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57
臺大管理論叢
2017/6
第
27
卷 第
2
期
57-96
DOI:10.6226/NTUMR.2017.DEC.R.13020
以參考一籃子貨幣為名：人民幣匯率機制之驗證
Verifying the Renminbi Exchange Rate Regime
摘 要
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。
【關鍵字】
人民幣匯率決定機制、狀態空間模型、爬行釘住美元
Abstract
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.
【
Keywords
】
renminbi exchange rate regime, state space model, discretionary crawling peg
to the US dollar
黃志典
/
國立臺灣大學國際企業學系副教授
Jyh-Dean Hwang
, Associate Professor, Department of International Business, National Taiwan University
Received, 2013/6, Final revision received 2014/12