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 - S 2006 208-04 - 985 -
3 3 PPP PPP Murray Papell 2002 PPP PPP PPP 3 5 2 2008 FEER 202 3% 3 200 203 203 4-6 2009 7 2009 8 200 2005 9 20 997-200 60% 80% BSH 40% 0 205 202 202 203 995 202 6 EGARCH 2 205 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 0 2 2 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 7 6 7 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 9 0 2 3 4 *
3 5 9 0 9 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 - + 5 L * N = - γ - σ μ - + A * N σ- σ μ - + κ * N - σ σ μ - + 6 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 9 4 7 9 3 9 20 B { N } P N = r μ - B + μ - η + η - θ + θημ P H + μ A - μa μθ + - θ γ 7 8 20 = 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 205 203 00
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 23 23 NFA TOT TNT MR VE VAR VAR ( ) 2005 7 207 2 40 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
3 7 I ADF C T L ADF C T L LnREER C T 3 -. 2522 LnREER N N 2-4. 2645 * LnNFA LnTOT LnTNT LnMR VE C T 2-2. 038 LnNFA C N - 6. 397 * C T 0-2. 2834 LTOT N N 0-9. 5502 * C T - 0. 9044 LnTNT C N - 4. 7933 * C N 0 -. 8753 LnMR C N 3-7. 4388 * C T - 2. 036 VE C N 2-8. 5892 * : ; C T L, N, * 5% 6 I VAR VAR 2 VAR 2 2 VAR Log L AIC SC 35. 5226-2. 3573 -. 0056 2 324. 099-2. 6252-3. 787 3 297. 8553 -. 6675 -. 507 : 5% Johansen 3 VAR 3 Johansen 5% 0 7. 42 5. 76 0. 205 5. 24 9. 82 0. 50 2 2. 39 5. 87 0. 46 ( ) VAR 2 VAR REER NFA 6 6 REER NFA REER TOT 2 2 2 TNT REER REER 0 REER 0
8 208 VAR REER 8 REER 8 REER 2 REER
3 9 REER REER ( ) REER REER 4 % REER NFA TOT TNT MR VE 00 0. 00 0. 00 0. 00 0. 00 0. 00 6 52. 73 3. 38. 30 6. 26 9. 6 6. 73 9 5. 36 3. 36. 25 6. 56 9. 08 6. 38 2 50. 4 3. 63. 62 7. 30 9. 8 7. 23 5 47. 7 4. 32. 4 8. 85 0. 23 8. 02 20 45. 20 4. 62 2. 20 9. 33 0. 52 8. 2 4 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 2007 2005
20 208 3 4 GDP B - S REER B - S 3 4 GDP : NFA REER 3. 9% NFA VAR VAR VAR 2005 7 207 2 VAR. REER 204 205-206 200 REER 202 NFA REER
3 2 Mckinoon Schnabl 2009 4 2. 3. 4. ROGOFF K. The purchasing power parity puzzle J. Journal of Economic Literature 996 2 647-668. 2 MURRAY C J PAPELL D H. The purchasing power parity persistence paradigm J. Journal of International E- conomics 2002-9. 3 CLINE P. B WILLIAMSON J. Estimates of fund equilibrium exchange rates R. Peterson Institute for International Economics Policy Brief 202. 4. BEER 994Q 2009Q4 J. 200 2 29-37. 5. NOEM J. 203 60-70. 6. DSGE J. 203 8 70-83. 7. J. 2009 4 38-49. 8. J. 2009 2 38-44. 9. DSGE J. 200 9 29-39. 0. J. 20 7 78-90.. J. 205 5 54-65. 2.
22 208 J. 203 2 45-53. 3. J. 205 2 45-59. 4 MCKINNON R SCHNABL G. China's financial conundrum and global imbalances J. China Economist 2009 4 65-77. 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 730000 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 ( : )