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1 : 3 :,,,,;, :,,,;,, : 2001,,, ,30, (, 2005),Jeanneney and Hua (2003)?, (1999) (2003) (2005) (2006a) (2006) (2006) (2007),,,,, ( ) Krugman and Obstfeld (2000) :, Dunaway et al. (2006),,,,,, ( Gonzaga and Terra,1997) ; (2002) : 3,, :310027, :cec edu. com,,,2007,,,, 46

2 2008 1,,, Aghion et al (2006) 83, ,,,,, :, ;,,,,,, ( Edwards,1986) : (1),(FEER) (BEER) ; (2) Dunaway et al (2006),, VAR VEC, FEER BEER,, ; (3), :; ; ;,, : reer = n i i = 1 E dπi P 3 i (1) P d, reer,,, i i, E dπi, P 3 i i, P d (1) :,( ) Krugman and Obstfeld (2000) DD2AA 1, (), E 1 E 2, ( P 1 ΠP 3 P 2 ΠP 3 ), ( rer 1 rer 2 ),,,,, (1 su ),, ;,() ( 2 de ),, ( E 1 E 2 ), ( rer 1 rer 2 ),,, ;,,,,, 47

3 :,, Balassa2Samuelson (1964), 1 2,,,,Clarida and Gali (1994) (VAR),,,,VAR (VEC) : reer su de t 11 i 12 i 13 i p = ex + 21 i 22 i 23 i i = 1 31 i 32 i 33 i, reer, su, de, ex, it, ik, p,, (1) : rer = E P 3, rer, E, P 3, P : P = m L ( i) P reer su de t - i t, m,,l ( i),: (3) (5),: P 3 = m 3 L ( i 3 ) L n ( rer) = L n ( E) + [ L n ( m 3 ) - L n ( m) ] + [ L n ( L ( i) ) - L n (L ( i 3 ) ) ] (6),,,;,,,, (2) (3) (4) (5), P ΠP, rer = E P 3 ΠP = E ( P P )Π( 1 - P P 1 - ) = ( P ΠP ) Π( P ΠP ) E P ΠP (,2006) 48

4 2008 1,, (4),,,(6),,, : E e - E i = (1 - ) + i 3 + (7) E, E e,, = 0,, ;= 1,(), i =,,(,2006) ;,, : i = R + e (8), R, e, :, : (7) (10) : i 3 = R 3 + e 3 (9) e - e 3 = Ee - E E (10) = R - (1 - ) R 3 + e (11) (11) :,, : R - (1 - ) R 3 + e E e - E = (1 - ) E (3),, (12) : R - (1 - ) R 3 + e rer e - rer = (1 - ) rer - ( e - e 3 ) + (12) + (13), rer e,, :(),; :() (), (), (),,,, ( ), (Dornbusch, 1973),,,,,,,,,,, ( ), VAR : reer ms ir ee t 11 i 12 i 13 i 14 i p 21 i 22 i 23 i 24 i = ex + i = 1 31 i 32 i 33 i 34 i 41 i 42 i 43 i 44 i reer ms ir ee t - i t (14) 49

5 :, ms, ir, ee, ( ) 1. reer su de tot op ADF, ( ),, AIC,, 2.,VAR VAR,, VAR 1,,, Lutkepohl (1991), VAR, Urzua (1997),7 VAR, 1 6 VAR, 4 ( 1) 1 VAR(4) LM P (174) = ( P = 0. 90) J2B 2 (25) = ( P = 0. 22) :,J2B, 2 5 % 5 % r = r r 2,, FC ,http :ΠΠfed. ccer. edu. cnπpaperdownload. asp? paperid =

2008 1,Johansen,, 2, :5 %, : reer = - 0133su + 0126 de + 4159 (15) (0127) (0129),1 0133 % ; 1 0126 % HP, (15) (,2005),: = ( - )Π(16) 3 4,1994 1 1995 3,,1994 1 21167 %, 1995 3 0113 % ; 1995 4 2002

6 2008 1,Johansen,, 2, :5 %, : reer = su de (15) (0127) (0129), % ; % HP, (15) (,2005),: = ( - )Π(16) 3 4, ,, %, % ; ,,, %, % ; ,, %, %, 30 % 40 % (2007) 3 ( ereer) 4 ( %) 3.,Granger,,VEC,,: reer = ec reer t reer t reer t reer t - 4 ( ) (0117) (01001) (0102) (1175) su t su t su t su t de t de t - 2 (17) Wang(2005)

7 : (1159) (0188) ( ) (0137) (0176) (0150) de t de t ex (1121) (1139), ec t - 1 = reer t su t de t , ex, t,,, 13 %,, (,2006), :1 10,,, (),,,, () ;, (),,, 5 6,,, ;, 5.,, Choleski, ( 7),, 1 16,, , 7,, 52

8 ( ) 1., 2.,7 VAR, 1 6 VAR, 4 ( 3) 3 VAR(4) LM P (350) = ( P = 0. 78) J2B 2 (55) = ( P = 0. 22) 4 5 % 5 % r = r r r 3,,,4, :5 %, 3., VAR 8 VAR,,, VAR ( 9) :,,, 5.,,OLS, 53

9 : ,, J,,, : reer = reer t ms ee ir (18) (01019) (01009) (01012) (01002) (0109), % 5 %, 5, (18), 1 () () 1,0191 % ; () 1, () 0109 % ;,, (), (), LM ( P ) ARCH ( P ) J2B = 1132 ( P = 0152) R 2 = DW = 1174 F = 95717, (18), (16) 10,, %, 11, ( ), ( ), ( ) Gonzaga and Terra (1997) :,, 54

2008 1,2001 4 1138 %,1999 4 0108 %, 1998 3 0197 %,0104 % 10 11 ( ),, Balassa2Samuelson,, (2006b), -

10 2008 1, %, %, %,0104 % ( ),, Balassa2Samuelson,, (2006b), - Wang(2005),,,,,,,,,,,,,: ( ),,,( 11 13),,,,,,,, 12 fdi,nfdi fdi, + +,cz, , FDI,FDI, (2006) : ,,, (,2007) :, 55

11 : ( ),,(VEC ),,,,,(,2002),,,,,,,1,,,,, , 1993,,,,,,1993, ; (,2006b),,,,,, (2005) 20 % ; , WTO,,, ( 15),,,,,,,,, ( ), ;,,,,,,, 2001,,, (13),,,,, ;,,13 (7), (2006) 0159, ,, :,, :,, ;,,,,,, 56

12 ( rp), ( ),,, (),,,,,,, ;( ), ( ) ( ), ( ) ; ( Chadha and Prasad, 1997) Edwards(1986) , (, ),, :,,,,,,,,, : (1),,, ; (2),,,, ; (3),,,,, : (1),, 57

13 :,,,,, ; (2),,,,,,, ( ) (,2005),,,,,,, ; (3),,,,,,,,,,,,,,2005 :,5,2006 :,11,,2006a :,5,2006b : ( ),CCER Working Paper, No. C ,2005 :,,2007 :,CCER Working Paper, No. C ,2004 :,,2002 :,,2006 :,,2005 : : ,4,2006 : : ,11,2007 :,5,2006 :,8,2007 :?,,,2006 :,7,2006 : :( ),2,2003 ::,11,1999 :, Aghion,P., Bacchetta,P., Ranciere,R. and Rogoff, K.,2006, Exchange Rate Volatility and Productivity Growth : The Role of Financial Development, NBER Working Paper, No

14 Balassa,B.,1964, The Purchasing Power Parity Doctrine : A Reappraisal, Journal of Political Economy, Vol. 72, pp ,No. 3. Chadha,B. and Prasad,E.,1997, Real Exchange Rate Fluctuations and the Business Cycle : Evidence form Japan, IMF Staff Papers,Vol. Clarida,R. and Gali,J.,1994, Sources of Real Exchange Rate Fluctuations : How Important are Nominal Shocks?, Carnegie2Rochester Conference Series on Public Policy 41,1 56. Dornbusch,R.,1973, Money,Devaluation and Non2Traded Goods, American Economic Review,Vol. 63, pp Dunaway,S.,Leigh,L. and Li, X.,2006, How Robust are Estimates of Equilibrium Real Exchange Rates : The Case of China, IMF Working Paper No. 06Π Edwards,S.,1986, Real Exchange Rate Variability : An Empirical Analysis of the Developing Countries Case, NBER Working Papers No. Gonzaga,G. M. and Terra,M. C.,1997, Equilibrium Real Exchange Rate, Volatility, and Stabilization, Journal of Comparative Economics, Vol. 54,pp Jeanneney,S. G. and Hua,P.,2003, Real Exchange Rate and Productivity in China, International conference on the Chinese economy : The Efficiency of Chinaπs Economic Policy, October Krugman, P. R. and Obstfeld, M.,2000, International Economics : Theory and Policy, Addison Wesley Longman. Lutkepohl, H.,1991, Introduction to Multiple Time Series Analysis, New York : Springer2Verlag. Urzua, C. M., 1997, Omnibus Tests for Multivariate Normality Based on a Class of Maximum Entropy Distributions, in Advances in Econometrics, Vol. 12, Greenwich, Conn. : JAI Press, Wang, T., 2005, Sources of Real Exchange Rate Fluctuations in China, Journal of Comparative Economics, Vol. 33, pp Understanding Equilibrium, Misalignment, Volatility and Adjustment of RMB Exchange Rate Jin Xuejun and Wang Yizhong (School of Economics, Zhejiang University) Abstract :This paper differentiates the output market equilibrium exchange rate,misalignment and volatility from asset market, and gets short2term or long2term value of RMB equilibrium exchange rate. The findings indicate that the RMB is not seriously overvalued or undervalued, and real exchange rate (RER) is undervalued in the output market, which has an enlarging trend, but overvalued in the asset market. The long2run volatility in the output market mostly stems from relative supply impact, but mechanism for its adjustment and relative monetary supply impact account for most of the short2run variations in the asset market. Policy implication indicates that at least controlled capital account decreases risk premium, and allows decision maker to adjust short2term volatility of the RER, then enlarge the volatility range in order to ease appreciation expectation, which can eliminate short2term misalignment in the asset market ; Decision makers can only regard long2run equilibrium exchange rate as target exchange rate of appreciation given the determinant factors of the long2term volatility, which can realize the equilibrium between internal and external economy by force of supply management policy on condition that demand management policy is invalid. Key Words : Equilibrium Exchange Rate ; Exchange Rate Misalignment ; RER Volatility JEL Classification :C220, F310 ( : ) (: ) 59

31 3 Vol. 31 No Research of Finance and Education May ,,, BS,,,,, ; ; ; ; : F : A : ( 2018)

31 3 Vol. 31 No Research of Finance and Education May ,,, BS,,,,, ; ; ; ; : F : A : ( 2018) 3 3 Vol. 3 No. 3 208 5 Research of Finance and Education May. 208 730000,,, BS,,,,, ; ; ; ; : F830. 92 : A : 2095-0098( 208) 03-002 - 2005 30% 202 ± % 204 3 ± 2% 205 8 Rogoff 996 PPP PPP 30 - B - S B -