: 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 and Terra,1997) ; (2002) : 3,, :310027, :cec jxj @zju. edu. cn,wangyizhong315 @163. com,,,2007,,,, 46
2008 1,,, Aghion et al (2006) 83,1960 2000,,,,, :, ;,,,,,, ( 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
:,, 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 + 1 2 3 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
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 + 1 2 3 4 t (14) 49
:, 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) 1 2 3 4 5 6 7 8 9 10 11 12 LM 6. 64 8. 14 2. 81 7. 33 13. 9 9. 83 11. 5 9. 88 3. 82 8. 41 8. 17 4. 37 P 0. 67 0. 52 0. 97 0. 60 0. 13 0. 36 0. 24 0. 36 0. 92 0. 49 0. 52 0. 89 2 (174) = 150. 68 ( P = 0. 90) J2B 2 (25) = 30. 03 ( P = 0. 22) :,J2B, 2 5 % 5 % 32. 51 29. 68 21. 08 20. 97 r = 0 11. 44 15. 41 9. 294 14. 07 r 1 2. 141 3. 76 2. 141 3. 76 r 2,, FC20070135,http :ΠΠfed. ccer. edu. cnπpaperdownload. asp? paperid = 135 50
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 1,,, 1997 2 4 7153 %, 2002 1 0111 % ;2002 2 2006 2,,2002 2 0167 %,2006 2 7164 %, 30 % 40 % (2007) 3 ( ereer) 4 ( %) 3.,Granger,,VEC,,: reer = - 0113 ec + 0103 reer t - 1 + 010002 reer t - 2 + 01002 reer t - 3 + 0126 reer t - 4 ( - 2191) (0117) (01001) (0102) (1175) + 0116 su t - 1 + 0110 su t - 2-0105 su t - 3 + 0103 su t - 4 + 0109 de t - 1 + 0106 de t - 2 (17) Wang(2005) 1983 2004 51
: (1159) (0188) ( - 0147) (0137) (0176) (0150) + 0114 de t - 3 + 0112 de t - 4 + ex (1121) (1139), ec t - 1 = reer t - 1 + 0133su t - 1-0126 de t - 1-4159, ex, t,,, 13 %,, (,2006), 4. 5 6 :1 10,,, (),,,, () ;, (),,, 5 6,,, ;, 5.,, Choleski, ( 7),, 1 16,, 17 18 19, 7,, 52
2008 1 ( ) 1., 2.,7 VAR, 1 6 VAR, 4 ( 3) 3 VAR(4) 1 2 3 4 5 6 7 8 9 10 11 12 LM 11. 9 8. 0 9. 3 21. 2 11. 6 10. 5 12. 8 21. 7 24. 8 14. 8 16. 2 9. 5 P 0. 75 0. 95 0. 90 0. 17 0. 77 0. 84 0. 69 0. 15 0. 07 0. 54 0. 44 0. 89 2 (350) = 328. 90 ( P = 0. 78) J2B 2 (55) = 62. 61 ( P = 0. 22) 4 5 % 5 % 44. 37 47. 86 24. 32 27. 58 r = 0 20. 06 29. 80 14. 59 21. 13 r 1 5. 46 15. 49 4. 01 14. 26 r 2 1. 45 3. 84 1. 45 3. 84 r 3,,,4, :5 %, 3., VAR 8 VAR,,, 5 6 4. VAR ( 9) :,,, 5.,,OLS, 53
: 8 9 0117,, J,,, : reer = 0191 3 reer t - 1 + 0109 3 ms + 0102 33 ee + 01004 33 ir + 0152 3 (18) (01019) (01009) (01012) (01002) (0109), 3 33 1 % 5 %, 5, (18), 1 () () 1,0191 % ; () 1, () 0109 % ;,, (), (), 5 1 2 3 8 9 10 LM ( P ) 0. 36 0. 62 0. 49 0. 23 0. 15 0. 10 ARCH ( P ) 0. 79 0. 27 0. 27 0. 26 0. 36 0. 42 J2B = 1132 ( P = 0152) R 2 = 01988 DW = 1174 F = 95717, (18), (16) 10,,2006 2 0133 %, 11,1994 2 1997 4 ( 1994 3 1995 2 ),1998 1 2001 3 ( 1998 2 1999 1 2000 4 ),2001 4 2006 2 ( 2005 1 ) Gonzaga and Terra (1997) :,, 54
2008 1,2001 4 1138 %,1999 4 0108 %, 1998 3 0197 %,0104 % 10 11 ( ),, Balassa2Samuelson,, (2006b), - Wang(2005),,,,,,,,,,,,,: ( ),,,( 11 13),,,,,,,, 12 fdi,nfdi fdi, + +,cz, 2003 2004, FDI,FDI, (2006) : 1983 2003,,, (,2007) :, 55
: ( ),,(VEC ),,,,,(,2002),,,,,,,1,,,,, 1994 1 1995 3, 1993,,,,,,1993, ; 1995 4 2002 1 90 (,2006b),,,,,, (2005) 20 % ;2002 2 2006 2, WTO,,, ( 15),,,,,,,,, ( ), ;,,,,,,, 2001,,, (13),,,,, ;,,13 (7), (2006) 0159, 1994 2006,, :,, :,, ;,,,,,, 56
2008 1 12 13 ( rp), 2002 4 (2005 1 ),,, (),,,,,,, ;( ), ( ) ( ), ( ) ; ( Chadha and Prasad, 1997) Edwards(1986) 1972 1983 30, (, ),, :,,,,,,,,, : (1),,, ; (2),,,, ; (3),,,,, : (1),, 57
:,,,,, ; (2),,,,,,, ( ) (,2005),,,,,,, ; (3),,,,,,,,,,,,,,2005 :,5,2006 :,11,,2006a :,5,2006b : (1978 2004),CCER Working Paper, No. C2006004,2005 :,,2007 :,CCER Working Paper, No. C2007001,2004 :,,2002 :,,2006 :,,2005 : :1991 2004,4,2006 : :1978 2004,11,2007 :,5,2006 :,8,2007 :?,,,2006 :,7,2006 : :(1978 2003),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. 12117. 58
2008 1 Balassa,B.,1964, The Purchasing Power Parity Doctrine : A Reappraisal, Journal of Political Economy, Vol. 72, pp. 584 596. 44,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. 871 880. 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. 06Π220. 1930. 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. 77 100. 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 23 24. 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, 341 358. Wang, T., 2005, Sources of Real Exchange Rate Fluctuations in China, Journal of Comparative Economics, Vol. 33, pp. 753 771. 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