 定。在长期稳定的基础上保持均衡更优于在均衡的基础上保持稳定。（2）“扩张性盯住”与“紧缩性盯住”的最大区别在于实现汇率升值的方式不同，日本 的政策错误是在于主动式升值下采用“扩张性盯住”，中国要不重蹈日本覆辙，应该在被动 式升值采取“紧缩性盯住”，该政策会不会导致经济衰
10、退的一个前提条件在于名义汇率升值 过程中，要保持同国外稳定的通胀差距，盯住实际汇率实际上就是要盯住通货膨胀，并且在 适当时候减轻钉住美元的程度，以增强货币政策自由度；短期内，不能推行类似日本的资本 账户完全自由化，保持一定的资本控制程度是必要的，这样可以减缓紧缩性政策所致的资本 流入冲击。与此同时，扩大名义汇率波动幅度。（ 3）宏观政策的相互配合缓解升值压力。 积极引导和调整外商在华直接投资的产业结构， 由原有的“贸易导向”转到“非贸易导向”，采取相关措施鼓励外商投资于西部教育产业、 城市基础设施建设、卫生体育、科技文化等非贸易行业。同时，逐步取消对外商在华直接的 优惠政策；若要摆脱依赖外需的
11、局面，把刺激内需的任务赋予给扩张性财政政策，为避免扩 大财政开支对实际汇率升值的影响，政府在增加对非贸易部门的支出同时也应该相应增加对 贸易品部门的支出。例如，增加社会保障支出同时相应增加对农村的补贴支出；在面对大量 资本不断流入和冲销干预政策难以持续的情况下， 一方面不能放松对货币性资本流出的限制， 不能放松对外商投资企业长期资本流出的限制，另一方面要放松本国企业实物性资本流出政 策以及鼓励本国更多的企业“走出去”。在市场投机预期消退后和资本流入比较平稳时，才 能考虑放松对短期资本的管制，逐步、有序地推进资本项目可自由兑换。关键词：实际汇率波动 均衡汇率 汇率升值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 fluctuati
23、on 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 have
24、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 ope
25、n 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 policy s
26、election 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 by J
27、apanesegovernment 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 while Ch
28、ina 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 the
29、 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 run
30、, 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”, “constrictive c
31、ontrol”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 capital ou
32、tflow 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 Intervention
33、 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 under
34、 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 ”appreciation a
35、nd “ 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 of
36、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 from
37、 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 keep eq
38、uilibrium. 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 und
39、erestimate 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 main
40、ly 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 appreciat
41、ion 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 combined w
42、ith 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 and c
43、ost 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 app
44、reciation 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 on
45、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 keep
46、s 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 equil
47、ibrium 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 cont
48、rol 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 rat
49、e 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 a