人民币汇率目标区的中心汇率及其波动幅度探析
|
摘要
在人民币国际化的关键时期,当务之急是对人民币汇价的形成机制进行市场化改革,构建人民币汇率目标区。构建汇率目标区的核心问题是中心汇率如何确定,而通过对名义汇率与劳动力生产率进行Johanson协整性检验,可以证明巴拉萨—萨缪尔森效应能够作为估计人民币中心汇率模型的理论基础。进而,考虑政策目标等其他因素,通过建立估计人民币中心汇率的VEC模型,并根据中心汇率测算结果与平均汇率之间的误差,确定人民币对美元隐形汇率目标区的波动幅度为±[3%—5%]较为恰当,即当人民币对美元汇率的波动偏离中心汇率在±3%以内时货币当局无需进行干预,触及±3%时视为预警信号,超过±3%时是否干预视具体情况而定,而超过±5%时则必须进行干预。为此,中国人民银行应当进一步放松对银行结售汇综合头寸的管制,避免被动式的干预;将超额外汇储备中的一小部分用于成立干预外汇市场、管理汇率水平的外汇平准基金,将剩余的超额外汇储备转换成黄金储备。
In the crucial period of RMB internationalization,the top priority for the monetary authorities is a market-oriented reform of the mechanism of RMB exchange rate and an establishment of a RMB exchange rate target zone. It is essential for the establishment of such a target zone is to determine the central exchange rate. Through Johanson co-integration test between nominal exchange rate and labor productivity,it is proved that there exists Barrassa-Samuelson effect in China. With this as the theoretical basis,the VEC model of RMB central exchange rate is estimated by taking into account policy objectives and other factors. According to the error between the central exchange rate and the average exchange rate,it can be determined that the fluctuation range of the target zone is ±[3%—5%]: When the fluctuation of the exchange rate of RMB against US dollar deviates from the central exchange rate within ± 3%,the authorities need not intervene; when it touches ±3%,it is regarded as an early warning signal,and if it exceeds ±3%,the intervention depends on the specific situation; and interventions must be carried out when more than ±5%. To this end,the People's Bank of China should further deregulate general position of SSFE,and avoid to intervene passively; a small portion of the excess foreign exchange reserves should be used to set up an exchange stabilization fund to intervene in the foreign exchange market and manage the exchange rate,and the remaining excess foreign exchange reserves should be converted into gold reserves.
In the crucial period of RMB internationalization,the top priority for the monetary authorities is a market-oriented reform of the mechanism of RMB exchange rate and an establishment of a RMB exchange rate target zone. It is essential for the establishment of such a target zone is to determine the central exchange rate. Through Johanson co-integration test between nominal exchange rate and labor productivity,it is proved that there exists Barrassa-Samuelson effect in China. With this as the theoretical basis,the VEC model of RMB central exchange rate is estimated by taking into account policy objectives and other factors. According to the error between the central exchange rate and the average exchange rate,it can be determined that the fluctuation range of the target zone is ±[3%—5%]: When the fluctuation of the exchange rate of RMB against US dollar deviates from the central exchange rate within ± 3%,the authorities need not intervene; when it touches ±3%,it is regarded as an early warning signal,and if it exceeds ±3%,the intervention depends on the specific situation; and interventions must be carried out when more than ±5%. To this end,the People's Bank of China should further deregulate general position of SSFE,and avoid to intervene passively; a small portion of the excess foreign exchange reserves should be used to set up an exchange stabilization fund to intervene in the foreign exchange market and manage the exchange rate,and the remaining excess foreign exchange reserves should be converted into gold reserves.
引文
陈彪如,1988,《管理浮动与汇率目标区》,《世界经济文汇》第6期。
陈学彬、刘明学,2008,《托宾税、货币投机与货币政策独立性》,《复旦大学学报(社会科学版)》第6期。
冯用富,2000,《汇率目标区:中国金融进一步开放中的汇率制度选择》,《财经科学》第2期。
胡坚、董曦明,2006,《汇率目标区在外汇干预中的作用分析》,《山西财经大学学报》第3期。
黄泽民,1995,《国际货币制度与国际金融政策协调——论寡头协调时期》,《上海金融》第12期。
姜凌、韩璐,2003,《汇率目标区理论与人民币汇率机制的改革思路》,《经济评论》第2期。
姜正军,2001,《我国汇率目标区框架设计思路初探》,《西南金融》第7期。
刘惠好、李蔚、苏振天,2014,《巴拉萨—萨缪尔森假说理论拓展与实证——基于中国国情》,《财贸研究》第3期。
[美]罗伯特·特里芬,1997,《黄金与美元危机》,北京:商务印书馆。
秦江萍、叶欣,2005,《汇率目标区理论应用中的几个关键问题》,《上海金融》第6期。
孙洁,1997,《汇率目标区理论的演进》,《国际金融研究》第6期。
王向勇,1987,《汇率目标区制度》,《国际金融研究》第4期。
徐坡岭、刘来会,2017,《劳动密集度与巴拉萨—萨缪尔森效应:国际证据与比较》,《国际经贸探索》第10期。
杨胜刚、王惠文,2003,《论建立人民币汇率目标区》,《财经科学》第6期。
俞萌,2001,《人民币汇率的巴拉萨—萨缪尔森效应分析》,《世界经济》第5期。
周克,2011,《当前人民币均衡汇率估算——基于Balassa—Samuelson效应扩展的购买力平价方法》,《经济科学》第2期。
朱函葳,2018,《基于多国面板数据对巴拉萨—萨缪尔森效应的检验》,《上海经济研究》第2期。
Balassa,B.,1964,“The Purchasing Power Parity Doctrine:A Reappraisal”,Journal of Political Economy,Vol.72,No.6.
Cumby,R.,Canzoneri,M.and Diba,B.,1999,“Relative Labor Productivity and the Real Exchange Rate in the Long Run:Evidence for a Panel of OECD Countries”,Journal of International Economics,Vol.47,No.2.
Faruqee,H.,1995,“Long-Run Determinants of the Real Exchange Rate:A Stock-Flow Perspective”,IMF Staff Paper,Vol.42,No.1.
Krugman,P.R.,1991,“Target Zone and Exchange Rate Dynamics”,The Quarterly Journal of Economics,Vol.106,No.3.
Samuelson,P.A.,1964,“Theoretical Notes on Trade Problems”,Review of Economics and Statistics,Vol.46,No.2.
(1)2005年9月22日,国家外汇管理局发布了《关于调整银行结售汇头寸管理办法的通知》。
陈学彬、刘明学,2008,《托宾税、货币投机与货币政策独立性》,《复旦大学学报(社会科学版)》第6期。
冯用富,2000,《汇率目标区:中国金融进一步开放中的汇率制度选择》,《财经科学》第2期。
胡坚、董曦明,2006,《汇率目标区在外汇干预中的作用分析》,《山西财经大学学报》第3期。
黄泽民,1995,《国际货币制度与国际金融政策协调——论寡头协调时期》,《上海金融》第12期。
姜凌、韩璐,2003,《汇率目标区理论与人民币汇率机制的改革思路》,《经济评论》第2期。
姜正军,2001,《我国汇率目标区框架设计思路初探》,《西南金融》第7期。
刘惠好、李蔚、苏振天,2014,《巴拉萨—萨缪尔森假说理论拓展与实证——基于中国国情》,《财贸研究》第3期。
[美]罗伯特·特里芬,1997,《黄金与美元危机》,北京:商务印书馆。
秦江萍、叶欣,2005,《汇率目标区理论应用中的几个关键问题》,《上海金融》第6期。
孙洁,1997,《汇率目标区理论的演进》,《国际金融研究》第6期。
王向勇,1987,《汇率目标区制度》,《国际金融研究》第4期。
徐坡岭、刘来会,2017,《劳动密集度与巴拉萨—萨缪尔森效应:国际证据与比较》,《国际经贸探索》第10期。
杨胜刚、王惠文,2003,《论建立人民币汇率目标区》,《财经科学》第6期。
俞萌,2001,《人民币汇率的巴拉萨—萨缪尔森效应分析》,《世界经济》第5期。
周克,2011,《当前人民币均衡汇率估算——基于Balassa—Samuelson效应扩展的购买力平价方法》,《经济科学》第2期。
朱函葳,2018,《基于多国面板数据对巴拉萨—萨缪尔森效应的检验》,《上海经济研究》第2期。
Balassa,B.,1964,“The Purchasing Power Parity Doctrine:A Reappraisal”,Journal of Political Economy,Vol.72,No.6.
Cumby,R.,Canzoneri,M.and Diba,B.,1999,“Relative Labor Productivity and the Real Exchange Rate in the Long Run:Evidence for a Panel of OECD Countries”,Journal of International Economics,Vol.47,No.2.
Faruqee,H.,1995,“Long-Run Determinants of the Real Exchange Rate:A Stock-Flow Perspective”,IMF Staff Paper,Vol.42,No.1.
Krugman,P.R.,1991,“Target Zone and Exchange Rate Dynamics”,The Quarterly Journal of Economics,Vol.106,No.3.
Samuelson,P.A.,1964,“Theoretical Notes on Trade Problems”,Review of Economics and Statistics,Vol.46,No.2.
(1)2005年9月22日,国家外汇管理局发布了《关于调整银行结售汇头寸管理办法的通知》。