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題名 中國長期實質匯率之研究
A Study on the Long-Run Real Exchange Rate in China
作者 郭欣宜
貢獻者 朱美麗
郭欣宜
關鍵詞 人民幣
實質匯率
相對生產力
Renminbi
Real exchange rate
Relative productivity
日期 2006
上傳時間 14-Sep-2009 13:29:35 (UTC+8)
摘要 中國在世界貿易舞台上所扮演的角色日益重要,人民幣的均衡水準成為十分熱門的議題。本文為貿易財與非貿易財部門的相對生產力找尋新的代理變數來檢視Balassa-Samuelson效果,以解決中國物價指數因受政府控制而難以反映實際生產力的問題。此外,亦將對人民幣匯率的預期引進實證模型中,以量化分析來探討人民幣是否具有自我實現的行為。本文實證結果顯示人民幣均衡匯率與相對生產力、貿易開放程度、熱錢數目間有長期關係。貿易財與非貿易財相對生產力與熱錢數目的上升可能帶動人民幣升值;貿易開放程度則與均衡匯率呈反向關係。
As China plays an important role in the world economy, the research on the real exchange rate in China has received a lot of attention. This study chiefly contributes to adopt a more reliable proxy different from previous studies to capture the Balassa-Samuelson effect; in addition, we formerly introduce the expectation of Renminbi into the empirical model. This paper empirically investigates the behavior of the real exchange rate in China during the period from 1980 to 2005. Particularly, we provide a single-equation in an empirical framework which takes the specific features and characteristics in China economy into account. The empirical evidence shows that the degree of openness, the volume of hot money, and the relative productivity of traded to nontraded sectors are key factors to the determination of the long-run equilibrium real exchange rate in China. Both the increases in the relative productivity and an anticipated appreciation in the real exchange rate eventually may lead to a real appreciation in the currency. In contrast, the influence for opening up to the world economy is that the real exchange rate may depreciate.
參考文獻 Baffes, J., I. A. Elbadawi and S. A. O’Connell, 1999, “Single-Equation Estimation of the Equilibrium Real Exchange Rate” in Exchange Rate Misalignment: Concepts and Measurement for Developing Countries ed. by Lawrence E. Hinkle and Peter J. Montiel, New York: The World Bank, 405-464.
Balassa, B., 1990, “Incentive policies and export performance in sub-Saharan Africa”, World Development, 18,383-391.
Chinn, M.D. 1998, “Before the Fall: Were East Asian Currencies Overvalued?” NBER Working Paper, No.6491.
Chou, W.L. and Y.C. Shih, 1998, “The Equilibrium Exchange Rate of the Chinese Renminbi”, Journal of Comparative Economics, 26, 165-174.
Clark, P. B. and R. MacDonald, 2000, “Filtering the BEER: A Permanent and Transitory Decomposition,” IMF Working Paper, No. 144.
Coudert, V. and C. Couharde, 2005, “Real Equilibrium Exchange Rate in China,” CEPII Working Paper, No.1.
Dickey, D.A. and W. A. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, 49, 1057-1072.
Dollar, D., 1992, “Outward-Oriented Developing Economies Really Do Grow More Rapidly: Evidence from 95 LDCs, 1976-1985,” Economic Development and Cultural Change, 40, 523-544.
Dornbusch, R., 1974, “Tariffs and Nontraded Goods,” Journal of International Economics, 4, 177-185.
Dunaway, S., L. Leigh and X. Li., 2006, “How Robust are Estimates of Equilibrium Real Exchange Rates: The Case of China,” IMF Working Paper, No. 220.
Edwards, S., 1989, “Exchange Rate Misalignment in Developing Countries,” World Bank Research Observer, 4, 3-21.
Elbadawi, I. A., 1994,”Estimating Long-Run Equilibrium Real Exchange Rates,” in Estimating Equilibrium Exchange Rates ed. by John Williamson, Washington, D.C.: Institute for International Economics.
Gonzalo, J., 1994, “Five Alternative Methods of Estimating Long-run Equilibrium Relationships,” Journal of Econometrics, 60, 203-233.
Johansen, S., 1988, “Statistical Analysis of Cointegation Vectors,” Journal of Economic Dynamics and Control, 12, 231-254.
Johansen, S. and K. Juselius, 1990, “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52, 169-220.
Lane, P. R., and G. M. Milesi-Ferretti, 2000, “The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates,” IMF Working Paper, No. 123.
Phillips, P., and P. Perron, 1988, “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 335-346.
Quirk, P. J., B. V. Christensen, K. M. Huh, and T. Sasaki, 1987, Floating Exchange Rates in Developing Countries: Experience with Auction and Interbank Markets, IMF Occasional Paper 53.
Tsaur, T. W., C. L. Lin, and M. L. Chu, 1999, “The Tests of Purchasing Power Parity in Taiwan”, in Taiwan Economics Association Annual Conference: Proceedings, Taiwan Economics Association, (in Chinese).
Tung, C. Y., 2005, “The International Political and Economic Analysis of Renminbi Exchange Rate”, in Academic Conference: Awareness of Raising China, Institution of National Development, (in Chinese).
Wang, T., 2004 “Exchange Rate Dynamics,” in China’s Growth and Integration into the World Economy: Prospects and Challenges, IMF Occasional Paper 232 ed. by Esward Prasad, 21-28.
Wang, T., 2005 “Sources of Real Exchange Rate Fluctuations in China,” Journal of Comparative Economics, 33,753-771.
Williamson, J., 1985, The Exchange Rate System, 2nd ed., Washington, D.C.: Institute for International Economics.
Zhang, B., 2003 “Equilibrium Exchange Rate of Renminbi: An Empirical Study using Single Equation of Simple General Equilibrium Model,” World Economics, 11, 3-12, (in Chinese).
Zhang, Z., 2001 “Real Exchange Rate Misalignment in China: An Empirical Investigation,” Journal of Comparative Economics, 29, 80-94.
描述 碩士
國立政治大學
經濟研究所
94258024
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094258024
資料類型 thesis
dc.contributor.advisor 朱美麗zh_TW
dc.contributor.author (Authors) 郭欣宜zh_TW
dc.creator (作者) 郭欣宜zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 14-Sep-2009 13:29:35 (UTC+8)-
dc.date.available 14-Sep-2009 13:29:35 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 13:29:35 (UTC+8)-
dc.identifier (Other Identifiers) G0094258024en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/32243-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟研究所zh_TW
dc.description (描述) 94258024zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) 中國在世界貿易舞台上所扮演的角色日益重要,人民幣的均衡水準成為十分熱門的議題。本文為貿易財與非貿易財部門的相對生產力找尋新的代理變數來檢視Balassa-Samuelson效果,以解決中國物價指數因受政府控制而難以反映實際生產力的問題。此外,亦將對人民幣匯率的預期引進實證模型中,以量化分析來探討人民幣是否具有自我實現的行為。本文實證結果顯示人民幣均衡匯率與相對生產力、貿易開放程度、熱錢數目間有長期關係。貿易財與非貿易財相對生產力與熱錢數目的上升可能帶動人民幣升值;貿易開放程度則與均衡匯率呈反向關係。zh_TW
dc.description.abstract (摘要) As China plays an important role in the world economy, the research on the real exchange rate in China has received a lot of attention. This study chiefly contributes to adopt a more reliable proxy different from previous studies to capture the Balassa-Samuelson effect; in addition, we formerly introduce the expectation of Renminbi into the empirical model. This paper empirically investigates the behavior of the real exchange rate in China during the period from 1980 to 2005. Particularly, we provide a single-equation in an empirical framework which takes the specific features and characteristics in China economy into account. The empirical evidence shows that the degree of openness, the volume of hot money, and the relative productivity of traded to nontraded sectors are key factors to the determination of the long-run equilibrium real exchange rate in China. Both the increases in the relative productivity and an anticipated appreciation in the real exchange rate eventually may lead to a real appreciation in the currency. In contrast, the influence for opening up to the world economy is that the real exchange rate may depreciate.en_US
dc.description.tableofcontents Chapter 1 Introduction 1
     Chapter 2 Literature Review 4
     Chapter 3 The Model 9
      3.1 The Behavior Equilibrium Exchange Rate 9
      3.2 The Model 10
     Chapter 4 Empirical Analysis 14
      4.1 Definition of Variables 14
      4.2 Empirical Studies on Renminbi 18
     Chapter 5 Conclusion 23
     Appendix A 25
     References 27
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094258024en_US
dc.subject (關鍵詞) 人民幣zh_TW
dc.subject (關鍵詞) 實質匯率zh_TW
dc.subject (關鍵詞) 相對生產力zh_TW
dc.subject (關鍵詞) Renminbien_US
dc.subject (關鍵詞) Real exchange rateen_US
dc.subject (關鍵詞) Relative productivityen_US
dc.title (題名) 中國長期實質匯率之研究zh_TW
dc.title (題名) A Study on the Long-Run Real Exchange Rate in Chinaen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Baffes, J., I. A. Elbadawi and S. A. O’Connell, 1999, “Single-Equation Estimation of the Equilibrium Real Exchange Rate” in Exchange Rate Misalignment: Concepts and Measurement for Developing Countries ed. by Lawrence E. Hinkle and Peter J. Montiel, New York: The World Bank, 405-464.zh_TW
dc.relation.reference (參考文獻) Balassa, B., 1990, “Incentive policies and export performance in sub-Saharan Africa”, World Development, 18,383-391.zh_TW
dc.relation.reference (參考文獻) Chinn, M.D. 1998, “Before the Fall: Were East Asian Currencies Overvalued?” NBER Working Paper, No.6491.zh_TW
dc.relation.reference (參考文獻) Chou, W.L. and Y.C. Shih, 1998, “The Equilibrium Exchange Rate of the Chinese Renminbi”, Journal of Comparative Economics, 26, 165-174.zh_TW
dc.relation.reference (參考文獻) Clark, P. B. and R. MacDonald, 2000, “Filtering the BEER: A Permanent and Transitory Decomposition,” IMF Working Paper, No. 144.zh_TW
dc.relation.reference (參考文獻) Coudert, V. and C. Couharde, 2005, “Real Equilibrium Exchange Rate in China,” CEPII Working Paper, No.1.zh_TW
dc.relation.reference (參考文獻) Dickey, D.A. and W. A. Fuller, 1981, “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, 49, 1057-1072.zh_TW
dc.relation.reference (參考文獻) Dollar, D., 1992, “Outward-Oriented Developing Economies Really Do Grow More Rapidly: Evidence from 95 LDCs, 1976-1985,” Economic Development and Cultural Change, 40, 523-544.zh_TW
dc.relation.reference (參考文獻) Dornbusch, R., 1974, “Tariffs and Nontraded Goods,” Journal of International Economics, 4, 177-185.zh_TW
dc.relation.reference (參考文獻) Dunaway, S., L. Leigh and X. Li., 2006, “How Robust are Estimates of Equilibrium Real Exchange Rates: The Case of China,” IMF Working Paper, No. 220.zh_TW
dc.relation.reference (參考文獻) Edwards, S., 1989, “Exchange Rate Misalignment in Developing Countries,” World Bank Research Observer, 4, 3-21.zh_TW
dc.relation.reference (參考文獻) Elbadawi, I. A., 1994,”Estimating Long-Run Equilibrium Real Exchange Rates,” in Estimating Equilibrium Exchange Rates ed. by John Williamson, Washington, D.C.: Institute for International Economics.zh_TW
dc.relation.reference (參考文獻) Gonzalo, J., 1994, “Five Alternative Methods of Estimating Long-run Equilibrium Relationships,” Journal of Econometrics, 60, 203-233.zh_TW
dc.relation.reference (參考文獻) Johansen, S., 1988, “Statistical Analysis of Cointegation Vectors,” Journal of Economic Dynamics and Control, 12, 231-254.zh_TW
dc.relation.reference (參考文獻) Johansen, S. and K. Juselius, 1990, “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, 52, 169-220.zh_TW
dc.relation.reference (參考文獻) Lane, P. R., and G. M. Milesi-Ferretti, 2000, “The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates,” IMF Working Paper, No. 123.zh_TW
dc.relation.reference (參考文獻) Phillips, P., and P. Perron, 1988, “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, 335-346.zh_TW
dc.relation.reference (參考文獻) Quirk, P. J., B. V. Christensen, K. M. Huh, and T. Sasaki, 1987, Floating Exchange Rates in Developing Countries: Experience with Auction and Interbank Markets, IMF Occasional Paper 53.zh_TW
dc.relation.reference (參考文獻) Tsaur, T. W., C. L. Lin, and M. L. Chu, 1999, “The Tests of Purchasing Power Parity in Taiwan”, in Taiwan Economics Association Annual Conference: Proceedings, Taiwan Economics Association, (in Chinese).zh_TW
dc.relation.reference (參考文獻) Tung, C. Y., 2005, “The International Political and Economic Analysis of Renminbi Exchange Rate”, in Academic Conference: Awareness of Raising China, Institution of National Development, (in Chinese).zh_TW
dc.relation.reference (參考文獻) Wang, T., 2004 “Exchange Rate Dynamics,” in China’s Growth and Integration into the World Economy: Prospects and Challenges, IMF Occasional Paper 232 ed. by Esward Prasad, 21-28.zh_TW
dc.relation.reference (參考文獻) Wang, T., 2005 “Sources of Real Exchange Rate Fluctuations in China,” Journal of Comparative Economics, 33,753-771.zh_TW
dc.relation.reference (參考文獻) Williamson, J., 1985, The Exchange Rate System, 2nd ed., Washington, D.C.: Institute for International Economics.zh_TW
dc.relation.reference (參考文獻) Zhang, B., 2003 “Equilibrium Exchange Rate of Renminbi: An Empirical Study using Single Equation of Simple General Equilibrium Model,” World Economics, 11, 3-12, (in Chinese).zh_TW
dc.relation.reference (參考文獻) Zhang, Z., 2001 “Real Exchange Rate Misalignment in China: An Empirical Investigation,” Journal of Comparative Economics, 29, 80-94.zh_TW