Theory And Empirical Research Of Equilibrium Exchange Rate And Misalignment

The thesis analyzes briefly the significance of the research about equilibrium exchange rate firstly, and introduces the main works that have been done in and out the country. Then it researches RMB equilibrium exchange rate through the two ways Purchasing-Power-Parity (PPP) and Behavioral Equilibrium Exchange Rate (BEER). It adopts the VAR method to get the co-integrated equation, and discusses the dynamic process with the techniques such as VECM, impulse response and variance decomposition. At last the thesis discusses exchange rate misalignment, and gives some opinion of its cause and resolution.The thesis gets similar results by two different ways with different economic theory and different sample data. It finds: (1) cointegration comes into existence, the real exchange rate of RMB inosculates the equilibrium exchange rate, the theory of equilibrium exchange rate is suitable to RMB exchange rate. (2) The raises of Chinese CPI, terms of trade, economic openness will heighten the equilibrium exchange rate, RMB depreciate; the raise of American CPI and net foreign asset will lower the equilibrium exchange rate, RMB appreciate. (3) Exchange rate alteration has a trend to go back the normal level, so PPP and BEER are brought into play. (4) The response of equilibrium exchange rate to impulse of exchange rate is most remarkable, so exchange rate mightily depends on its historical approach.The main characteristics of the thesis are following. It expands the traditional PPP theory, and makes its choice about the economic fundamentals which are suggested by BEER based on Chinese national conditions. The other one is the empirical researches based on newest sample data with advanced measurement techniques, such as VAR, VECM, impulse response, variance decomposition and H-P filtering. In addition, the comparative study between PPP and BEER reveals practical meaning and theoretical limitation of different frameworks, and it give us an implication to accept the theoretical results prudentially.