匯率落後性過度調整與PPP在中國大陸的驗證

An Empirical Testing of PPP in China and a Delayed Over-Adjustment of the Forex Rate

10.6989/JN.201112.0345

王春源(Chun-Yuan Wang)；王昭偉(Zhao-Wei Wang)

匯率動態調整 ； 政策搭配 ； 貨幣政策衝擊 ； 結構VAR ； exchange rate dynamics ； monetary policy shocks ； policy assignment ； structural VAR

南亞學報

31期（2011 / 12 / 01）

345 - 364

繁體中文

本文重新檢驗Dombusch（1976）的匯率動態調整模型，構建了考慮央行外匯政策和貨幣政策之政策搭配的SVAR模型，并依據理論模型及經濟假設對SVAR給予長期約束條件。研究結果發現，中國自2005年7月匯改政策以來的管理浮動匯率期間，面對緊縮性的貨幣政策衝擊，央行會立即采取逆向干預來阻升，使匯率呈現調整滯後的現象。此外，我們還檢驗了貨幣政策衝擊對實際匯率波動在樣本長期與短期之下的相對解釋能力，結果發現隨著樣本期間的拉長，越大的信息集合越能體現貨幣衝擊對實際匯率波動的重要性。

This paper re-examines the exchange rate dynamics model of Dornbusch(1976), and sets up a structural VAR(SVAR) model which policy assignment including monetary policy and foreign exchange policy are incorporated, then we impose long-run identification restrictions according to the theoretical model and economic assumptions. We find that facing the impulse of the contractionary monetary policy, the monetary authorities will adopt a reversed intervention to prevent the appreciation effect, and this makes exchange rate delayed overshooting during the period of managed floating exchange rate system since Chinese exchange rate policy reform on 2005/07/21. In addition, we examine the relative explanatory ability of monetary policy shocks to real exchange rate under short-run and long-run sample periods, and find that monetary shocks may embody more its importance under larger information set as extending the sample period.