摘要
伴随着人民币国际化与利率市场化进一步推进，快速发展的中国经济取得了举世瞩目的成就。中国已经成长为影响世界的不可小觑的力量，使得世界各国不得不聚焦中国元素。在当前全球开放经济条件下，作为本国与世界经济最主要关联之一的汇率因素就不可避免的成为了大家重点关注的热点问题，给中国经济和金融发展带来的机遇与挑战并存。自新中国成立以来，人民币汇率就一直处在不断探索与变革过程中，经历了从严格管理与控制到有管理浮动汇率制的逐步改革历程。尤其是2005年汇率制度改革以来，人民币汇率呈现不断升值的态势，并且随着外汇交易浮动幅度的进一步放大，人民币汇率与之前相比波动加剧，汇率变化不确定性更加显著。虽然近期人民币呈现一定的贬值回暖，但是从长期来看，受国内外经济因素影响，人民币仍具有持续升值的预期。
人民币汇率作为一种价格表现，不可避免的会受到货币政策的影响，并且会因为价格效应影响中国的进出口贸易。随着人民币国际化的发展，人民币在亚洲乃至全球货币体系的地位逐步增强，亚洲区域货币体系的货币关联关系也在不断变化。同时，人民币汇率变动的不确定性亦是一种风险，将对中国金融尤其是货币错配产生冲击影响。本文正是基于以上汇率相关问题，在理论分析的基础上进行了具体的实证计量研究。
第一，研究了汇改后人民币汇率变动的趋势特征。基于巴拉萨—萨缪尔森假说，人民币汇率在直观上确实存在不断升值趋势，为了全面的刻画人民币这种升值趋势以及人民币对不同币种汇率的差异性问题，本部分从人民币对不同币种的双边实际汇率视角，构建人民币实际汇率共同随机趋势模型进行理论与实证研究。模型估计得到人民币对相关货币实际汇率的共同随机趋势成分ERCT，与实际有效汇率指数REER进行比较相对更为简单有效；同时估计得到双边实际汇率扣除共同趋势成分的国别（地区）特有成分，分析人民币双边汇率的异质性特征；此外，模型还估计检验了双边汇率特有成分之间的关联关系，由于特有成分扣除了人民币共同随机趋势成分的影响，因此在一定程度上能够更为真实的反应人民币不同双边汇率的关联机制，得到一些有用的结论。
第二，比较研究了中美货币政策冲击对汇率变动的影响。汇率作为两国货币的兑换价格，其比率必然与两个经济体相关。基于货币政策对汇率变动的传导机制，本章从中国和美国货币政策冲击出发，研究了货币政策冲击对汇率变动的影响作用。研究中构建结构动态因子模型，解决了变量指标维数过大的问题，同时采用符号约束等方法识别模型的因子个数，进行参数估计检验。具体研究中，首先估计货币政策冲击序列，分析货币政策冲击的动态路径；然后对比分析估计的货币政策冲击为零和真实的货币政策下汇率变动情形，进一步研究只考虑利率指标时估计得条件预测值与真实值，考察汇率变动是否只源于货币政策的变化；最终综合对比中美货币政策冲击对汇率变动的作用，重点关注两国货币政策冲击对人民币兑美元汇率变动影响的差异性，得出相应的结论。
第三，检验了人民币汇率变动的贸易溢出效应的时变性与异质性特征。汇改后人民币持续升值，并未显著改善中国长期存在的“双顺差”局面，汇率水平变动和波动性究竟如何影响中国的进出口贸易值得深入研究。在国际贸易两国模型的基础上，考虑汇率波动性，本文从中国加总贸易和双边贸易层面，分别构建时变参数与面板数据模型实证分析汇率变动的进出口贸易溢出效应。由于汇率变动对中国进口和出口的影响机制是有差异的，因此研究中将进口和出口分别建模分析。具体研究中，首先从中国进出口贸易的加总层面，引入人民币实际有效汇率的波动性，构建时变参数模型，研究人民币实际有效汇率变动对进出口贸易的时变影响；然后，从中国进出口的双边贸易层面，构建面板数据模型，研究人民币双边实际汇率变动及波动性对中国双边进出口贸易影响的异质性。
第四，研究了汇率变动的区域货币联动机制以及政策干预的有效性。开放经济条件下，金融危机的传染性使得多个资本市场之间波动集聚现象的研究越来越受到关注。作为亚洲区域经济体最为重要的中国、日本和韩国，无论在地理上还是经济上都具有紧密的关联。基于亚洲区域经济体金融合作的现实与重要性，本文主要从以下几个方面进行研究，首先分别考察中、日、韩三国各自外汇市场的汇率变动特征，发现外汇市场汇率波动集聚特征明显，并且汇率波动集聚与该国利率波动集聚时间比较一致，因此进一步检验了利率变动对汇率波动的溢出效应，以此分析政府货币政策对外汇市场干预的有效性；进一步的拓展到多元模型，采用基于Cholesky分解的MGARCH模型检验中、日、韩三国货币的区域联动性，同时对模型施加利率变动约束以检验经济主体政策对外汇市场干预的有效性，得出相应的结论。
第五，比较研究了汇率变动不确定性视角下的境内银行货币错配问题。货币错配为研究货币危机提供了一种新的视角，它揭示了汇率风险在权益主体之间的相互传染路径。汇率改革后人民币不再“盯住”美元，实行有管理的浮动，使得直接或间接充当“外汇保险公司”角色的金融当局货币错配风险暴露。中国境内不同性质银行的货币错配问题不同，债权型与债务型货币错配差别较大，因此我们对银行进行分类，从汇率变动不确定性视角进行比较研究。实证研究中，为了解决模型时变与不连续问题，本文采用时变的马尔科夫区制转移模型（TVP-MS）检验汇率变动的不确定性，并依据其来源分解为两部分进行分析；进一步的将度量的汇率变动不确定性引入银行货币错配模型，检验两种来源的不确定性对不同性质银行货币错配的影响机制，最终得出相应结论与政策建议。
With the internationalization of the RMB and marketization of interest rate, we have maderemarkable achievements in China. The world devotes more attention as China has grown to beone of the most important economies. Exchange rate as the most important factor associated toother open countries, will inevitably become a hot issue. It has both opportunities and challengesfor China's economic and financial development. Since the foundation of new China, the RMBexchange rate has been in the process of exploration and transformation, and it has experiencedfrom the strict management to a managed floating exchange rate system. Especially since theexchange rate reform in2005, the RMB exchange rate shows a trend of increasing appreciation,and the uncertainty increases with the further amplification of the floating band in foreignexchange transactions. Although the RMB shows some rebound recently, it still has the expectedof continued appreciation in the long term.
The exchange rate as a price between currencies, would be influenced by monetary policyinevitably, and will affect import and export trades for the price effect. Along with thedevelopment of the internationalization of RMB, its status in Asia and the world monetary systemincreases gradually, and Asian regional currency monetary relationship is changing, too. At thesame time, the uncertainty of the RMB exchange rate changes also is a kind of risk, and it will doimpact on China's economy especially the currency mismatch. Based on theoretical analysis, westudy the related issues with empirical qualitative methods.
Firstly, we studied the trend characteristics of RMB exchange rate. Based on theBalassa-Samuelson hypothesis, the RMB exchange rate has a rising trend. In order to describe theappreciation trend and differences between currencies of RMB fully, we built the commonstochastic trend model to study from the perspective of bilateral real exchange rate. The commonstochastic trend components ERCT estimated, comparing with the real effective exchange rateindex, is relatively more simple and effective. Besides we got the unique elements of bilateral realexchange rate, and analyzed the heterogeneous characteristics. We found that fluctuations ofbilateral real exchange rates are different, and exchange rate unique elements fluctuate around thezero point in general. The bilateral real exchange rates have great turmoil, but they enhanced convergence after the financial crisis. So the RMB performances significant market featuresgradually. We also estimated correlation between bilateral exchange rate, as characteristicingredients have deduct common stochastic trend, it would show more real mechanism of bilateralexchange rates to a certain extent.
Secondly, we study the effects of monetary policy impact on exchange rate movement.Exchange rate is necessarily related to the economy, as it is the ratio between two currencies.Based on monetary policy transmission mechanism, this chapter studied the effect of the monetarypolicy on exchange rate from the Chinese and US monetary policy shocks. We built the dynamicfactor model to solve the problem when variable dimension are too many. And we identified factornumber using sign constraints methods. Specifically, we estimated the sequence of monetarypolicy impact, and analyze the dynamic path of monetary policy shocks. Then, we compared theexchange rate under the situations when estimated impact of monetary policy was zero and thereal, and further we studied the situations when interest rate considered only compared the real, tostudy the impact of monetary policy shocks on exchange rate. Finally we made comprehensivecomparison of the monetary policy impact between China and US, especially on the exchange rateof RMB against the US dollar, to draw the appropriate conclusions.
Thirdly, we tested the time-varying and heterogeneity of trade spillover from RMB exchangerate. With continued appreciation of RMB after exchange rate reformed, the situation of “doublesurplus” existence in China was not significantly improved, so it is worth to further study how thelevel and volatility of exchange rate movements affect exactly on import and export trade. On thebasis of the model of international trade between the two countries, considering the exchange ratevolatility, we built time-varying parameter and panel data model to study trade spillovers, fromsum and bilateral trade level. Due to impacts of exchange rate changes on import and exportmechanism are differently, we researched imports and exports respectively. We put the realeffective exchange rate volatility into sum trade model, to research impacts of real effectiveexchange rate movements on trade. Then we built panel data model to study the impactheterogeneity of bilateral exchange rate on trade from the bilateral trade level.
Fourthly, we studied the regional currency linkage mechanism of exchange rate changes andthe effectiveness of policy interventions. In an open economy, contagious financial crisis makesthe research about volatility clustering phenomenon across multiple capital markets receive moreand more attention. As Asia's most important regional economies, China, Japan and South Koreahas a close association both in geographically and economically. Based on the reality and theimportance of financial cooperation of the Asian regional economic, this paper primarily studiesthe following aspects. First were investigated, the change in characteristics of each foreign exchange market of China, Japan and South Korea, finding that the characteristics of foreignexchange market rate fluctuations agglomeration is significantly and the time of volatilityclustering between exchange rate and the country's interest rate is nearly consistent, so examinethe spillover effects of volatility between exchanges rate and interest rate further, and based onthat analysis the effectiveness of monetary policy of government intervention in the foreignexchange market; Further extended to multi-model, adopting MGARCH model using Choleskydecomposition, test the regional currency linkage of China, Japan and South Korea, and apply theconstraints of changes in interest rates on the model to examine the effectiveness of the economicsubjects policies of the foreign exchange market intervention, to draw the appropriate conclusions.
Fifthly, from the perspective in the uncertainty of changes in exchange rate, we conducted acomparative study of the currency mismatch problem of domestic banks. Currency mismatchprovides a new perspective for the study of the currency crisis, for it reveals the infection path ofexchange rate risk among different subjects. After the reform of the RMB exchange rate, the RMBno longer “stare at” dollars and is implemented to a managed float rate, making direct or indirectcurrency mismatch risk exposure to the financial authorities which are usually called to be the"foreign exchange insurance companies'. Because the currency mismatch problems for differentdomestic banks are different, especially for the debt and debt-based currency mismatches, wedecide to classify these banks in to different categories. We also make a comparative studybetween different types of banks from the perspective of the uncertainty of changes in exchangerate. In order to solve the problem of time-varying or discrete of the model in the empiricalresearch, we use the time-varying Markov regime switching model (TVP-MS) to test theuncertainty of the rate movements. Based on the source of the uncertainty, our study is dividedinto two parts. We add the uncertainty of changes in exchange rate into the bank currencymismatch model, and test the impact mechanism of the two sources of uncertainty to the differenttypes of banks’ currency mismatch. Finally, we get the conclusions and give some policyrecommendations.
引文
a参考Luciani M.“Monetary policy and the housing market: A structural factor analysis”, Journal of appliedeconometrics,2013.
a参考Kim C J, Nelson C R.“State-space models with regime switching: classical and Gibbs-samplingapproaches with applications”,1999.
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