中央银行最优目标下的均衡汇率区间研究
——基于资本项目开放度约束

商业研究

中央银行最优目标下的均衡汇率区间研究 ——基于资本项目开放度约束

蔚立柱1,2，赵越强1,2，陆长荣3

（1. 复旦大学应用经济学博士后流动站，上海 200433；2.中国外汇交易中心，上海 200000；3.同济大学外国语学院，上海 200092)

收稿日期:2020-04-20 出版日期:2020-07-20
作者简介:蔚立柱（1989-），男，山东济宁人，复旦大学应用经济学博士后流动站/中国外汇交易中心联合培养博士后，经济学博士，研究方向：国际金融、货币银行、银行间市场；赵越强（1989-），男，山东枣庄人，复旦大学应用经济学博士后流动站/中国外汇交易中心联合培养博士后，管理学博士，研究方向：金融工程、数字货币；陆长荣（1985-），男，上海人，同济大学外国语学院副教授，研究方向：东亚金融合作、货币国际化问题。

Research on the Equilibrium Exchange Rate Range under Optimal Target of the Central Bank:Based on the Restriction of Capital Account Openness

WEI Li-zhu1,2,ZHAO Yue-qiang1,2,LU Chang-rong3

(1. Applied Economics Postdoctoral Mobile Station,Fudan University,Shanghai 200433,China; 2. China Foreign Exchange Trading Center, Shanghai 200000,China; 3. School of Foreign Languages, Tongji University, Shanghai 200092,China)

Received:2020-04-20 Online:2020-07-20

摘要/Abstract

摘要： 合理的均衡汇率不仅要考虑基本面的因素，更要与中央银行的货币政策最优目标相一致。基于开放经济模型，本文引入资本项目开放度的约束，在最优化中央银行福利函数的基础上得到人民币均衡汇率表达关系式。由于中央银行在通货膨胀目标与经济增长目标权重分配的外生性，合理的均衡汇率将以区间的形式存在。通过分析1999.3-2019.9的实际有效汇率与均衡汇率区间，发现：（1）中央银行货币政策目标权重的分配影响均衡汇率区间的边界；（2）滞后的资本项目开放导致汇率失衡，且不会被“汇改”和货币政策目标权重变化扭转；（3）过早的资本项目开放也会导致汇率失衡，但随着经济基本面增长和汇率制度完善，汇率逐渐向均衡汇率区间均值处收敛；（4）资本项目渐进式开放既有助于汇率合理均衡，也有助于提高央行货币政策目标调控区间和自主性。

关键词: 中央银行, 均衡汇率区间, 资本项目开放, 货币政策函数

Abstract: At present, the reasonable equilibrium exchange rate should not only consider the basic factors, but also be consistent with the optimal target of monetary policy of the central bank. Based on ball′s (1999) open economy model, this paper introduces the constraint of capital account openness, and obtains the expression of RMB equilibrium exchange rate on the basis of optimizing the central bank′s welfare function. Due to the externality of the central bank′s weight distribution between inflation target and economic growth target, a reasonable equilibrium exchange rate will exist in the form of interval. Based on the analysis of the real effective exchange rate and equilibrium exchange rate range from March 1999 to September 2019, it is found that: (1)the allocation of the central bank′s monetary policy target weight affects the boundary of the equilibrium exchange rate range; (2) the lagging capital account opening leads to the exchange rate imbalance and will not be reversed by the “exchange rate reform” and the change of monetary policy target weight; (3) the early capital account openness will also lead to the exchange rate loss,however, with the growth of economic fundamentals and the improvement of exchange rate system, the exchange rate gradually converges to the average value of the equilibrium exchange rate range; (4) the gradual openness of capital account is not only conducive to the reasonable balance of exchange rate, but also to the improvement of the target control range and autonomy of monetary policy of the central bank.

Key words: central bank, equilibrium exchange rate range, capital account openness, monetary policy function

蔚立柱1,2，赵越强1,2，陆长荣3. 中央银行最优目标下的均衡汇率区间研究 ——基于资本项目开放度约束[J]. 商业研究.

WEI Li-zhu1,2,ZHAO Yue-qiang1,2,LU Chang-rong3. Research on the Equilibrium Exchange Rate Range under Optimal Target of the Central Bank:Based on the Restriction of Capital Account Openness[J]. 商业研究.

参考文献

［1］Ball,L.M. Policy Rules For Open Economies［D］．Research Discussion Paper, Reserve Bank of Australia,1998, No. 9806. ［2］Clark, P.B., MacDonald, R. Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs［R］．IMF Working Paper,1998, No.67. ［3］Cline W R, Williamson J H. Estimates of Fundamental Equilibrium Exchange Rates, May 2012［J］．Policy Briefs, 2012,2(4):381-383. ［4］Congress of the Australian and New Zealand Association for the Advancement of Science, Melbourne,1963. ［5］Coudert V, Couharde C. Real equilibrium exchange rate in China is the renminbi undervalued?［J］．Journal of Asian Economics, 2007, 18(4):568-594. ［6］Edwards, S. Real Exchange Rates in Developing Countries: Concepts and Measurement［R］．NBER Working Paper,1989,No.2950. ［7］Engel, C.,Exchange Rate Policies［R］．Federal Reserve Bank of Dallas,2009. ［8］Hu, Chen. Renminbi already overappreciated:Evidence from FEERs(1994-2008)［J］．China Economist, 2010(3):64-78. ［9］Keynes,J.M. A Tract on Monetary Reform［M］．as reprinted in J.M. Keynes, Collected Writinzs London: Macmillan, 1924(4). ［10］Michael Funke, Jrg Rahn. Just How Undervalued is the Chinese Renminbi?［J］．World Economy,2005，28(4):465-489. ［11］Nurkes,R. Conditions of International Monetary Equilibrium［J］．Reading in the Theory of International Trade,1945(5):3-34. ［12］Swan. Longer-Run Problems of the Balance of Payments［R］．Paper Presented to Section G of the Congress of the Australian and New Zealand Association for the Advancement of Science, Melbourne,1963. ［13］Williamson. The Exchange Rate System ［M］．Institute for International Economics, MIT Press, 1983. ［14］董志勇, Luo R, 刘莎莎. 基准均衡汇率方法框架下的人民币均衡汇率研究［J］．哈尔滨商业大学学报(自然科学版), 2006, 22(3):104-107. ［15］傅强, 孙章杰.央行最优目标、资本管制与均衡汇率［J］．经济科学,2012(6):59-67. ［16］姜波克, 李天栋.人民币均衡汇率理论的新视角及其意义［J］．国际金融研究,2006(4):60-66. ［17］姜波克. 均衡汇率理论和政策的新框架［J］．中国社会科学, 2006(1):16-23,206. ［18］孙茂辉.人民币自然均衡实际汇率:1978—2004［J］．经济研究,2006(11):92-101. ［19］孙勇, 彭国富. 人民币汇率合理波动区间统计研究［J］．统计与管理, 2012(2):98-102. ［20］王松奇, 史文胜.论汇率的决定机制、波动区间与政策搭配［J］．财贸经济,2007(4):52-60. ［21］姚宇惠, 王育森.人民币均衡汇率的再研究:1998-2015［J］．国际金融研究,2016(12):23-32. ［22］张晓京.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［J］．商业研究，2018(1):71-78.