商业研究

商业研究

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基于货币购买力的人民币均衡汇率理论模型与汇率失调测算

张晓京   

  1. （哈尔滨商业大学 金融学院，哈尔滨 150028）
  • 收稿日期:2017-07-26 出版日期:2018-01-25
  • 作者简介:张晓京(1968-)，男，哈尔滨人，哈尔滨商业大学金融学院讲师，管理学博士，研究方向：国际金融。
  • 基金资助:
    哈尔滨商业大学博士科研启动项目，项目编号：15RW18；哈尔滨商业大学学科项目，项目编号：hx2016001。

A Theoretical Model of Equilibrium Exchange Rate of RMB and Calculation of the Exchange Rate Misalignment based on Purchasing Power of Money

ZHANG Xiao-jing   

  1. (School of Finance, Harbin University of Commerce,Harbin 150028,China)
  • Received:2017-07-26 Online:2018-01-25

摘要： 为了测算人民币均衡汇率，本文在购买力平价理论的基础上建立均衡汇率理论模型，该模型回归货币购买力的本质，克服了在经济发展水平不同国家之间选取可比较一篮子商品的困难。经对人民币均衡汇率及失调状况的实证检验发现：2005-2010年间人民币兑美元汇率，除2007年、2008年基本处于均衡状态外，其他年份均被高估；2012-2014年间，人民币兑美元汇率一直被低估，只是各年的低估幅度不同；2015年人民币兑美元汇率被高估。人民币兑美元名义汇率的均值相对于实际汇率的均值在总体上被高估28.03%，名义汇率在中长期存在贬值趋势。人民币兑美元实际汇率的各年度变化幅度在两国产出水平变动幅度小于ΔM2变动幅度时，主要受ΔM2的变动影响。 以上结论对央行对外汇市场进行干预提供了一定的参考依据。

关键词: 均衡汇率, GDP, ΔM2, 实际购买力, 高估, 低估

Abstract: In order to estimate the equilibrium exchange rate of RMB, this paper builds a model of equilibrium exchange rate based on PPP theory which returns to the essence of purchasing power of money and can overcome the difficulty of selecting a basket of comparable goods between deferent developing level countries. After empirically testing the equilibrium exchange rate and imbalance of RMB, the paper finds in 2005-2010 years, the exchange rate of RMB against US Dollar was basically at equilibrium in 2007, 2008, and it was overvalued in all other years; moreover, it was undervalued during the period of 2012-2014, only their undervalued amplitude was different; it had been overvalued in 2015. Finally, it has a depreciation trend in the medium-long term since the mean of nominal rate relative to that of real rate is overvalued for 28.03 percent on the whole. As a result, the change extent every year of the exchange rate of RMB against US Dollars was mainly affected by the change of △M2 when the change extent of relative output level between US and China is less than that of △M2. The above conclusions provide some reference for the central bank to intervene in the foreign exchange market.

Key words: equilibrium exchange rate, GDP, △M2, real purchasing power, overvalue, undervalue