人民币均衡汇率非对称调整与政策启示 —基于多机制阈值模型的分析

After the global financial crisis, RMB exchange rate appreciates against the U.S. dollar, however there exists a modest inflation in China. Meanwhile the U.S. Federal Reserve adopted the quantitative easing monetary policy. Hence, the RMB exchange rate issue has once again become the focus at home and abroad. The "Decision" passed by the third plenary session of the 18th Central Committee of the Communist Party of China points out that the People’s Bank of China will improve the market oriented mechanism of the RMB exchange rate. Our contribution to the empirical research will be threefold. First, the transaction cost is considered in the exchange rate theory in order to study the RMB equilibrium exchange rate. Second, this project enlarges the set of nonlinear threshold autoregressive models used in previous works. Nonlinear threshold autoregressive models are estimated and compared by Bayesian method to overcome the estimation problems based on the classical approach. Third, the suggestions are given according to the empirical results of the equilibrium level of RMB exchange rate and the adjustment toward the equilibrium level of RMB exchange rate. The empirical results will provide the evidence and suggestion for improving the market oriented mechanism of the RMB exchange rate. This project is based on the exchange rate theory considering the transaction cost, applies the nonlinear threshold autoregressive models to Chinese real exchange rate in order to capture the dynamics of RMB exchange rate. The general impulse response functions of nonlinear threshold autoregressive models are simulated by Monte Carlo method. The empirical analysis could find the equilibrium level of RMB exchange rate and the adjustment process toward the equilibrium level.

全球金融危机后人民币“外升内贬”和美元量化宽松政策背景下，人民币汇率问题成为国内外关注的焦点。十八届三中全会《决定》指出要完善汇率市场化形成机制。课题从三个方面研究人民币均衡汇率：第一，构建纳入交易成本的汇率理论模型，揭示无套利均衡条件下人民币名义汇率与均衡汇率之间非线性动态关联，提供研究均衡汇率的新视角；第二，基于贝叶斯统计方法，运用多机制阈值模型测算人民币均衡汇率水平及其调整过程，评估人民币汇率水平；第三，估计表示交易成本的阈值参数，提供改革人民币汇率浮动区间的定量依据；模拟用来刻画人民币汇率偏离均衡后非对称调整的一般冲击响应函数，为央行汇率改革措施的力度和方向提供参考。课题构建纳入交易成本的汇率理论模型，运用多机制阈值模型，基于贝叶斯统计方法，度量我国人民币均衡汇率、偏离程度以及汇率向均衡水平的非对称调整，为我国完善汇率市场化形成机制提供针对性的实证依据和建议措施。

全球金融危机后人民币“外升内贬”和美元量化宽松政策背景下，人民币汇率问题成为国内外关注的焦点。十八届三中全会《决定》指出要完善汇率市场化形成机制。课题按照课题申请书从三个方面研究人民币均衡汇率：第一，构建基于微观主体的汇率理论模型，提供研究均衡汇率的新视角；第二，运用多机制阈值模型测算人民币均衡汇率水平及其调整过程，评估人民币汇率水平；第三，估计表示交易成本的阈值参数，提供改革人民币汇率浮动区间的定量依据；模拟用来刻画人民币汇率偏离均衡后非对称调整的一般冲击响应函数，为央行汇率改革措施的力度和方向提供参考。.本课题构建了基于微观决策主体行为的汇率理论模型，运用数值模拟并结合马尔科夫转制性质，发现发展中国家的均衡汇率既受到经济因素的影响也受到政治周期的影响。具体来讲，东南亚国家的汇率会倾向于在政治周期前贬值，而在政治周期后升值；拉丁美洲国家的汇率会倾向于在政治周期前升值，而在政治周期后贬值。本课题认为两个地区完全相反的汇率周期源自于两个地区居民对于汇率偏好的差异，并从经济理论的视角阐述了该现象存在的内在机制。该理论模型的政策建议在于制定中国的汇率政策需要考虑中国居民的汇率偏好，纳入居民对于汇率偏好的预期，方能制定出有效的汇率政策。.此外，本课题发现本文实证分析了贸易条件对实际汇率的影响，发现汇率制度和贸易开放度会影响贸易条件对实际汇率的效果。在浮动汇率制国家，贸易条件改善会导致实际汇率升值，而在非浮动汇率制国家贸易条件对实际汇率影响不显著。在贸易开放度低的国家，贸易条件改善会导致实际汇率升值；相反在贸易开放度高的国家，贸易条件改善会导致实际汇率贬值。因此，各国在制定贸易政策和汇率政策时要充分考虑本国汇率制度和贸易开放度的实际情况。