摘要
利用时变参数模型,选择泰勒规则作为经济基本面因素,对2009年第二季度至2016年第二季度人民币兑美、日、欧元的名义均衡汇率及其失调程度进行测算。结果显示:2012年以前,人民币兑美、日、欧元的名义汇率整体上呈现低估状态,2012年以后,人民币兑美、日、欧元的名义汇率总体上处于高估状态。从汇率的失调程度来看,人民币兑美、日、欧元汇率的最高失调程度分别为5.56%、25.46%、13%。2015年"811汇改"以来,人民币兑美、日、欧元汇率高估幅度不断降低,但是当前仍有不同程度的贬值空间。今后,应当坚持汇率改革的主动性,不断修正人民币汇率的失调,但是要注意把握好人民币汇率调整的步伐和节奏,针对不同的货币进行差异化的调整。
In this paper,we use the time-varying parameter model and select the Taylor rule as economic fundamentals to calculate the nominal equilibrium exchange rate and degree of misalignment of RMB against US dollar,Japanese yen and Euro from the second quarter of 2009 to the second quarter of 2016.The results show that the nominal exchange rate of RMB against US dollar,Japanese yen and Euro was generally undervalued before 2012 and overvalued after 2012.From the degree of misalignment of the exchange rate,the highest degree of disorder of RMB against US dollar,Japanese yen and Euro were respectively 5.56%,25.46%and 13%.Since the"811 exchange rate reform"in 2015,the degree of overvaluation of RMB against US dollar,Japanese yen and Euro exchange rate has been decreasing,but there is still a certain degree of depreciation space.In the future,we should adhere to the exchange rate reform initiatively,and constantly correct the RMB exchange rate imbalance.However,we should grasp the pace and rhythm of the RMB exchange rate adjustment and make different adjustments to different currencies.
作者
尹相颐
刘东坡
YIN Xiangyi;LIU Dongpo(Institute of International Economics,School of Economics,Nankai University,Tianjin 300071,China;Operations Office,The People's Bank of China,Beijing 100045,China)
出处
《经济与管理评论》
CSSCI
北大核心
2019年第2期128-137,共10页
Review of Economy and Management
关键词
名义均衡汇率
泰勒规则
时变参数模型
Nominal equilibrium exchange rate
Taylor rule
Time-varying parameter model
