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1 3 :,,,,,,,, NDF,,, %, 7191 Π :, Π 2003,, 2004, ,,, 2 %,,,,,,,, ;,,,,,,,,, (equilibrium exchange rate) ( ) ( ) ( real exchange rate), (misalignment),,, 3,, :510275, sysu. edu. cn ;,, : , com (06BJ Y115) (200504),, %, 3 %, 11 %,, (2002) 27

2 :,, ( ), : (external) (internal) 11 Cassel ( PPP),,PPP : PPP PPP PPP,, : RER PPP = ER P f ΠP d ; PPP, RER PPP = ER P f ΠP d, ER P ; f d ; RER PPP,, (bilateral) (multilateral),,, (REER,real effective exchange rate), (AREER :arithmetic2average REER ; Edwards,1989) ( GREER :geometric2 average REER ; Gan,1994), : n AREER t = j = 1 [ j ER jt P f jt ] 1 P d t n GREER t = j = 1 [ ER jt P f jt ] j 1 P, d j = 1 t, j ( j = 1,, n) Π, ( ),,AREER, GREER, GREER (symmetry) AREER,, : (1) PPP (expenditure PPP), CPI CPI, (2), GDP, (3) (unit cost),,,, Mundell2 Flemming (Hinkle Nsengiyumva,1999) 21 (tradable, T ) ( non2tradable, N ), RER t = P T t ΠP N t Dornbusch (1980) (dependent),,,,, m j = 1, (2000) (1999),,, (Sadoulet Janvry, 1995), 28

3 BS (Balassa, 1964 ; Samuelson, 1964),, Froot Rogoff (1995) Rogoff (1996), Π, BS ( Edwards Savastano,1999),,,, ( ),, :, (Daquila,1989) ;, CPI (Husted MacDonald,1999 ; Edwards,1994) ; P T t Π P d t P T t ΠP N t, P T t, CPI P d t (Sjaastad,1998) 31 ( ),, PPP, ( BERER) ( IRER), w B ERER t ( ) : = ( IRER d t ) w Π( IRER f t ) w, ( ),, : (fundamental EER, FEER) (equilibrium RER, ERER) ( ) ( ),Williamson (1985 ; 1994), ( general equilibrium simulation models) ( Clark MacDonald,1998),, ( ), (behavioral EER),,,, ( ;2006) Edwards(1989),, :, (fundamentals) (permanent) ( ),,,,, (transitory),, Beveridge Nelson (1991), HP Edwards (1994),, Elbadawi (1994) Montiel (1997),Elbadawi ;Montiel 29

4 :,,, : ;,,,,,, : 11,,, ( ) ;, 21,, 31,,,,,, (structural breaks) 41 ( ) ( ), ( ), 51,,, (systematic bias) 61,,Edward (1999),, Soto (1996), (overvalued) ; Dornbusch (1994), (undervalued) ( ),, (1995, 1996) Chou Shih (1998) (1999) (2000) (1999,2000) Tyers (2001) (2002), (2004),, (1999) ; (2000) Edward (1989) ; (2002), Elbadawi (1994), Hsiao (1981) ; Tyers(2001) Devarajan (1993), ,,, :, ;,, Edwards(1999) (2000) 30

5 , : 11,,, 21 : (1) 2004,,,, ; (2),,, ; (3) ; (4), 31,,,,, ;, 1, GDP,,, 41,, :,, 51, :, ,, (deep parameters), (Lucas, 1976),,, (1996), ; (2005),,,,, : (reverting),, :, (available), (best) (efficient) (Romer, 2001 ;Sachs Larrain, 1992 ),,Wang Xi (2006), 31

6 :,, : (1),, ; (2),,,,, ( ) ( ),, t t ; 3 3, t : d t = f ( t, 3 ) dt + dw (1), w (Weiner), > 0 3,,,,,,, Beveridge Nelson HP,, f ( ), (1) dt : E[ d t ]Πdt = f ( t, 3 ), (1) t 3 t f ( ),,, f ( ), ( ) f ( ) : f ( 3, 3 ) = 0 (2) dfπd t = dfπd ( t - 3 ) < 0 (3) (2), t = 3,, E[ d t ]Πdt = 0,,, d t = dw, (3) f ( ) t = 3, (2), f ( t, 3 ) = 3 f ( 3, 3 ) + ( dfπd t = 3 ) ( t - 3 ) = ( dfπd t = 3 ) ( t - 3 ) ( t - 3 ) (4), dfπd t = 3 (4) (1), ( ) ( ), ( ) (Romer, 2001,p22 25 p63 68 ;Ljungqvist Sargent, 2000,p72 75), (5) 1Π2 df 2 Πd 2 t = 3 ( t - 3 ) 2 dt df 2 Πd 2 1 = 3 0, (1) ( t - 3 ) 2 > 0, t, ; (2) t t, 32

7 (3), dfπd t = 3 d t = ( t - 3 ) dt + dw (5) < 0 (5), t > 3, E[ d t ]Πdt < 0,, (5), t +1 = t +1 - t = ( t - 3 ) + v t +1 (6), v t, 0, 2 (5) (6) (1) (2) (3),,, :, ; ( ) ( Enders,2004) :,,,,, ;,,, ;,, Dornbusch (1980), Edwards (1994), (2003),,,,, (5) (6) ( ) ( ) (6), t ER t P f tπp d t ; t + 1 ( P t P t )ΠP t ln Z t + 1 ; ( Z t Z t )ΠZ t, (6) : t +1 = t ( t +1 Π 1 ) = t = t [ ln ER t +1 ln + ln P f t +1 t +1 = t ln ( ER t +1 P f t +1ΠP d t +1) - ln P d t +1 ] = t [ ( ER t +1 - ER t )ΠER t + ( P f t +1 - P f t )ΠP f t - ( P d t +1 - P d t )ΠP d t ] = t [ ER t +1 ΠER t (7) (6), : t [ ER t +1 ΠER t ( f t +1 - d t +1) ] ( f t +1 - d t +1) ] = ( t - 3 ) + v t +1, E t [ ], : E t [ ER t +1 ]ΠER t E t [ f t +1 - d t +1 ] = (1 - (7) E t [ 3 ]Π t ) (8) (8), E t [ 3 ] (1) (6), E t [ 3 ] 3 (8), ER t ; t, E t [ ER t + 1 ],,, ( Greene,2000),, X ( X e ) ( I t ) ( E[. I t ] E t [ X ]), : X e = E[ X I t ] X e = E t [ X ] 33

8 :,, (8) E t [ f t d t + 1 ] E t [ f t d t + 1 ], f t t - d t,, ( ARIMA ), t t t +1, E t [ ] E t +1 t [ f t d t + 1 ] Y t E t [ ER t + 1 ]ΠER t E t [ f t d t + 1 ], X t = 1Π t, = E t [ 3 ], : Y t = - X t (9) ( OLS ), (9), ^ ^ = E t [ 3 ], ^ = ^ E t [ 3 ], E t [ 3 ] = ^ Π^, E t [ 3 ] ; : t - E t [ 3 ],,,, ( ), : t, (8) 0, < 0, E t [ 3 ] = t, ;,, f t, E t [ f t d t + 1 ], ( ) (8),,OECD IMF ;, (Liu,1998 ;Wilson, 2001 ),, : n REER t = j = 1 m [ ER jt P f jt ] j 1, P d j = 1 (10) t, ( ) : PPP, PPP ; ;,, :,,, (Ark Timmer, 2001),,,,, j = 1,, 34

9 IMF,,,,CPI GDP, CPI,, CPI,, 2000 ( + ) ( ) 15, : ; , 15 ( ) 80 %,, ( ) ( ), IMF CPI 1994,, , CPI IMF International Financial Statistics, ; 2005 (10), 1 2 3,, , 4, ;, , , 15 ( ) ( ), 35

10 : 2 CPI CPI : 2005 CPI 6 36

11 ,, 10,10,, 2 2 ( ) ( ) 4, , % 1315 % 1997,, 10 % 2000, %, ( ), (10) : n P f t = [ P f jt ] j j = 1, P f, (11) , 37

12 : ,2000 0,,,2000 0,2000 : ( ) E t [ ER t + 1 ]ΠER t - 1 E t [ f t +1 - d t +1 ] = 0 (11) NDF (Non2Delivery Forward), 3,, Bloomburg 3 NDF 3, (81277 Π ),, 2002, E t [ ER t +1 ]ΠER t - 1 = 0 (12) (11) (12) (8), (8) 0 (7) < 0, E t [ 3 ] = t : 2002,, 4,2002 ( ), , 4, 2002, Π ( %) ( Π ) , 6, 2002 ;2005 6,, 38

13 , = (1 - ), 2002, 6,, %, 2002, 4139 %, 7191 Π,,,, % :, ;,,,,,,,,,,,,, : (1),, ; (2),,,,,,,,,,,, Rod Tyers,2001 : :, 6,2000 :, 1,2002 :, 6,1999 :, 1,1999 :, 3,2006 :, 2,2005 :, 4,1995 :, 3,1996 :, 3,2002 :, 12,2000 :,NERI,,2004 : :,,2003 : :, 4,1999 :, 12,2000 : : , 8 Ark B. V. and M. Timmer, 2001, PPPs and International Productivity Comparisons : Bottlenecks and New Directions, Proceedings of Joint World Bank2OECD Seminar on Purchasing Power Parities, Washington D. C. Balassa, B., 1964, The Purchasing Power Parity Doctrine : A Reappraisal, Journal of Political Economy 72,

14 : Beveridge, S. and C. Nelson, 1981, A New Approach to Decomposition of Economic Time Series into Permanent and Transitory Components, Journal of Monetary Economics, Vol. 7, No. 2, Chou, W. L. and Shih, Y. C., 1998, The Equilibrium Exchange Rate of Chinese Renminbi, Journal of Comparative Economics, Vol. Clark, P. and R. MacDonald, 1998, Exchange Rates and Economic Fundamentals : A Methodological Comparison of BEERs and FEERs, IMF Working Paper 98Π67, Washington, D. C. : IMF. Daquila, T., 1989, The Real Exchange Rate in the Philippines, National University of Singapore, Dept. Of Economics And Statistics, Staff Seminar Paper, No 17. Devarajan, Shantayanan, Lewis, Jeffrey D and Robinson, Sherman, 1993, External Shocks, Purchasing Power Parity, and the Equilibrium Real Exchange Rate, World Bank Economic Review, Vol. 7, No. 1. Dornbusch, R., 1980, Open Economy Macroeconomics, Basic Books, Inc., NY. Dornbusch, R., T. Vogelsang and S. Edwards, 1994, Chilean Trade and Exchange Rate Policy, in B. Bosworth et al. (eds) The Chilean Economy : Policy Lessons and Challenges, Washington, D. C. : The Brookings Institution. Edwards, S. and M. Savastano, 1999, Exchange Rates in Emerging Economies : What do We Know? What Do We Need to Know? NBER Working Paper. Edwards, S., 1989, Real Exchange Rates, Devaluation, and Adjustment : Exchange Rate Policy in Developing Countries, MIT Press, Cambridge, MA. Edwards, S., 1994, Real and Monetary Determinants of Real Exchange Rate Behavior : Theory and Evidence from Developing Countries, in J. Williamson (ed. ), Estimating Equilibrium Exchange Rates, Washington, DC: Institute for International Economics. Enders W., 2004, Applied Econometric Time Series, New York : John Wiley & Sons. Elbadawi, I., 1994, Estimating Long2Run Equilibrium Real Exchange Rates, in J. Williamson (ed. ), Estimating Equilibrium Exchange Rates, Washington DC: Institute for International Economics. Froot, K. and K. Rogoff, 1995, Perspectives on PPP and the Long2run Real Exchange Rate, in G. Grossman and K. Rogoff (eds), Handbook of International Economics Vol. 3, Amsterdam : North Holland Press Gan, W. B., 1994, Characterizing Real Exchange Rate Behavior of Selected East Asian Economies, Journal of Economic Development 19, Greene, W. H., 2000, Econometric Analysis, 4th Ed., Prentice2Hall Inc. Harris, R., 1995, Using Cointegration Analysis in Econometric Modeling, Prentice Hall. Hinkle L. and Nsengiyumva F., 1999, External Exchange Rate : Purchasing Power Parity, the Mundell2Flemming Model, and Competitiveness in Traded Goods, Exchange Rate Misalignment : Concepts and Measurement for Developing Countries, New York : The World Bank. Hsiao, C., 1981, Autoregressive Modeling and Money Income Causality Direction, Journal of Econometrics 7, Husted, S. and R. MacDonald, 1999, The Asian Currency Crash : Were Badly Driven Fundamentals to Blame? Journal of Asian Economics 10, Liu, L. etc, 1998, Asian Competitive Devaluations, Paper for the conference China s Integration into the World Economy, Harvard University ; Institute for International Economics. Ljungqvist L., and T. J. Sargent, 2000, Recursive Macroeconomic Theory, MIT Press. Lucas, R. E. Jr., 1976, Econometric Policy Evaluation : A Critique, in K. Brunner and A. Meltzer (eds), The Phillips Curve and Labor Markets, Amsterdam : North Holland. Paper. Menzie D. Chinn, 2002, The Measurement of Real Effective Exchange Rates : A Survey and Applications to East Asia, NBER Working Montiel, P., 1997, Exchange Rate Policy and Macroeconomic Management in ASEAN Countries, in J. Hicklin et al. ( eds) Macroeconomic Issues Facing ASEAN Countries, Washington, D. C. : IMF. Rogoff, K., 1996, The Purchasing Power Parity Puzzle, Journal of Economic Literature, Vol. 34, No. 2, Romer, D., 2001, Advanced Macroeconomics (2 nd Edition), McGraw2Hill Companies, Inc. Sachs, J. and Eduardo Larrain, 1992, Macroeconomics, Prentice Hall. Sadoulet, E. and A. Janvry, 1995, Quantitative Development Policy Analysis, Baltimore (Maryland) : The Johns Hopkins University Press. Samuelson, P. A., 1964, Theoretical Notes on Trade Problems, Review of Economics and Statistics 46, Sjaastad, L., 1998, On Exchange Rates, Nominal and Real, Journal of International Money and Finance 17, Soto, Reimundo, 1996, El tipo de cambio real de equilibrio : un modelo no lineal de series de tiempo, in Analisis Empirico del tipo de Cambio en Chile, Felipe Morande, and Rodrigo Vergara (eds). Wang Xi, 2006, Investment Behavior and Aggregate During China s Economic Transition, Frontiers of Economics in China, Higher 40

15 Education Press & Springer2Verlag, Vol. 2, pp Williamson, J., 1985, The Exchange Rate System, Policy Analysis in International Economics No. 5, Washington, D. C. : Institute for International Economics. Williamson, J., 1994, Estimating Equilibrium Exchange Rates, in Essays on Alternative Approaches to Calculating Long2run Real Exchange Rates in Practice, Washington, D. C. : Institute for International Economics. Wilson, Peter, 2001, Exchange Rates and the Trade Balance for Dynamic Asian Economies2Does the J2Curve Exist for Singapore, Malaysia and Korea?, Open Economies Review 12, An Algorithm of the Desirable Appreciation Scale of RMB : a Comment on RMB Equilibrium2Exchange2Rate Study Wang Xi and Cai Guowei (Lingnan College at the Sun Yat2sen University) Abstract: After commenting on the rationale and feasibility of current RMB equilibrium2exchange2rate research, the paper concludes that current approaches fail in calculating the desirable appreciation scale of RMB. In view of this, we design a new algorithm to calculate exchange2rate misalignment. We aim at utilizing efficiently the information embodied in forward exchange rate market by applying rational expectation technique under the framework of equilibrium2exchange2rate reverting mechanism. A new pricing formula is then derived and empirically, by constructing the external real effective exchange rate index and using RMB NDF data, we show that RMB should be appreciated by 4139 % by the end of June in Key Words :Appreciation Scale ; RMB ; Algorithm ; Equilibrium Exchange Rate JEL Classification :F310, F320, E580 ( : ) ( : ) ( 26 ) Uribe, Martin,1997, Habit Formation and the Comovement of Prices and Consumption during Exchange2rate Based Stabilization Programs, International Finance Discussion Papers 598. International Trade and the Real Business Cycle of China A Comparative RBC Study in a Closed vs. an Open Economy Li Hao, Hu Yonggang and Ma Zhiyao ( Faculty of Business at Ningbo University ; Shanghai University of Finance and Economics ; Xiangtan University) Abstract :This thesis first displays the stylized facts of China s macroeconomic fluctuations : its consumption is highly correlated with GDP, investment fluctuates more than output, and net export is countercyclical. It constructs 3 RBC models of a closed economy, a small open economy and a small open economy with government sector. Our simulation results from these models show that the first model of closed economy explains about %, % and % of real fluctuations in output, consumption and investment respectively ; results from a small open economy are %, %, % with a trade2balance2to2gdp ratio of % ; the best results come from a small open economy with government purchase, they are % % % with a trade2balance2to2gdp ratio of %. Overall, open2economy model performs better than closed ones and an open economy with government purchase shock performs better than an open economy without it. The introduction of government purchase shock into the model greatly improves simulation results. Key Words :Real Business Cycle ; Small Open Economy ; Dynamic General Equilibrium ; Productivity Shock JEL Classification : E32,F47,D58,E23 ( : ) ( : ) 41

2008 1,,, Aghion et al (2006) 83, ,,,,, :, ;,,,,,, ( Edwards,1986) : (1),(FEER) (BEER) ; (2) Dunaway et al (2006),, VAR VEC, FEER BEER,, ; (3)

2008 1,,, Aghion et al (2006) 83, ,,,,, :, ;,,,,,, ( Edwards,1986) : (1),(FEER) (BEER) ; (2) Dunaway et al (2006),, VAR VEC, FEER BEER,, ; (3) : 3 :,,,,;, :,,,;,, : 2001,,,2005 7 21,30, (, 2005),Jeanneney and Hua (2003)?, (1999) (2003) (2005) (2006a) (2006) (2006) (2007),,,,, ( ) Krugman and Obstfeld (2000) :, Dunaway et al. (2006),,,,,, ( Gonzaga