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中南大学学报(社会科学版)
ZHONGNAN DAXUE XUEBAO(SHEHUI KEXUE BAN)

2010年06月第16卷第3期
   
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文章编号:1672-3104(2010)03-0084-07
 
人民币实际有效汇率的短期偏离
——基于一般动态均衡模型的估计
 
李鑫1,朱龙飞1,邓淇中1, 2
 
(1. 武汉大学经济与管理学院,湖北武汉,430072;2. 湖南科技大学管理学院,湖南湘潭,411201)
 
摘  要: 基于凯恩斯主义的基本分析框架,构建了附加预期的短期动态宏观经济结构模型,并以1994年第一季度到2008年第四季度的人民币实际有效汇率指数等为数据样本,在充分考虑数据生成过程和模型的经济理论含义的基础上,使用广义矩的方法对简单的宏观经济结构模型进行估计。实证结果证明预期对于经济系统具有重要影响,大部分季度里人民币实际有效汇率偏离小于2%,而2008年实际有效汇率升值速度太快,这与目前的衰退经济是不相适应的。因此,政府应该采取降息和增加货币供给的政策。
 
关键词: 人民币实际有效汇率;结构方程模型;一般均衡;广义矩估计
 
 
Short-run misalignment of RMB real effective exchange rate:

estimation based on general dynamic equilibrium models

 
LI Xin1, ZHU Longfei1, DENG Qizhong1, 2
 
(1. Economics and Management School, Wuhan University, Wuhan 430072, China;
2. Management of school, Hunan University of Science and Technology, Xiangtan 411201, China)
 
Abstract: Based on the framework of Keynesianism, this paper constructs a structured model of short-run dynamic macroeconomics with expectations. It takes the series including RMB real effective exchange rate from the first season of 1994 to the fourth season of 2008 as the samples, and applies the econometrical method of GMM to estimate the model with full consideration of data generating process and economic and theatrical connotation. The empirical research proves that expectations plays a significant role in the economy, and in most of seasons misalignment of RMB real effective exchange rate is less than 2% and the velocity of appreciation is too faster, which is not suitable for the current economic recession. Therefore, the government should take the policy to decrease the interest rate and increase the monetary supply.
 
Key words: RMB real effective exchange rate; structured equations model; general equilibrium; GMM
 
 
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