中国参照一篮子货币的汇率制度:理论框架与实证考察
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财经研究 2015 年 第 41 卷第 02 期, 页码：27 - 40
摘要
参考文献
摘要
在汇率制度选择中经常存在言行不一的问题,这也成为美国指责中国操纵汇率的主要借口。文章在构建一个广义的汇率制度识别框架的基础上,利用时变系数模型甄别了2000-2013年中国实际实行的汇率制度。研究发现,中国在2005年"汇改"前实行的是严格盯住美元的汇率制度,之后实行的是参照一篮子货币的浮动汇率制度,即以"汇率篮子、波动范围和爬行速度"为操作核心的"BBC体制"。在人民币汇率篮子中,美元的平均权重达0.91且呈现V形变化,其他货币如欧元、新加坡元、卢布的权重也是显著的且呈现阶段性变化;在2008年以后,人民币汇率篮子中的币种通常是"美元+x"的二元组合,货币当局对货币x的选择是以降低整体的波动性为依据的。人民币汇率弹性总体上以2010年7月为界呈现Λ形变化;在2005年7月以后,人民币整体上处于升值通道中,但其爬行速度以2009年3月为界呈现先快后慢的V形变化。
[1]丁剑平,杨飞.人民币汇率参照货币篮子与东亚货币联动的研究[J].国际金融研究,2007,(7):36-42.
[2]罗玉波.CPI权重估计:基于约束变系数模型[J].数学的实践与认识,2011,(15):80-85.
[3]刘晓辉,陈峥嵘,于波.“言”、“行”、人民币实际汇率制度弹性与宏观经济绩效[J].金融评论,2009,(1):50-62.
[4]周小川.我首次披露人民币汇率参考的货币篮子主要币种[EB/OL].http://news.xinhuanet.com/fortune/2005-08/10/content_3334597.htm,2005.
[5]Bénassy-QuéréA.Exchange rate regimes and policies:An empirical analysis[A].Collignon S,Pisani-Ferry J,Park Y C.Exchange rate policies in emerging Asian countries[C].London:Routledge,1999.
[6]Calvo A G,Reinhart C M.Fear of floating[J].Quarterly Journal of Economics,2002,117(2):379-408.
[7]Eichengreen B.China’s exchange rate regime:The long and short of it[EB/OL].http://emlab.berkeley.edu/~eichengr/research/short.pdf,2006.
[8]Fidrmuc J.Time-varying exchange rate basket in China from 2005to 2009[J].Comparative Economic Studies,2010,52(4):515-529.
[9]Fang Y,Huang S C,Niu L L.De facto currency baskets of China and East Asian economies:The rising weights[R].BOFIT Discussion Papers No.2,2012.
[10]Frankel J A.New estimation of China’s exchange rate regime[J].Pacific Economic Review,2009,14(3):346-360.
[11]Frankel J A,Schmukler S,Serven L.Verifiability and the vanishing intermediate exchange rate regime[R].NBER Working Papers No.7901,2000.
[12]Frankel J A,Wei S J.Yen bloc or dollar bloc?Exchange rate policies of the East Asian economies[A].Ito T,Krueger A O.Macroeconomic linkage:Savings,exchange rates,and capital flows[C].Chicago:University of Chicago Press,1994.
[13]Frankel J A,Wei S J.Emerging currency blocs[A].Genberg H.The international monetary system:Its institutions and its future[C].Berlin:Springer,1995.
[14]Frankel J A,Wei S J.Assessing China’s exchange rate regime[J].Economic Policy,2007,22(51):575-627.
[15]Frankel J A,Wei S J.Estimation of de facto exchange rate regimes:Synthesis of the techniques for inferring flexibility and basket weights[J].IMF Staff Papers,2008,55(3):384-416.
[16]Frankel J A,Xie D.Estimation of de facto flexibility parameter and basket weights in evolving exchange rate regimes[J].American Economic Review,2010,100(2):568-572.
[17]Funke M,Gronwald M.The undisclosed Renminbi basket:Are the markets telling us something about where the Renminbi-US dollar exchange rate is going?[J].World Economy,2008,31(12):1581-1598.
[18]Hastie T,Tibshirani R.Varying-coefficient models[J].Journal of the Royal Statistical Society Series B,1993,55(4):757-796.
[19]Moosa I,Tony N,Li L.Exchange rate regime verification:Has China actually moved from a dollar peg to a basket peg?[J].Economia Internazionale,2009,62(1):41-67.
[20]Obstfeld M,Rogoff K.Exchange rate dynamics redux[J].Journal of Political Economy,1995,103(3):624-660.
[21]Ohno K.Exchange rate management in developing Asia[R].ADBI Working Paper No.1,1999.
[22]Shah A,Zeileis A,Patnaik I.What is the new Chinese currency regime?[EB/OL].http://www.mayin.org/ajayshah/PDFDOCS/SZP2005cny.pdf,2006.
[23]Stavarek D.Comparative analysis of the exchange market pressure in central European countries with the Euro zone membership perspective[R].MPRA Paper No.3906,2007.
[24]Sun J.Retrospect of the Chinese exchange rate regime after reform:Stylized facts during the period from 2005to 2010[J].China&World Economy,2010,18(6):19-35.
[25]Yamazaki K.Inside the currency basket[Z].Columbia University and Mitsubishi UFJ Trust and Banking Corp.,2006.
①Girton和Roper(1977)最早提出并界定了EMP指标,此后诸多学者如Eichengreen等(1996)、Kaminsky等(1998)、Stavarek(2007)以及Aizenman等(2010)从不同维度对EMP指标进行了拓展,集大成者见Weymark(1995,1997a,1997b,1998,1999)。
①具体推导过程见罗玉波(2011)。
①“美元+x”组合标准差standevit的计算公式为standevit=(ωusωxσusσxρus,x)1/2,其中ωus表示t时期美元的平均权重,ωx表示t时期货币x的平均权重,σus表示t时期美元汇率(用SDR来表示并取对数)的标准差,σx表示t时期货币x汇率的标准差,ρus,x表示美元与货币x汇率的相关系数。
①受篇幅限制,文中未报告稳健性检验结果,如有需要可向作者索取。
[2]罗玉波.CPI权重估计:基于约束变系数模型[J].数学的实践与认识,2011,(15):80-85.
[3]刘晓辉,陈峥嵘,于波.“言”、“行”、人民币实际汇率制度弹性与宏观经济绩效[J].金融评论,2009,(1):50-62.
[4]周小川.我首次披露人民币汇率参考的货币篮子主要币种[EB/OL].http://news.xinhuanet.com/fortune/2005-08/10/content_3334597.htm,2005.
[5]Bénassy-QuéréA.Exchange rate regimes and policies:An empirical analysis[A].Collignon S,Pisani-Ferry J,Park Y C.Exchange rate policies in emerging Asian countries[C].London:Routledge,1999.
[6]Calvo A G,Reinhart C M.Fear of floating[J].Quarterly Journal of Economics,2002,117(2):379-408.
[7]Eichengreen B.China’s exchange rate regime:The long and short of it[EB/OL].http://emlab.berkeley.edu/~eichengr/research/short.pdf,2006.
[8]Fidrmuc J.Time-varying exchange rate basket in China from 2005to 2009[J].Comparative Economic Studies,2010,52(4):515-529.
[9]Fang Y,Huang S C,Niu L L.De facto currency baskets of China and East Asian economies:The rising weights[R].BOFIT Discussion Papers No.2,2012.
[10]Frankel J A.New estimation of China’s exchange rate regime[J].Pacific Economic Review,2009,14(3):346-360.
[11]Frankel J A,Schmukler S,Serven L.Verifiability and the vanishing intermediate exchange rate regime[R].NBER Working Papers No.7901,2000.
[12]Frankel J A,Wei S J.Yen bloc or dollar bloc?Exchange rate policies of the East Asian economies[A].Ito T,Krueger A O.Macroeconomic linkage:Savings,exchange rates,and capital flows[C].Chicago:University of Chicago Press,1994.
[13]Frankel J A,Wei S J.Emerging currency blocs[A].Genberg H.The international monetary system:Its institutions and its future[C].Berlin:Springer,1995.
[14]Frankel J A,Wei S J.Assessing China’s exchange rate regime[J].Economic Policy,2007,22(51):575-627.
[15]Frankel J A,Wei S J.Estimation of de facto exchange rate regimes:Synthesis of the techniques for inferring flexibility and basket weights[J].IMF Staff Papers,2008,55(3):384-416.
[16]Frankel J A,Xie D.Estimation of de facto flexibility parameter and basket weights in evolving exchange rate regimes[J].American Economic Review,2010,100(2):568-572.
[17]Funke M,Gronwald M.The undisclosed Renminbi basket:Are the markets telling us something about where the Renminbi-US dollar exchange rate is going?[J].World Economy,2008,31(12):1581-1598.
[18]Hastie T,Tibshirani R.Varying-coefficient models[J].Journal of the Royal Statistical Society Series B,1993,55(4):757-796.
[19]Moosa I,Tony N,Li L.Exchange rate regime verification:Has China actually moved from a dollar peg to a basket peg?[J].Economia Internazionale,2009,62(1):41-67.
[20]Obstfeld M,Rogoff K.Exchange rate dynamics redux[J].Journal of Political Economy,1995,103(3):624-660.
[21]Ohno K.Exchange rate management in developing Asia[R].ADBI Working Paper No.1,1999.
[22]Shah A,Zeileis A,Patnaik I.What is the new Chinese currency regime?[EB/OL].http://www.mayin.org/ajayshah/PDFDOCS/SZP2005cny.pdf,2006.
[23]Stavarek D.Comparative analysis of the exchange market pressure in central European countries with the Euro zone membership perspective[R].MPRA Paper No.3906,2007.
[24]Sun J.Retrospect of the Chinese exchange rate regime after reform:Stylized facts during the period from 2005to 2010[J].China&World Economy,2010,18(6):19-35.
[25]Yamazaki K.Inside the currency basket[Z].Columbia University and Mitsubishi UFJ Trust and Banking Corp.,2006.
①Girton和Roper(1977)最早提出并界定了EMP指标,此后诸多学者如Eichengreen等(1996)、Kaminsky等(1998)、Stavarek(2007)以及Aizenman等(2010)从不同维度对EMP指标进行了拓展,集大成者见Weymark(1995,1997a,1997b,1998,1999)。
①具体推导过程见罗玉波(2011)。
①“美元+x”组合标准差standevit的计算公式为standevit=(ωusωxσusσxρus,x)1/2,其中ωus表示t时期美元的平均权重,ωx表示t时期货币x的平均权重,σus表示t时期美元汇率(用SDR来表示并取对数)的标准差,σx表示t时期货币x汇率的标准差,ρus,x表示美元与货币x汇率的相关系数。
①受篇幅限制,文中未报告稳健性检验结果,如有需要可向作者索取。
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陈奉先. 中国参照一篮子货币的汇率制度:理论框架与实证考察[J]. 财经研究, 2015, 41(2): 27–40.
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