Sources of real exchange rate fluctuations in China
Tao Wang
International Monetary Fund, 700 19th Street, N.W. Washington, DC 20431
Received 17 February 2004; revised 29 June 2005
Available online 31 August 2005
Wang, Tao—Sources of real exchange rate fluctuations in China
This paper reviews the evolution of Chinarsquo;s real effective exchange rate between 1980 and 2003 and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate between 1985 and 2003. The structural decomposition shows that relative real demand and supply shocks account for most of the variations in real exchange rate changes during the estimation period. The paper also finds that supply shocks are at least as important as nominal demand shocks in accounting for real exchange rate fluctuations. In contrast, other studies that show that nominal shocks are more important in explaining real exchange rate fluctuations in industrial countries. Journal of Comparative Economics 33 (4) (2005) 753–771. International Monetary Fund, 700 19th Street, N.W. Washington, DC 20431. 2005 Association for Comparative Economic Studies. Published by Elsevier Inc. All rights re-served.
JEL classification: C32; F31; F41; O53
Keywords: China; Real exchange rate; Structural VAR
✩ The views expressed in this study are the authorrsquo;s own and do not necessarily represent those of the IMF.
-
- Correspondence to: Tao Wang, c/o Louis Kuijs, World Bank, MSN JB3-100, Resident Mission China, PO Box 27839, Washington, DC 20038-7839.
E-mail address: taowanghome@yahoo.com.
0147-5967/$ – see front matter 2005 Association for Comparative Economic Studies. Published by Elsevier Inc. All rights reserved.
1. Introduction
Chinarsquo;s recent rapid export growth and accumulation of international reserves have gen-erated considerable interest in modeling the determinants of the renminbi (RMB) exchange rate. Much of the existing literature focuses on the valuation of the exchange rate relative to its equilibrium. Chou and Shih (1998) estimate the equilibrium exchange rate of the RMB between 1978 and 1994 using both a purchasing power parity (PPP) approach and an approach based on the shadow price of foreign exchange. These authors find that the RMB was overvalued for much of this period, but close to its equilibrium value between 1990 and 1994. Zhang (2001) estimates a behavioral equilibrium exchange rate between 1952 and 1997 by using a set of fundamental determinants of the actual real exchange rate in a reduced-form equation. He finds that the RMB exchange rate was overvalued during most of the estimation period but close to its equilibrium in 1997. Anderson (2003) esti-mates a balance of payment model based on trade equations and finds that the RMB was undervalued in 2003.
This paper contributes to the analysis of the RMB exchange rate from a different per-spective. Instead of assessing the equilibrium exchange rate, we investigate the underlying forces driving real exchange rate variations over the past two decades. According to eco-nomic theory, e.g., Balassa (1964), and the experiences of many countries, an economy exhibiting sustained rapid growth in its tradable goods sector is expected to experience appreciation of its real exchange rate. However, economies such as China are often sub-ject to various shocks simultaneously, especially in periods of major structural changes. Understanding the underlying sources of RMB fluctuations helps to explain why the real exchange rate depreciated sharply during the boom of the mid-1980s while it appreciated during the output surge of the mid-1990s. In addition, insights are gained regarding the forces behind the recent real exchange rate movements in China.
Following Clarida and Galiacute; (1994) and Hoffmaister and Roldoacute;s (2001) , we construct a structural vector autoregression (VAR) model to estimate the relative importance of differ-ent types of macroeconomic shocks for fluctuations in the real exchange rate. We identify types of shocks that, in the traditional IS-LM framework, are referred to as aggregate sup-ply shocks, aggregate demand shocks, and nominal demand shocks, i.e., shocks affecting the money market. Jin (2003) uses a reduced-form VAR to examine the relationship be-tween the variation in the RMB real exchange rate and two determinants, namely, the real interest rate differential and official foreign exchange reserves. However, our structural VAR approach has the ability to identify the fundamental macroeconomic shocks affecting variables such as the real exchange rate and the interest rate differential simultaneously.
Our structural decomposition indicates that real demand and supply shocks accounted for most of the fluctuations in the real exchange rate movement during the estimation pe-riod, whereas nominal shocks were less important. During the mid-1990s, the contribution of the real demand shocks increased, which is a key factor underlying the substantial real appreciation of the RMB. In the period after the Asian financial crisis, supply and nom-inal shocks played important roles in determining the real exchange rate movements of the RMB. Of course, these results should be interpreted with caution because significant changes occurred in the structure of Chinarsquo;s economy that might not have been captured properly.
The paper is organized as follows. The next section r
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中国实际汇率波动的来源
最近中国出口额的快速增长以及国际储备生成的增加都成为人民币汇率的决定因素。现有的文献大多集中在研究汇率估值的相对均衡。周和施估计人民币的均衡汇率采用了购买力平价的方法以及一种基于外汇影子价格的方法。这些研究者发现在这一时期人民币被高估, 但水平接近1990年至1994年之间的平衡值。其他学家认为均衡汇率在1952年和1997年之间通过使用一组实际汇率的根本决定因素的简化型方程计算得出。他发现当人民币汇率被高估的大多数期间都能够接近1997年的平衡值。而安德森预算是基于贸易收支模型方程进行研究的，并在2003年发现人民币被低估。
文章对人民币汇率的分析有几种不同的观点，而不是简单地评估均衡汇率，过去二十年里，研究发现有潜在的力量推动实际汇率的变动。根据相关理论以及许多国家的经验得出，当经济表现持续快速增长时，贸易商品部门预计将会经历实际汇率的升值的过程。然而，像中国这样的经济体通常同时经受多方面的影响冲击，尤其是发生重大结构性变化的时期。了解人民币波动的潜在原因有助于解释为什么实际汇率在繁荣时期的1980年代中期至1990年代中期会大幅贬值。此外，这一见解也获得了最近关于某些力量在影响中国实际汇率波动的支持。
克拉里达后,加利和罗尔格斯为我们构造一个结构向量自回归模型，用来分析相对重要的不同类型的宏观经济量冲击对实际汇率的波动的影响。传统的IS- LM模型框架，被称为总供给冲击、总需求冲击和名义需求冲击，即影响货币市场冲击。金利用简化的VAR模型研究影响人民币实际汇率的变化的两个因素之间的关系。就是实际利率差异和官方外汇储备这两个因素。然而，VAR方法有能力识别对基本的宏观经济量冲击的影响变量，如对汇率和利率同时微分。
通过结构分解表明，实际需求和供给冲击是对实际汇率发生波动的主要因素，而名义冲击都不那么重要。在20世纪90年代中期，实际需求冲击的贡献增加，这是使得人民币升值的关键因素。亚洲金融危机后，在决定人民币汇率波动的因素中供应冲击扮演了重要角色。
文章概况如下，接下来的部分将回顾汇率制度的演变。第三节描述了计量经济学的理论背景和框架。第四部分介绍了数据分析和VAR估计。在第五部分中,我们推导出脉冲响应函数并分解识别其中的对实际汇率有影响的冲击量。第六节结尾简要总结和解释的主要结果。
巴尤米和艾肯格林、普拉萨德，在一个开放的经济体制中，分析一个长期情况下的结构冲击。美国前财政部官员克拉里达和加利构建一个VAR模型并识别宏观经济冲击的三种类型，包含供应、实际需求和名义需求冲击。评估每种类型的贡献相对产量变化、相对价格和实际汇率的变化情况。查达、普拉萨德和托马斯使用类似的方法来研究工业国家汇率波动的来源。
加利得到结论是奥布斯特菲尔德的开放经济模型的输出是由长期供应得到的。他们的表现说明了多恩布斯模型可以对三个不同类型的经济量发生根本性冲击。模型的关键假设包括粘性调整价格和国内外规范的商品消费的完美替代品。冲击模型中的各种数据都能对总供给产生冲击，如相对国外整体生产力的变化、总需求的冲击变化，政府相对支出的变化和相市场准入的国内外产品的变化和名义冲击的变化，以及货币政策冲击的变化和货币需求冲击和速度变化。
一个积极供给冲击能够产生更高的生产率增长，并引发国内商品的总供给的积极改变。从长期来看，国内产出更高水平的增加，会使国内物价水平下跌，实际汇率贬值。一个积极的需求冲击会使国内商品的需求增加，导致实际汇率的升值和在短期内产量的提高。随着时间的推移，输出会趋于其长期趋势，但价格水平仍然很高，实际汇率仍然高于平均水平。积极的名义冲击会适当降低利率。在短期内，名义和实际汇率发生贬值，相对价格上升，国内产量增加。随着时间的推移，产出和实际汇率趋于长期均衡位置。
这个模型中，中国是一个新兴的经济体。然而，这些长期关系与大量的模型结果是一致的，都是基于严格的假设和分析。模型的基本假设，是基于价格对需求和供给的冲击和输出所反映的价格信号，包括实际汇率即国内外商品的相对价格。尽管这些假设不会在中央计划经济中提出，但价格和产出不是由市场力量的开创的，大多数价格自由化和生产计划都被取消。因此，除了一些关键连接点如粮食外，价格在样本期间应利用一个外生变量对需求和供应进行分析。此外，对大多数商品而言，价格生产都没有进行计划经济。虽然名义汇率是在固定的采样周期内通过资本管制和限制在金融市场发展，形成了完美的资本流动和一个灵活的汇率制度，但金融市场没有完成获得结构VAR模型中长期关系的关键。
罗尔多斯结构VAR方法适用于巴西和韩国。激励他们的结构识别限制进口中间投入开发一个模型用于生产可贸易商品,只有劳动用于生产限售商品。此外,资本不是移动和政府支出主要是对限售商品。名义变量模型,以适应灵活,固定汇率制度和价格水平是由货币当局的反应决定外部冲击和政府政策。这些作者推导出克拉里达类似的长期关系和加利。具体来说,长期产出水平不受真实或名义需求冲击和影响长期的实际汇率水平不受名义需求冲击的影响。作者发现,供给因素对宏观经济波动的主要贡献者在韩国在巴西虽然实际需求因素更重要。最后,这些作者表明,放松资本管制的假设不影响定性的结果。
在文章中，我们使用相对输出、实际有效汇率和相对价格水平三个变量建立VAR规范。这些变量测量都是对国内外经济量进行分析是否产生冲击的变量。虽然相对价格水平以类似的方式在早期的一些价格管制中就存在，但在影响国内CPI的自由化事件内样本期间都对其产生较大影响。因此，我们使用谷物价格作为工具来转换CPI的数据值，这样它就可以更好的反映了市场力量产生的影响即需求和供给冲击。选择粮食价格是因为CPI篮子中的重要组成，并对此数据控制了很长时间。此外，在1980年代早期粮食价格就对相应初始阶段所采用的价格管制值进行了相应的调整。在VAR模型中我们使用CPI指数的粮食价格，不包括其受到行政控制和自由化的影响。相似地分析实际汇率的影响一样使用一个等效的方法。
我们的方法的第一步是评估以下简化VAR模型：
Xt = A(L)ut ,
Xt包含第一个相对产量的差异即实际汇率、相对CPI。此外，(L)是一个滞后多项式，ut的干扰是一个矢量估计协方差矩阵，通过Sigma;给出。单独的各种结构性冲击的影响，在以下结构VAR模型中体现：
Xt = C(L)εt ,
εt包含未被注意的相互不相关的冲击，可以解释为相对供给冲击、相对实际需求冲击和相对名义冲击。
方程(1)和(2)意味着以下线性关系:
ut = C0εt ,
在C0的3times;3矩阵定义了三个变量之间的结构关系。必须通过这个矩阵来确定向量的结构冲击，εt从估计的干扰ut。克拉里达后，出现三个额外的长期限制因子，而短期动力学是自由决定的。这三个限制，名义货币冲击没有影响长期的产出水平，实际汇率和实际需求的冲击没有影响长期的产出水平。结构VAR的长期乘数是用矩阵C(1)=(C0 C 1 C2 ···)表示。三个长期限制(1、2),(1,3)和(2、3)C(1)矩阵的元素等于零。因此，C(1)矩阵是下三角型，以便它可以用来确定C0。
起初，我们检查时间序列的属性变量。在过去的二十年里相对产量不断上升，但处在不同的利率条件下。此外，除了两个时期即1980年代早期，相对CPI显示存在上升的趋势。在过去的几年中，随着中国CPI的上升速度比其贸易伙伴要快。在整个样本期间我们对三个变量进行正式的固定测试。表1报告结果表示迪基富勒单位根测试。单位根的零假设不能被这三个变量的水平拒接，而第一个差异被证实是静止的。尽管没有经济原因表明，我们测试的这个属性变量是共体的。因为VAR在第一差异将指定的错误和变量共合。在这种情况下，长期的关系可以用来获得更多有效的短期动态估计。表2给出了使用协整检验结果的最大似然程序。表显示，我们发现没有证据表明三个变量之间存在协整关系。
Sources of real exchange rate fluctuations in China
1. Introduction
Chinarsquo;s recent rapid export growth and accumulation of international reserves have generated considerable interest in modeling the determinants of the renminbi (RMB) exchange rate. Much of the existing literature focuses on the valuation of the exchange rate relative to its equilibrium. Chou and Shih (1998) estimate the equilibrium exchange rate of the RMB between 1978 and 1994 using both a purchasing power parity (PPP) approach and an approach based on the shadow price of foreign exchange. These authors find that the RMB was overvalued for much of this period, but close to its equilibrium value between 1990 and 1994. Zhang (2001) estimates a behavioral equilibrium exchange rate between 1952 and 1997 by using a set of fundamental determinants of the actual real exchange rate in a reduced-form equation. He finds that the RMB exchange rate was overvalued during most of the estimation period but close to its equilibrium in 1997. Anderson (2003) estimates a balance of payment model based on trade equations and finds that the RMB was undervalued in 2003.
This paper contributes to the analysis of the RMB exchange rate from a different perspective. Instead of assessing the equilibrium exchange rate, we investigate the underlying forces driving real exchange rate variations over the past two decades. According to economic theory, e.g., Balassa (1964), and the experiences of many countries, an economy exhibiting sustained rapid growth in its tradable goods sector is expected to experience appreciation of its real exchange rate. However, economies such as China are often subject to various shocks simultaneously, especially in periods of major structural changes. Understanding the underlying sources of RMB fluctuations helps to explain why the real exchange rate depreciated sharply during the boom of the mid-1980s while it appreciated during the output surge of the mid-1990s. In addition, insights are gained regarding the forces behind the recent real exchange rate movements in China.
Following Clarida and Galiacute; (1994) and Hoffmaister and Roldoacute;s (2001) , we construct a structural vector autoregression (VAR) model to estimate the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. We identify types of shocks that, in the traditional IS-LM framework, are referred to as aggregate sup-ply shocks, aggregate demand shocks, and nominal deman
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