:?,,,,?, : ( ),,,,,, ( ) 90,?,, Hirschman (1949),, Krugman and Taylor (1978), ( contractionary devaluations),,,, , ( Kamin and Rogers,20

Transcription

1 2007 1? 3 :,,,, : (1),,, ; (2),,,, : VAR,,???,,,Goldstein (2004) ( FEER) % 30 % ;Frankel (2004) %, ;(2003) % 10 % ; (2005) (BEER) %;Coudert and Couharde (2005) FEER %,,,, (,2006), 3,, :100871, (NBER) 17, Ashvin Ahuja,Dante Canlas, Michael Dooley, Peter Garber, Takatoshi Ito, Andrew Rose,,, 41

2 :?,,,,?, : ( ),,,,,, ( ) 90,?,, Hirschman (1949),, Krugman and Taylor (1978), ( contractionary devaluations),,,, , ( Kamin and Rogers,2000),, (Frankel,2005),,,, :,,,,1,,,,,, ( ), ( ),,,,,, 90, 1985,,,,,,,,,,,,Lizondo and Montiel (1989) Caves,Frankel and Jones(2002) 10 42

3 2007 1,( ),,,,,,Edwards(1986) 12,( ),,Gylfason and Radetzki (1991) 12,, (VAR ),,Kamin and Rogers(2000),, ;,Hoffmaister and Vegh (1996),Moreno (1999) 6,Berument and Pasaogullari (2003),,?, (2003),,GDP ; (2003),,, Sims (1980),,,,, (2006),,,,,, VAR, :,10, ;,,;,VAR, ;,,, : : %, ( ),,,,, 43

4 :?,, , , ,,,, 1997, ( ),,,,,, , 211 %,,,,,, 10, ( ) 1, 10 5 (1) 1991q1 1993q2 :, ; (2) 1993q3 1998q1 :,,1997,( ) ; (3) 1998q2 1999q4 :,, ; (4) 2000q1 2002q1 :,,,2002q1 1997q4 ; (5) 2002q2 2005q1 :,,,,GDP 10, 1, (1991q1 2005q3),, 2000q1,,,,, 1, 1 RMB GDP :11 (REER) ;21 GDP :,,,?, 44

5 2007 1,,, ;, ( ) ( ),,?,,,?, 1 Granger Granger Sample : 1991 Q Q3 Null Hypothesis : Obs F2Statistic Probability Granger, 1 GDP does not Granger Cause REER (1991q1 2005q3), REER does not Granger Cause GDP %, Subsample : 1991 Q Q4, Null Hypothesis : Obs F2Statistic Probability Granger, GDP does not Granger Cause REER Granger 2000q1 REER does not Granger Cause GDP Subsample : 2000 Q Q3,, Null Hypothesis : Obs F2Statistic Probability (1991q1 1999q4) (2000q1 GDP does not Granger Cause REER 2005q3) Granger ,, REER does not Granger Cause GDP ,99 %,, : F :, Granger,Granger,,,, Granger,, VAR, VAR,,,,VAR ( ) VAR,,, VAR,,,,, (Obstfeld and Rogoff,1995) 45

6 :?, Kamin and Rogers(2000),, Kamin and Rogers (2000), ( GDP) (REER) ( INFL) ( GDPF) : GDPF,,GDP REER,INFL GDP REER, GDP REER Kamin and Rogers(2000), GDPF, :,,,, 70 %,,,,,,,, VAR ( GOV) (M2), (RUS),, (1), 3 VAR, VAR : : k l Y l t = A l i Y l t - i i = 1 + l t, IID[ o l, l ] l = 1,4 l t Y 1 t = ( GDPF t, IN FL t, REER t, GDP t ) Y 2 t = ( GDPF t, IN FL t, GOV t, REER t, GDP t ) Y 3 t = ( GDPF t, M2 t, IN FL t, REER t, GDP t ) Y 4 t = ( RUS t, GDPF t, IN FL t, REER t, GDP t ) k l l VAR,A l i i VAR, l t l VAR, o l l t, l l t AIC SC,4,,,,Sims (1980) Cholesky, VAR Cholesky, ;,, VAR Shi (2006) ( ), VAR,,,,,,GDP GDPF, 46

7 GDP, GDP,,,,, 1992 :GDPF 14 GDP, GDP GDPF, REER ( IMF),INFL GOV M2 RUS, 3 INFL RUS,, GDP GOV INFL GDPF IMF GDP IMF World Economic Outlook Database 2006,, ( ) 2,,,,, VAR 11 2, ADF Phillips2Perron Level First Difference ADF Test Phillips2Perron Test ADF Test Phillips2Perron Test GDP REER INFL GDPF GOV M RUS : 3 10 % % 33 1 %, ;,, Phillips2 Perron 1 %,ADF GDP 1 %, GDP GDP Phillips2Perron,Hodrick2Prescott (H2P) H2P,,,H2P,,, H2P,, GDP GDPF GDPF 14, 7 %,GDPF 47

8 :?,, I(1) 21 3 I (1), Johansen (1995) VAR, 3 Johanson,, Sims, Stock, and Watson (1990),, VAR, :, VAR VAR (, VEC ) (Cochrane,2005), VAR Hypothesized No1 of CE( s) Johanson Eigenvalue 2Trace Statistics Model 1 : Series : GDPF INFL REER GDP 2Max Statistics None At most At most At most Model 2 : Series : GDPF INFL GOV REER GDP None At most At most At most At most Model 3 : Series : GDPF M2 INFL REER GDP None At most At most At most At most Model 4 : Series : RUS GDPF INFL REER GDP None At most At most At most At most : 3 5 %,,VAR,, VAR, VEC, RUS GDPF VAR, 48

9 ( ) VAR VAR GDP REER,, : 2 GDP,REER (), GDP,REER GDP ;2, (18 ), 4 Edwards(1986) Kamin and Rogers (2000) Edwards (1986),12,,, Kamin and Rogers(2000),() ( ), RUS 4,REER GDP 3, 3 ;,RUS GDP, REER GDP,, (REER ),,,, 4 GDPF, 49

10 :? 3 REER,GDP REER,, REER 4, GDP, GDP REER REER GDP,REER GDP,M2,; GDPF GDP ; GOV ; INFL GDP ;, INFL REER : 1997,;, GOV GDP, :,, GDP ;, GDP GDP,,,,,, 21, 4 4 GDP REER 50

11 GDP REER Model - 1 T S. E. GDPF INFL REER GDP Model - 2 T S1E1 GDPF INFL REER GDP GOV Model - 3 T S1E1 GDPF INFL REER GDP M Model - 4 T S1E1 GDPF INFL REER GDP RUS : 11 GDP REER, GDP ;21 S1E1GDP REER 51

12 :?, GDP RUS, 1 2,GDP, REER 3,REER GDP,GDP 36 % 70 %,GDP 1,24 %, 2 3 GDP,8 %,GDPF M2 GDP,14 % 26 %, RUS, 1 3 GDP GDP,4,RUS GDP, GDP 36 % 69 % GDP GDP GDPF,13 % 11 %,REER GDP,7 % RUS,REER GDP,,REER, % 98 %, ( ),REER 40 % 70 %GDP REER 1 4,GDP REER 1 30 %,, %, 4 12 %,M2 GDPF RUS REER, GOV REER, : (1) RUS, RUS, ; (2),GDP REER, (1 4 ), ; (3) RUS,REER GDP, ( ), VAR, ;, Johansen I(1), (VEC ) ( Engle and Granger,1987) VAR VEC,,RUS RUS,VAR, RUS GDPF,,,,Shi (2006),,,Sims, Stock, and Watson (1990), Engle and Granger (1987) VEC, () VAR,, VAR, 52

13 VEC ; RUS GDPF,REER GDP, GDP, VAR,,,,,,,,, :,,,,,,,,:,,,, ;, 90,, ;,,,( ), ;, ( Krugman and Taylor,1978), 1993,20,,,,,,,, 1, 2003,GDP,,,,,, (,2006),, 1997,,,,, () ( ),, (2006),,,, 53

14 :?,,,,, FDI,:,,,,,,,,,,,,,,,,,,,2003 :,11, 2003 :,11,2006 :, 3 4,2005 :: ,4,2003 ::,11,2006 :,4 Berument, H. And Pasaogullari, M1, 2003, Effects of the Real Exchange Rate on Output and Inflation : Evidence from Turkey, Developing Economies, XLI24, Caves, R. E., Frankel, J. A., and Jones, R. W., 2002, World Trade and Payments : An Introduction, Reading, Mass. : Addison2Wesley Publishers. Cochrane,J. H., 2005, Time Series for Macroeconomics and Finance, Manuscript, University of Chicago. Coudert, V. and Couharde, C., 2005, Real Equilibrium Exchange Rate in China, CEPII working paper No Edwards, S., 1986, Are Devaluations Contractionary?, Review of Economics and Statistics, 68, Engle, R. F. and Granger, C. W.J., 1987, Co2integration and Error Correction Representation, Estimation, and Testing, Econometrica 55 : Goldstein, M., 2004, Adjusting China s Exchange Rate Policies, Revised version of the paper presented at the International Monetary Fund s seminar on China s Foreign Exchange System, Dalian, China, May 26 27, Gylfason, T. and Radetzki, M., 1991, Does Devaluation Make Sense in the Least Developed Countries? Economic Development and Cultural Change, October, 40 (1), Frankel, J. A., 2004, On the Yuan : The Choice between Adjustment under a Fixed Exchange Rate and Adjustment under a Flexible Rate, Paper presented at an IMF seminar on China s foreign exchange system, Dalian, China, May Frankel, J. A., 2005, Mundell Fleming Lecture :Contractionary Currency Crashes in Developing Countries, IMF Staff Papers, Vol. 52, No 2, pp Hirschman, A. O., 1949, Devaluation and the Trade Balance :A Note, Review of Economics and Statistics, Vol 31, pp Hoffmaister, A. W. and Carlos A. V., 1996, Disinflation and the Recession2Now2Versus2Recession2Later Hypothesis : Evidence from Uruguay, IMF Staff Papers, Vol. 43, pp

15 Johansen,S., 1995, Likelihood2Based Inference in Cointegrated Vector Autoregressive Models, Oxford : Oxford University Press. Kamin, S. B. and John, H. R., 2000, Output and the Real Exchange Rate in Developing Countries : An Application to Mexico, Journal of Development Economics 61, no. 1 : Krugman, P. and Taylor, L., 1978, Contractionary Effects of Devaluation, Journal of International Economics, 8, Lizondo, S. and Montiel, P. J., 1989, Contractionary Devaluation in Developing Countries : An Analytical Overview, IMF Staff Papers, 36, Moreno, R., 1999, Depreciations and Recessions in East Asia, Federal Reserve Bank of San Francisco Economic Review, 3, Obstfeld, M. and Rogoff, K., 1995, Exchange Rate Dynamics Redux, Journal of Political Economy, 103 (3), Shi, J., 2006, Are Currency Appreciations Contractionary in China? NB ER Working Paper (September). Sims, C., 1980, Macroeconomics and Reality, Econometrica 48, Sims, C., Stock, J. and Watson, M., 1990, Inference in Linear Time Series Models with Some Unit Roots Econometrica 58, no. 1 : Are Currency Appreciations Contractionary in China? Shi Jianhuai (China Center for Economic Research, Peking University) Abstract :Chinese economy has been in a state of external and internal imbalances for some years, which has something to do with the undervaluation of renminbi (RMB). But Chinese Government hesitates to allow RMB to appreciate because of the worry that RMB appreciations are contractionary thus have negative impact on China s economic growth and employment. The purpose of this paper is to empirically assess the effects of RMB real exchange rate on China s output. The econometric results of the paper show that (1) even after source of spurious correlation is controlled for, RMB appreciation has led to a decline in China s output, suggesting that RMB appreciations do be contractionary, and that (2) once the international finance linkage of Chinese economy is accounted for, the effect of RMB real exchange rate shocks on China s output and the power of the shocks in explaining the change of China s output are diminished. The paper gives some possible explanations to those findings, and points out that the findings do not necessarily imply that China should continue maintaining the undervaluation of RMB. Key Words :Renminbi ; Exchange Rate Misalignment ; Contractionary Devaluation ; VAR model JEL Classification :F310 ; F410 ; O530 ( : ) (: ) 55