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

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1 3 3 Vol. 3 No Research of Finance and Education May ,,, BS,,,,, ; ; ; ; : F : A : ( 208) % 202 ± % ± 2% Rogoff 996 PPP PPP 30 - B - S B - S

2 3 3 PPP PPP Murray Papell 2002 PPP PPP PPP FEER 202 3% % 80% BSH 40% EGARCH

3 4 208 t U t =! β t σ t = 0 σ - C σ σ- t - κ T μ L T t μ - κ N μ L N t μ β σ C t t L T t L N t κ T κ N L T t L N t μ μ > C t C T t C N t C t = γ θ θ C θ- T t + - γ θ θ C θ- N t θ θ- γ - γ γ - γ C T t C N t θ C T t 3 C T t = η θ C H T t θ- θ + - η θ C F T t θ- θ- θ θ η - η 0 3 C H T t C F T t η - η C H T t C F T t C T t 2 3 P t P T t P t = γp -θ P T t T t = ηp -θ + - γ P -θ N t H t + - η 3 -θ 4 -θ 5 P H t P N t P H t Y T t Y N t L Y T t = A T t L T t 6 Y N t = A N t L N t A T t A N t t B t 8 P t C t + B t = + r t - B t - + P H t A T t L T t + P N t A N t L N t 8 8 r t - C F T t + = + r C F t β T t C F* T t + C F* T t α P t + = + r t β L T L N t = L N L * N t = t = P H P P * α t + P * t μ - ta T t C σ t κt t A * T t μ - [ ] C * t /α κt t = P N μ - ta N t C σ t κn P * N ta * N t μ - [ ] C * t /σ κn θ-σ θ-σ *

4 P t C F P * t 3 C t t = 0 0 L N = - γ - σ μ - + AN σ- σ μ - + κn - σ σ μ L * N = - γ - σ μ - + A * N σ- σ μ - + κ * N - σ σ μ T L T = A / μ- T - γ κ A N L L T* = A* T κ * T N / μ- - γ A * N L * N / μ- σ / μ- σ 5 8 C F T + P H C H T = rb + P H A T L T B { N } P N = r μ - B + μ - η + η - θ + θημ P H + μ A - μa μθ + - θ γ = db /Y Y Rogoff 996 RER = P /P * B + B * RER = P - P * = - γ P N - P * N [ ] = 0 - γ = 2r μ - B + μ - P H + μ A T - * A μθ + - θ γ - μ A - A * T N N 2 2 2r μ - - γ B μ - - γ μ - γ ln RER = Γ + + ln P γ μθ + - θ Y μθ + - θ H + μθ + - θ ln A T - ln A* T 22 A N A * N 22 B /Y P H Γ 204 QE

5 6 208 ln RER t = β 0 + β NFA t + β 2 ln TOT t + β 3 ln TNT t + β 4 ln MR t + β 5 VE + ε t NFA TOT TNT MR VE VAR VAR ( ) Wind NFA Wind NFA GDP TOT Wind ln TNT = ln CPI /PPI CPI US /PPI US B - S GDP CPI PPI Wind CPI PPI 992 MR M2 M2 992 M2 Wind VE VE Wind VE X - 2 Eviews9. 0 ( ) ADF

6 3 7 I ADF C T L ADF C T L LnREER C T LnREER N N * LnNFA LnTOT LnTNT LnMR VE C T LnNFA C N * C T LTOT N N * C T LnTNT C N * C N LnMR C N * C T VE C N * : ; C T L, N, * 5% 6 I VAR VAR 2 VAR 2 2 VAR Log L AIC SC : 5% Johansen 3 VAR 3 Johansen 5% ( ) VAR 2 VAR REER NFA 6 6 REER NFA REER TOT TNT REER REER 0 REER 0

7 8 208 VAR REER 8 REER 8 REER 2 REER

8 3 9 REER REER ( ) REER REER 4 % REER NFA TOT TNT MR VE REER VE REER 7% REER REER REER TOT REER VE. 6% REER TOT REER MR REER 9. 8% 40 REER MR REER MR REER REER 7. 7% REER B - S GDP 20 B - S

9 GDP B - S REER B - S 3 4 GDP : NFA REER 3. 9% NFA VAR VAR VAR VAR. REER REER 202 NFA REER

10 3 2 Mckinoon Schnabl ROGOFF K. The purchasing power parity puzzle J. Journal of Economic Literature MURRAY C J PAPELL D H. The purchasing power parity persistence paradigm J. Journal of International E- conomics CLINE P. B WILLIAMSON J. Estimates of fund equilibrium exchange rates R. Peterson Institute for International Economics Policy Brief BEER 994Q 2009Q4 J NOEM J DSGE J J J DSGE J J J

11 J J MCKINNON R SCHNABL G. China's financial conundrum and global imbalances J. China Economist The Empirical Study on the Exchange Rate Reform Liquidity and the Real Exchange Rate Fluctuation of RMB ZHAO Xianli Financial Research Office Lanzhou Central Branch of the People's Bank of China Lanzhou Gansu China Abstract The paper established a model of real exchange rate decision under the macro and micro consistent analytical framework. Based on theoretical model and realities at home and abroad to expand the paper made an empirical test about the different factors impacting on the RMB real exchange rate fluctuation. The results show that the RMB exchange rate formation mechanism reform had the strongest explanatory power for the RMB real exchange rate fluctuation trade conditions and relative liquidity are secondary relative productivity has limited explanatory power on the real exchange rate fluctuations of RMBbecause the channel of B - S effect was not smooth in China net foreign assets had the weakest explanatory power and it can only cause a slight fluctuation in the real exchange rate of RMB. The conclusion is that present the RMB is not suitable for excessive freefloating elasticity it should continue to loosen the elasticity to keep the real exchange rate relatively stable themonetary policy and industrial structure optimization policy can become a means of real exchange rate adjustment. Key words RMB real exchange rate fluctuation exchange rate formation mechanism reform liquidity B - S effect ( : )

Engel rer = ner + p * - p = ner α * p * T + α * p * N α p T + αp N = ner + p * T - p T + α * p * N - p *

Engel rer = ner + p * - p = ner α * p * T + α * p * N α p T + αp N = ner + p * T - p T + α * p * N - p * * 1997 1 2010 9 60% 80% 20% 40% - - - 2007-2007 * 100875 xujianwei@ gmail. com pamelapanda@ 126. com Betts C. M. CCER 78 2011 7 1997 1 2010 9 - Engel 1993 1999 rer = ner + p * - p = ner + 1 - α * p * T