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| Title: | 中國實行人民幣國際化後之均衡匯率及 匯率形成機制探討
Equilibrium Exchange Rate and Exchange Rate Regime of RMB after China Implemented RMB Internationalization |
| Authors: | 朱虹潔 |
| Contributors: | 廖四郎
鄧中堅
朱虹潔 |
| Keywords: | 人民幣國際化
人民幣匯率
均衡匯率
一籃子貨幣
RMB internationalization
exchange rate
peg to a basket of currencies |
| Date: | 2016 |
| Issue Date: | 2016-07-01 15:00:36 (UTC+8) |
| Abstract: | ˼˶為因應全球金融海嘯及歐債危機之匯兌風險、歐美先進國家採行量化寬鬆貨幣政策所產生之外溢成本，以及經濟實力相對提升，2009年中國開始推動人民幣國際化。目前人民幣已成為全球第五大支付貨幣，且國際貨幣基金會(International Monetary Fund)在2015年10月31日宣布將人民幣納入特別提款權籃子(Special Drawing Right)，人民幣國際化進程十分迅速。
長期以來，人民幣被國際間普遍認為是低估的，本文使用購買力平價模型(Purchasing Power Parity)及有效匯率模型(Effective Exchange Rate)估算人民幣高低估程度，分析結果顯示人民幣匯率低估程度已有大幅改善，逐漸接近均衡匯率(Equilibrium Exchange Rate)。
另外，人民幣匯率形成機制也是國際間關注的議題，在2010年中國重啟人民幣匯改後，逐步放寬人民幣兌美元單邊波幅，且對外宣稱逐步與美元脫鉤，實行釘住一籃子貨幣的匯率形成機制。本文用中國人民銀行所發佈的CFETS人民幣匯率指數所公布的組成成分，將13種貨幣變動率對人民幣做回歸分析，推論中國目前採取『可調整的釘住一籃子』的匯率形成機制。若中國欲將人民幣推廣成為國際貨幣，勢必需推動匯率自由化，並降低人為操弄空間。
In response to exchange rate risks to the global financial crisis and European debt crisis, developed countries adopt quantitative easing monetary policy arising from the spillover costs, and the enhancing of the economic strength, in 2009, China began to implement the internationalization of the RMB. The RMB has become the world`s sixth-largest currency of payment. Besides, IMF (International Monetary Fund) announced the Yuan to be included in the SDR basket (Special Drawing Right) on October 31, 2015, RMB internationalization process is very fast.
For a long time, the Yuan’s value is regarded underestimated. This paper uses the PPP model (Purchasing Power Parity) and Effective Exchange Rate model to estimate the degree of undervaluation of Yuan. The analysis shows that the degree of undervaluation has been greatly improved, and gradually approaching the equilibrium exchange rate.
In addition, the RMB exchange rate regime is also a very important issue. After China restarted the RMB exchange rate reform in 2010, the volatility limitation of Yuan against the US dollar is gradually relaxed. China also announced that the exchange rate regime decoupled the US dollar peg to a basket of currencies. This paper uses CFETS RMB exchange rate index’s composition of the 13 kinds of currency rate on a regression analysis to the Yuan. We find out that China’s exchange rate regime is "adjustable peg to a basket". If China wants the Yuan to be an international currency, the exchange rate must be liberalized and the space of manipulation must be minimized. |
| Reference: | 【英文參考文獻】
Chen, H., & Peng, W. (2010). “The Potential of the Renminbi as an International Currency.” In Currency Internationalization: Global Experiences and Implications for the Renminbi (pp. 115-138). Palgrave Macmillan UK.
Chinn, M., & Frankel, J. A. (2007). “Will the Euro Eventually Surpass the Dollar as Leading International Reserve Currency?” In G7 Current Account Imbalances: Sustainability and Adjustment (pp. 283-338). University of Chicago Press.
Coudert, V. and C. Couharde (2007). “Real Equilibrium Exchange Rate in China: Is the Renminbi Undervalued?” Journal of Asian Economics, 18(4): 568-94.
Chou, W. L., & Shih, Y. C. (1998). “The Equilibrium Exchange Rate of the Chinese Renminbi.” Journal of Comparative Economics, 26(1), 165-174.
Fang, Y., Huang, S., & Niu, L. (2012). “De Facto Currency Baskets of China and East Asian Economies: The Rising Weights.” Available at SSRN 1999385.
Fidrmuc, J. (2010). “Time-Varying Exchange Rate Basket in China From 2005 to 2009.” Comparative Economic Studies, 52(4), 515-529.
Frankel, J. A., & Wei, S. J. (1994). “Yen Bloc or Dollar Bloc? Exchange Rate Policies of the East Asian Economies.” In Macroeconomic Linkage: Savings, Exchange Rates, and Capital Flows, NBER-EASE Volume 3, 295-333. University of Chicago Press.
Frankel, J. A., & Wei, S. J. (2007). “Assessing China`s Exchange Rate Regime.” Economic Policy, 22(51), 576-627.
Frankel, J. A., & Wei, S. J. (2008). “Estimation of De Facto Exchange Rate Regimes: Synthesis of the Techniques for Inferring Flexibility and Basket Weights.” National Bureau of Economic Research, No. w14016.
Goldstein, M., & Lardy, N. (2009). “The Future of China`s Exchange Rate Policy.” Peterson Institute.
Haldane, A. G., & Hall, S. G. (1991). “Sterling`s Relationship with the Dollar and the Deutschemark: 1976-89.” The Economic Journal, 101(406), 436-443.
Ito, T. (2010). “China as Number One: How About the Renminbi?”. Asian Economic Policy Review, 5(2), 249-276.
Moosa, I., Naughton, T., & Li, L. (2009). “Exchange Rate Regime Verification: Has China Actually Moved From a Dollar Peg to a Basket Peg?”. Economia Internazionale, 62(1), 41.
Ogawa, E., & Sakane, M. (2006). “Chinese Yuan after Chinese Exchange Rate System Reform.” China & World Economy, 14(6), 39-57.
Peng, T., Lee, M., & Gan, C. (2008). “Has the Chinese Currency been Undervalued?”. Journal of Chinese Economic and Business Studies, 6(1), 49-66.
【中文參考文獻】
1. 方穎、梁芳、牛霖琳 (2012)，人民幣匯率一籃子貨幣權重的內在形成機制–基於非參數時變係數的估計方法，世界經濟文匯，第3期，1-13。
2. 俞喬 (2000)，購買力平衡價、實質匯率與國際競爭力－關於測算我國加權實質滙率指數的理論方法，金融研究，第1期，57-62。
3. 高海紅，余永定 (2010)，人民幣國際化的含義與條件，國際經濟評論，(1)，46-64。
4. 黃志典 (2015)，人民幣國際化之貿易與金融條件分析，遠景基金會季刊，16(2)，145-204。
5. 黃志典 (2013)，誰在乎人民幣?，中國大陸研究，56(4)，67-96。
6. 黃志典 (2016)，以參考一籃子貨幣為名，台大管理論叢，即刊(TSSCI)。
7. 張禮卿 (2016)，人民幣國際化面臨的挑戰與對策，金融論壇，21(3)，3-8。 |
| Description: | 碩士
國立政治大學
金融學系
103352006 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103352006 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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