| Since the reform and opening up,internal and external equilibrium contradictions or conflicts have been plaguing China's economic growth.Especially since the beginning of the 21 st century,with the improvement of China's openness to the outside world,internal and external equilibrium contradictions or conflicts have become more and more serious,and the trade surplus has continued to expand.Even by 2017,China's trade surplus has reached a peak of US$370 billion.The huge trade surplus has made the RMB exchange rate more and more concerned by the international community.Western countries,especially the United States,generally believe that the main reason for the expansion of China's trade surplus is that the RMB exchange rate is artificially undervalued.This has made the renminbi maintain an undue advantage in trade with the West in China,and the international community's call for appreciation of the renminbi has continued to grow.As an important link between the domestic economy and the foreign economy,the exchange rate is a key variable to resolve the internal and external equilibrium contradictions and balance the internal and external economy.Therefore,it is necessary to study the factors that determine the change of the real exchange rate of the RMB from a balanced perspective.In recent years,frequent two-way fluctuations in the RMB exchange rate have had a serious impact on the domestic and foreign economies.Therefore,in-depth discussion of the causes and laws of RMB exchange rate fluctuations is not only conducive to the public to take corrective actions in time to avoid exchange rate risks,but also beneficial to the monetary authorities.Appropriate policies stabilize the RMB exchange rate.In view of this,this paper examines the main reasons for the fluctuation of the RMB exchange rate in different periods from the perspectives of currency shock and output shock.In addition,the stability of the exchange rate plays an irreplaceable role in the process of expanding exports and increasing employment to stimulate economic growth.The volatility of the RMB exchange rate will inevitably have a certain impact on China's economy and will also affect the operation and implementation of the central bank's monetary policy.Therefore,based on the study of the economic effects of exchange rates at home and abroad,this paper studies the economic effects of RMB real exchange rate fluctuations or fluctuations from the perspectives of real economy,virtual economy and monetary policy effectiveness.Firstly,based on an EERM model with both capital market characteristics and balance of payments characteristics,the determinants of equilibrium exchange rate are derived from the three aspects of domestic expected price level,foreign expected price level and expected real exchange rate,through a time-varying co-integration model.Calculate the real equilibrium exchange rate of the RMB and the degree of exchange rate misalignment,analyze the main reasons for the real exchange rate fluctuations of the RMB in different periods,and explore the dynamic co-integration relationship between the economic fundamentals and the RMB equilibrium real exchange rate,from the policy factors and non-policy factors.Investigate the long-term dynamic decision of the RMB equilibrium real exchange rate.The results show that before the exchange reform in 2005,the non-policy factors such as the relative price of non-traded goods and trade goods,terms of trade,trade freedom and other non-policy factors have gradually weakened the long-term dynamics of the RMB equilibrium real exchange rate.During the period 2005-2008,net external assets The level of the long-term dynamic determination of the RMB real exchange rate is enhanced,but the relative price of non-traded goods and traded goods and the long-term dynamics of the terms of trade on the RMB equilibrium real exchange rate are weakened.After the global financial crisis,policy factors such as money supply and government expenditure The long-term dynamic determination of the real exchange rate with the RMB is strengthened.Until 2016,the non-policy factors such as the relative prices of non-tradable and tradable goods,terms of trade and net foreign assets have a stronger role in determining the long-term dynamics of the RMB equilibrium real exchange rate.In addition,based on the TVP-SV-VAR model,the short-term dynamic impact characteristics of the economic fundamentals on the RMB equilibrium real exchange rate are captured.The results show that the impact of the economic fundamentals on the RMB equilibrium real exchange rate has significant time-varying characteristics,under the fixed exchange rate system.The dynamic impact of non-policy factors such as terms of trade and trade freedom on the equilibrium real exchange rate of the RMB is more obvious.After adopting a managed floating exchange rate system,the impact of policy factors such as money supply and government expenditure on the RMB real exchange rate is stronger.Secondly,based on the theoretical discussion of the transmission mechanism of currency shock and output shock on real exchange rate fluctuations,the STAR model is used to empirically examine the fluctuation of real exchange rate of RMB under different impact directions,impact intensity and exchange rate fluctuations.The result shows that the impact of monetary policy and output shock on the real exchange rate fluctuation of the RMB has asymmetry in the impact direction,impact scale and exchange rate fluctuation zone system.Compared with the expansionary monetary policy,the tightening monetary policy on the real RMB The negative effect of exchange rate fluctuations is more obvious.Compared with the positive output shocks,the reverse output shocks have a stronger effect on the real exchange rate fluctuations of the RMB.As the currency shock transitions from low intensity to high intensity,the effect on the real exchange rate fluctuations of the renminbi is gradually increasing.Large-scale output shocks have a stronger impact on real exchange rate fluctuations.Compared with the period of severe economic fluctuations,monetary policy has a stronger effect on the real exchange rate fluctuation of the RMB during the period of stable economic fluctuations,but the effect of output shock is weaker.Compared with the low exchange rate volatility system,monetary policy and output shocks have a stronger effect on the real exchange rate fluctuations of the renminbi under the high exchange rate volatility system.Through the LT-TVP-VAR model to examine the dynamic impact of monetary policy and output shock on the real exchange rate fluctuation of the RMB,it is found that the impact of monetary policy and output shock on the real exchange rate fluctuation of the RMB has significant time-varying characteristics.Before China joined the WTO,The impact of monetary policy and output shock on the real exchange rate fluctuation of the RMB has turned from a weakening trend to an increasing trend.Before and after the global financial crisis,the impact of output shock on the real exchange rate fluctuation of the RMB is more obvious.During the new economic normal period,the currency shock The effect on the real exchange rate fluctuation of the RMB is more obvious.Thirdly,based on the dynamic decision of the real exchange rate level fluctuation and fluctuation of RMB,this paper constructs the DSGE model theory under the open economy to simulate the transmission effect of the real exchange rate of RMB on China's real economy.The result shows that the real exchange rate of RMB rises to output.Consumption and private investment have significant stimulating effects,and have an incomplete negative transfer effect on price levels,which positively promotes employment and real wages,and has a significant negative impact on import and export trade.In addition,through extensive selection of variables from various sectors of the national economy,based on the SV-TVP-FAVAR model,empirically examining the impact of the real exchange rate of the RMB on China's real economy,it is found that under the fixed exchange rate system,the real exchange rate of the RMB is output,consumption,and private.The impacts of investment,employment,and import and export trade have remained basically stable,and the negative impact on inflation has shown an increasing trend.The performance of real wages and government expenditures has increased first and then weakened.In the case of managed floating exchange rate regimes The positive impact of the real exchange rate of the RMB on output,consumption,private investment,employment and real wages has been significantly enhanced,and the negative impact on inflation and import and export trade has weakened.The real exchange rate of the renminbi has the strongest impact on China's import and export trade,has limited impact on urban employment and real wages,has a significant stimulating effect on consumption and private investment,and has a long-term sustained negative transfer effect on inflation.On the basis of examining the economic effects of RMB real exchange rate changes from the perspective of real economy,this paper further examines the virtual economic effects of RMB real exchange rate changes.First,it analyzes the transmission mechanism of real exchange rate to virtual economic variables such as stock price and nominal interest rate.By constructing the ST-BVAR model,we empirically examine the asymmetric impact of RMB real exchange rate changes on China's virtual economy from three aspects: money market,bond market and stock market.The results show that the real exchange rate of RMB has an asymmetry on the impact of China's money supply and stock price,and there is both an impact direction and an impact asymmetry on market interest rates,but there is no obvious asymmetry in bond prices.Again,through the TVP-SV-VAR model to capture the time-varying characteristics of the impact of the real exchange rate shock of the renminbi on China's virtual economy,it is found that compared with the low exchange rate volatility stage,the real exchange rate of the renminbi is positive for China's money supply and stock prices during the period of high exchange rate fluctuations.It has a stronger impact.The impact of the people's real exchange rate shock on China's virtual economy has obvious time-varying characteristics.Before the global financial crisis,the negative impact of the real exchange rate of the RMB on the money supply weakened,and the impact on the market interest rate increased.After the global financial crisis,The positive impact on the money supply is gradually increasing,and the negative impact on the market interest rate is gradually weakened,and the effect of stock price and bond price is opposite.Finally,on the basis of considering the endogenous structure of the theoretical model system such as IS curve,New Keynes Phillips curve and Taylor rule,the bilateral real exchange rate of RMB against the US dollar and the real effective multilateral exchange rate of RMB are introduced into the theoretical model system to construct the production.The TVP-SVAR model of the gap,inflation rate,nominal short-term interest rate,exchange rate and other variables,test whether the exchange rate factor enters the Taylor rule is in line with the reality of China's monetary policy rules,and capture the interest rate policy in the context of different exchange rate fluctuations and different exchange rate regime reforms.The dynamic time-varying characteristics of output gap,inflation and real exchange rate effects,and a reasonable judgment on whether there is consistency between the bilateral exchange rate and the multilateral exchange rate entering the TVP-SV-VAR model system respectively.The results show that considering the bilateral exchange rate or considering the exchange rate factor,the multilateral exchange rate is considered to improve the target parameters of the monetary policy peg to inflation and output gap in the Taylor rule model.The Taylor rule value and interest rate are actually The value fitting effect is better.Compared with the fixed exchange rate system,the short-term regulation effect of monetary policy on output and inflation under the floating exchange rate system is enhanced.Investigating the impact of exchange rate fluctuations on the effectiveness of monetary policy through the ST-BVAR model,it is found that the volatility of the RMB exchange rate will weaken the effectiveness of China's monetary policy. |
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