: 3 :,, (VAR),,, : 997, 200, WTO,, 2005 7 2, 2,, ( Kanamori and Zhao,2006 ;,2006),,, 2005 7 2,,,,, :,,2005, 2007 265,200 0,,,2005 2006 2007, 4 % 6 % 9 %,,,,,,,, 3,, :00836, zhaozhijun @yahoo. com ;,, :25000, :czengjing @homail. com 973 ( 2007CB8490), 68
2009 3,,,,,,,,,,,,,,,,,,,,,Corden (2002) 998 Agliea e al (2003),, Calvo and Mendoza (2000),,,,,, (Rose, 2000),,,,,,,,,,, :, (Agmael,98),,,,,,,,, 69
:,,,,,,,,, (Balassa, 964 ; Samuelson, 964),, :,, (2004), U h, : (2) (3) : U h, = ( C h, ) - - + ( C h2, +) - - P h, C h, + D h, = P h, Y h, (2) P h, + C h2, + () = + ( + r f, ) D h, Π (3), Y h,, ; C h, ; C h2, ; D h, ; D h,, ;,, C h, = C h, + C h2, (4), (Chen, 2004),,, (Obsfeld, Maurice, And Kenneh Rogoff, 996), C h = C hh, N ( C - hh, TChf, T) - (5) P h, T ( P - - h, T Pf, T ) P h, c = (- [( - ) ] ) [ ( - ) ( - ) ] C h (- ) ( - ) (6) = C hh, N ( C - hh, TChf, T) - = (7) P h, N C hh, T + P h, T C hh, T + P hf, T C hf, T = P h, c C h (8) (5) (6) (7) (8), P h, T, P h, N, P f, T, P f, N, C hh, N, C hh, T, C hf, T,(0 << ) (2) (3), : 70 P h, C h, + P h, + C h2, + = P + + h, Y h, (9) r f,
2009 3, : C h, = Y h, + + h, + ( + r f, ) ( - ) (0) C h2, + = + h, + Y h, ( + r f, ) + - + h, + ( + r f, ) (- ) () C h2, = - h, Y h, - ( + r f, - ) + - - ( + r f, - ) h, (- ) (2) C h, = C h, + C h2, ( + G h, ) = Y h, - + h, + ( + r f, ) + (- ) + - h, ( + r f, - ) + - - ( + r f, - ) h, (- ) D h, P h, = + Y h, - + h, + ( + r f, ) = - + Y h, - f, + ( + r f, ),(4) (7) : U f, = ( C f, ) - - + ( C f2, +) - - (3) - (4) P f, C f, + D f, = P f, Y f, (5) P f, + C f2, + P f, C f, = ( + r h, ) D f, Π + (6) + + P f, + C f2, + = P + r f, Y f, (7) h, (8) (2) : C f, + + f, + C f2, + = Y + f, (8) r h, C f, = Y f, + + f, + ( + r h, ) - (9) C f2, + = + Y f, ( + r h, ) + ( + r h, ) f, + - + f, + (20) C f, = C f, + C f2, ( + G f, ) = Y f, - + + f, + ( + r h, ) ( - ) + + ( + r h, - ) + ( + r h, - ) f, - + f, (- ) D f, P f, = Y f, - + + ( + r h, ) f, + = - Y f, - h, + + ( + r h, ) (2) - 7
:, : X h, = Y h, - ( C hht, + C hhn, ), IM h, = q h, C hf T,, X f, = q h, [ Y f, - ( C ff T, + C ffn, ) ], IM f, = C fhn,,c h, = C h, + C h2, C f, = C f, + C f2,, [ X h, - IM h, ] + [ X f, - IM f, ] - ( D h, - ( + r h, - ) Π + )ΠP h, - ( D f, - ( + r f, - ) + Π )ΠP f, = 0. (22), () : (2) : (3) : X h, = IM f, (23) X f, = IM h, (24) D h, - + r h, - q P h, - h, + Πq h, + h, D f, - + r f, - q P f, - h, Πq h, + = 0 (25) f,, q h, = P h, P f,, (23) (24) (25) (M2F ),,,, (23) [+ ( - ) ] ( - ) P f, c Y f, - P h, c P h, N C hh, N + P h, T C hh, T + P h, T C f h, T = P h Y h (26) ( + G h, ) + f, + ( + r f, ) Y h, - (- ) + ( + G f, ) + h, + ( + r h, ) f, ( + r f, - ) + - f, ( + r f, - ) ( - ) + h, ( + r h, - ) + - (- ) + ( - ) h, ( + r h, - ) = ( + G h, ) (27), ( q h, ) q h, = Y f, - Y h, - ( + G f, ) - [ + ( - ) ] ( + G f, ) + h, + ( + r h, ) ( + G h, ) ( - ) ( - ) + f, + ( + r f, ) ( - ) + ( - ) + f, ( + r f, - ) + h, ( + r h, - ) + - h, ( + r h, - ) - f, ( + r f, - ) (- ) (- ) (- ) (28), (24) (25) 72 (28)
2009 3,,,,,(VAR) VAR,, :,,,,,,, GDP, GDP 2008 6 ( IFS),980 2007,: LEER :, CDRR :, C - GDPG:, USDRR :, US - GDPG:, Y = (L EER, C - GDPG, US - GDPG) :, X = ( CDRR, USDRR) : VAR( k) k Y = A i Y - i i = E l + B i X - i + i = + E (29) = iid ( O,),A,A 2 3 3, B i 3 2, E 3, O 3, 3 3 VAR, (29) (VEC) : k- Y = Y - + i = i Y - i k k i = - A i, i =,2,, k -,= ( i = j+ i = l + B i X - i + i = + U (30) A i - I), I 3 3, Y,Y I () Y I (0),(30) Y -,Y Y -,Y ( Granger), < 3, = Y - I (0),,2 73
:, Y (Hamilon, 994) 4 :,,,,VAR,,,,,VEC ADF (ADF) (), 2 2( %) LEER - 476650-369987 00032 (LEER) C2GDPG - 4503837-37457 0005 (C - GDPG) US2GDPG - 4322203-369987 00022 CDRR - 43480-3724070 05494 (US - GDPG) USDRR - 63560-372407 04503, (CDRR) (USDRR) () LEER C - GDPG US - GDPG,,,, 2,, : LEER = 0493047307 3 LEER ( - ) + 0366367048 3 LEER ( - 2) - 00282942346 3 C - ( - ) - 000242766837 3 C - GDPG( - 2) + 003778273493 3 US - GDPG( - ) + 0030982425 3 US - GDPG( - 2) + 09776735005 + 02352467305 3 CDRR - 0269397766 3 USDRR C - GDPG= 6468429347 3 LEER( - ) - 3924397398 3 LEER( - 2) + 0782275848 3 C - GDPG( - ) - 08699095 3 C - GDPG( - 2) - 0538333376 3 US - GDPG( - ) - 07052486632 3 US - GDPG( - 2) + 2539705-2777604887 3 CDRR + 3624482653 3 USDRR GDPG US - GDPG= - 54840637 3 LEER( - ) + 26760072 3 LEER( - 2) + 03858363298 3 C - GDPG ( - ) + 000929609434 3 C - GDPG( - 2) - 0094584800 3 US - GDPG( - ) - 056025679 3 US - GDPG( - 2) - 2459575856-2885605 3 CDRR + 365556694 3 USDRR VAR, ( ),,,,,,,,,,,,,,,,,,,,,2005,, 992 996,, 74
2009 3 2 % 983 382688 398560 0002945 379743 3973882 0294045 984 7438 5705209 066096 575284 48325 530346 985 88693 663797 000794 80753 6505 0790844 986 92963 688696 000892 920709 6825798 0888085 987 90494 6756428-005328 963775 72676-547254 988 824955 620257-03434 959295 7094323-4378 989 202268 7554687 00533 97035 77802 4984789 990 2087094 806452 0046832 2040262 7692627 457568 99 2094864 824332-00067 20569 878989-067276 992 207922 82323 0093876 204046 7493577 8960452 993 976959 722075-085 2088806 8075268-8342 994 28973 8932652 044098 204565 773395 34972 995 20684 790095 007399 205074 7773657 724862 996 2020343 75409-006237 20827 802694-643534 997 202734 7592297-002394 205072 777623-242262 998 2055469 78050-000675 206224 7863362-06768 999 2093527 8348 003576 2057767 7828469 352803 2000 23529 82774 0055755 2057774 782852 5422943 200 2843 838065 002579 2092639 80628 2546085 2002 22347 836009 0053508 2069963 7924527 520246 2003 24808 8287994 00378 20028 87457 36854 2004 2077838 798783-004055 2839 837733-4385 2005 202042 754495-003995 206037 7848885-407598 2006 96493 7344-00228 987736 7298992-230686 2007 863685 6447452-00438 968064 756806-002 2 983 986,,984 985 986,, 987 988,, 989,,,,,, 996, 83,,996 998,,,,,,,,999 2003,, 75
:, 200 VAR,2004,,,,,,;,,, 998,,,,,,, (999 2003 ),, 998 2005,,,, :2005 7 2 2 %,2008 9 22 % 2005 2007,GDP () 2 %,GDP 27 %,5 %, 2008 6 %, 6 %, 43 %,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,, 76
2009 3,2004 :,,2006 : :, 0 Alesina, Albero and Barro, Rober J., 200,Dollarizaion, American Economic Review, Vol. 9, No. 2. Balassa, Bela, 964,The Purchasing Power Pariy Docrine : A Reappraisal, Journal of Poliical Economy 72 (December), pp. 584 96. Calvo, Guillermo A and Mendoza, Enrique G., 2000,Capial2Markes Crises and Economic Collapse in Emerging Markes : An Informaional2 Fricions Approach, American Economic Review, Vol. 90, No. 2. Chen, Shikuan, 2000,Endogenous Real Exchange Rae Flucuaions in an Opimizing Open Economy Model, Journal of Inernaional Money and Finance, 9,pp. 85 205. Corden, W. Max, 2002,Exchange Rae Regimes for Emerging Marke Economies : Lessons from Asia, Annals of he American Academy of Poliical and Social Science, Vol. 579, Exchange Rae Regimes and Capial Flows, pp. 26 37. Hamilon, James D.,994,Time Series Analysis,Princeon Universiy Press. Michel Agliea e al,2003,exchange rae Managemen in Cenral Europe and he Debae on Exchange Rae Regimes, Revue Economique, Vol. 54, No. 5. Mundell, l997,currency Areas, Common Currencies, and EMU, American Economic Review, Vol. 87, No. 2. Mundell, Rober, 96,A Theory of Opimum Currency Areas, American Economic Review, Vol. 5, No. 4. Obsfeld, Maurice, And Kenneh Rogoff,996,Foundaions of Inernaional Macroeconomics,MIT Press. Rose, Andrew K, 2000,A Review of Some of he Economic Conribuions of Rober A. Mundell, Winner of he 999 Nobel Memorial Prize in economics, Scandinavian Journal of Economics, Vol. 02, No. 2. Samuelson, Paul A., 964,Theoreical Noes on Trade Problems, Review of Economics and Saisics 46, May, pp. 45 54. Zhao, Zhijun and Toshiki Kanamori, 2006,Renminbi Exchange Rae Revaluaion : Theory, Pracice and Lessons from Japan, Asian Developmen Bank Insiue. Big Counry Model and he Evaluaion of Exchange Rae of RMB vs. USD Zhao Zhijun ( Insiue of Economics of Chinese Academy of Social Sciences) Chen Zengjing (Shandong Universiy) Absrac : In his paper a big counry model of real exchange rae is creaed according o he characerisics of emerging marke economy wih high economic growh. Based on he heoreical model, we design a Vecor Auoregression Model and conduc empirical analysis o undersand he relaionship of real exchange rae, economic growh and ineres rae. The empirical sudy shows ha currenly Renminbi vs. USD exchange rae is no longer undervalued as before 2004 and i is somewha overvalued. Under curren global and domesic macroeconomic siuaion, he overvaluaion of he real exchange rae could be correced mainly hrough he adjusmen of price level and nominal exchange rae is no necessarily o be changed drasically. Key Words : Real Exchange Rae ; Economic Growh ; Real Ineres Rae ; Vecor Auo2regression Model JEL Classificaion :F0, F30, F40 ( :) ( : ) 77