중국 위안화의 균형환율에 관한 실증연구

Abstract

With the acceleration of the process of global economic integration, the exchange rate has played an important role in promoting the development of the national economy. The concept of equilibrium exchange rate provides an important theoretical basis of judging whether the exchange rate is in the right range. In this thesis RMB equilibrium real exchange rate is estimated and compared with the market exchange rate, and then the issue of whether or not to adjust the exchange rate is discussed. Determining how to adjust the exchange rate is of great practical significance to make a balanced judgment so as for the exchange rate system to serve the macroeconomic targets. Four different equilibrium exchange rate models are employed : the trade balance equilibrium exchange rate, the fundamental equilibrium exchange rate (FEER), the behavioral equilibrium exchange rate (BEER) and the state-space model. Since most of the variables used for the analysis are non-stationary, Johansen cointegration test is used for the estimation. Both nominal and real equilibrium exchange rates are estimated and compared with data to find out whether the RMB is over-valued or under-valued. The results of the estimation indicate that different methods bring out different results. The trade balance equilibrium model and the FEER show that the RMB real and nominal equilibrium exchange rate is under-valued. However, the BEER and the state-space model suggest the RMB is in over-valuation. So the best way of reforming the RMB exchange rate regime is to let the market decide the equilibrium exchange rate.