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題名：以參考一籃子貨幣為名：人民幣匯率機制之驗證
書刊名：臺大管理論叢
作者：黃志典 引用關係
作者(外文)：Hwang, Jyh-dean
出版日期：2017
卷期：27:2
頁次：頁57-95
主題關鍵詞：人民幣匯率決定機制；狀態空間模型；爬行釘住美元；Renminbi exchange rate regime；State space model；Discretionary crawling peg to the US dollar
原始連結：連回原系統網址new window
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本文使用「狀態空間模型」（State Space Model）並完整納入中國人民銀行行長周小川揭露的11種貨幣，研究中國實施匯率機制改革以後的人民幣匯率機制。不論是使用月資料或是日資料，使用瑞士法郎、美元或是特別提款權作為計價標準，使用固定係數模型或是狀態空間模型，本文分析結果都顯示，人民幣通貨籃內的貨幣基本上只有美元。基於此一發現，加上匯改以來，人民幣對美元匯率在多數時間是以緩慢但不一致的速度爬升，而且人民幣對美元匯率的浮動程度一直相當低，我們推論中國實施的其實是「權衡式的爬行釘住美元」（Discretionary Crawling Peg to the US Dollar）機制。換言之，中國是以參考一籃子貨幣為名，行人民幣釘住美元之實。就中國面臨的經濟情勢來看，「權衡式的爬行釘住美元」機制應該是最佳選擇。基於中國經濟改革長期以來所遵循的漸進主義精神，可以預見中國實施自由浮動匯率機制，或只是實施有實質意涵的管理浮動匯率制度，應該還需要相當時間。
This paper uses state space modeling to investigate the evolution of China's exchange rate regime after the announced shift to a managed floating exchange rate regime with reference to a basket of currencies in July 2005, considering all the 11 currencies disclosed by Governor Zhou Xiaochuan of the People's Bank of China as component currencies of the RMB basket. Invariant to the choices of the numeraire and the frequency of data used for investigation, we find that the RMB basket is essentially a one currency basket of the US dollar. In view of this finding and the facts that the exchange rate of USD/RMB has been crawling upward in an on-and-off manner and at a slow yet erratic rate after the regime shift, China's new exchange rate regime can best be characterized as a discretionary crawling peg to the US dollar. This regime seems to be the optimal and logical choice for China. Since China has been generally following a gradualist approach in economic reform, and the RMB exchange rate regime greatly affects China's macroeconomic stability, economic growth, and employment; China probably will not soon adopt a managed floating exchange rate regime, let alone a freely floating exchange rate regime.
期刊論文
1.Goldstein, Morris(2006)。Renminbi Controversies。Cato Journal，26(2)，251-266。  new window
2.黃志典(20131200)。誰在乎人民幣？。中國大陸研究，56(4)，67-96。new window  延伸查詢new window
3.Subramanian, Arvind、Kessler, Martin(2013)。The Renminbi Bloc Is Here: Asia Down, Rest of the World to Go?。Journal of Globalization and Development，4(1)，49-94。  new window
4.Roubini, Nouriel(2007)。Why China Should Abandon Its Dollar Peg。International Finance，10(1)，71-89。  new window
5.Ito, Takatoshi(2010)。China as Number One: How about the Renminbi?。Asian Economic Policy Review，5(2)，249-276。  new window
6.Frankel, J. A.、Wei, S. J.(2007)。Assessing China's exchange rate regime。Economic Policy，22(51)，575-627。  new window
7.Frankel, J. A.、Wei, S. J.(2008)。Estimation of de facto exchange rate regimes: Synthesis of the techniques for inferring flexibility and basket weights。IMF Staff Papers，55(3)，384-416。  new window
8.McKinnon, R.(2007)。Why China should keep its Dollar peg。International Finance，10(1)，43-70。  new window
9.Ma, G.、McCauley, R. N.(2011)。The evolving renminbi regime and implications for Asian currency stability。Journal of the Japanese and International Economies，25(1)，23-38。  new window
10.Frankel, J. A.(2009)。New estimation of China's exchange rate regime。Pacific Economic Review，14(3)，346-360。  new window
11.McKinnon, R. I.、Schnabl, G.(2004)。The East Asian Dollar Standard, Fear of Floating, and Original Sin。Review of Development Economics，8(3)，331-360。  new window
12.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，2012(3)，1-13。  延伸查詢new window
13.Bénassy-Quéré, A.、Coeuré, B.、Mignon, V.(2006)。On the identification of de facto currency pegs。Journal of Japanese and International Economies，20(1)，112-127。  new window
14.Cheung, Y. W.、Chinn, M. D.、Fuiji, E.(2007)。The overvaluation of renminbi undervaluation。Journal of International Money and Finance，26(5)，762-785。  new window
15.Fidrmuc, J.(2010)。Time-varying exchange rate basket in China from 2005 to 2009。Comparative Economic Studies，52(4)，515-529。  new window
16.Fratzscher, M.、Mehl, A.(2014)。China's dominance hypothesis and the emergence of a tri-polar global currency system。The Economic Journal，124(581)，1343-1370。  new window
17.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。  new window
18.Moosa, I.、Naughton, A.、Li, L.(2009)。Exchange rate regime verification: Has China actually moved from a dollar peg to a basket peg?。Economia Internazionale，62(1)，41-67。  new window
19.Ogawa, E.、Sakane, M.(2006)。Chinese yuan after Chinese exchange rate system reform。China & World Economy，14(6)，39-57。  new window
20.Peng, T.、Lee, M.、Gan, C.(2008)。Has the Chinese currency been undervalued?。Journal of Chinese Economic and Business Studies，6(1)，49-66。  new window
21.Thorbecke, W.、Smith, G.(2006)。How would an appreciation of the renminbi and other East Asian currencies affect China's exports?。Review of International Economics，18(1)，95-108。  new window
22.Newey, Whitney K.、West, Kenneth D.(1987)。A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix。Econometrica，55(3)，703-708。  new window
研究報告
1.Yamazaki, K.(2006)。Inside the currency basket。  new window
2.Cheung, Y. W.、Chinn, M. D.、Fuiji, E.(2009)。China's current account and exchange rate。Cambridge, MA：National Bureau Economic Research。  new window
3.Fang, Y.、Huang, S.、Niu, L.(2012)。De facto currency baskets of China and East Asian economies: The rising weights。Helsinki：Bank of Finland, Institute for Economies in Transition。  new window
4.Shah, A.、Zeileis, A.、Patnaik, I.(2005)。What is the new Chinese currency regime?。Vienna：WU Vienna University of Economics and Business, Department of Statistics and Mathematics。  new window
圖書
1.Goldstein, M.、Lardy, N. R.(2009)。The Future of China's Exchange Rate Policy。Washington, DC：Peterson Institute for International Economics。  new window
2.International Monetary Fund(2010)。Review of the method of valuation of the SDR。Washington, DC：International Monetary Fund。  new window
3.Judge, George G.、Hill, R. Carter、Griffiths, William E.、Lutkepohl, Helmut、Lee, Tsoung-Chao(1982)。Introduction to the Theory and Practice of Econometrics。John Wiley and Sons。  new window
其他
1.Chen, H.，Peng, W.，Shu, C.(2009)。The potential of the renminbi as an international currency，https://www.bis.org/repofficepubl/arpresearch200903.06.pdf。  new window
2.International Monetary Fund(2010)。Currency amounts in new Special Drawing Rights(SDR) basket，http://www.imf.org/external/np/tre/sdr/sdrbasket.htm。  new window
圖書論文
1.Frankel, J. A.、Wei, S. J.(1994)。Yen bloc or dollar bloc? Exchange rate policies of the East Asian economies。Macroeconomic Linkage: Savings, Exchange Rates and Capital Flows。Chicago, IL：University of Chicago Press。  new window
 
 
 
 
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