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研究生:邱芳鉁
論文名稱:開發中國家實質匯率研究:以中國為例
論文名稱(外文):The Real Exchange Rate in Developing Countries: A Study on China
指導教授:朱美麗朱美麗引用關係
學位類別:碩士
校院名稱:國立政治大學
系所名稱:經濟研究所
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2005
畢業學年度:96
語文別:英文
論文頁數:21
中文關鍵詞:人民幣實質匯率貶值緊縮
外文關鍵詞:RenminbiReal exchange rateThe contractionary devaluation hypothesis
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China has been in a state that the currency appreciation is needed to restore the external balance. However, it appears that Chinese government worries about that the Renminbi appreciation may decrease the output. This purpose of this paper is to empirically investigate whether the contractionary hypothesis prevailing in developing countries holds for China with quarterly data over the period from 1995Q1 to 2006Q2. We apply VAR models by means of impulse response functions and variance decompositions. The empirical evidences indicate that even taking the spurious correlation into account, the real appreciation of Renminbi leads to a fall in China’s output. Thus, our findings do not support the contractionary devaluation hypothesis. Moreover, the impact of the exchange rate on output is not through the inflation rate. In the short run, real exchange rate shocks have much power in explaining the output’s variation while the U.S interest rate and government spending shocks are determinants to the variation in output in the long run. Particularly, the monetary policy has relatively weak effect on the output and the real exchange rate.
1.Introduction 1
2.Literature Review 3
3.The Empirical Studies 7
3.1 The Model 7
3.2 Empirical Studies 8
3.2.1 Definitions of Variables 9
3.2.2 Unit Roots Tests 9
3.2.3 Cointegration Tests 10
3.2.4 Granger Causality Tests 12
3.2.5 Impulse Response Functions 12
3.2.6 Variance Decompositions 14
4.Conclusion 18
References 20
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Exchange Rate in Developing Countries”,
Weltwirtschaftliches Archive 127, 18-41.

Bahmani-Oskooee, M. and I. Miteza, 2003, “Are Devaluations
Expansionary or Contractionary? A Survey Article”,
Economic Issues, Vol.8, Part 2.

Berument, H. and M. Pasaogullari, 2003, “Effects of the
Real Exchange Rate on Output and Inflation: Evidence form
Turkey”, The Developing Economies, XLI-4, 401-35.

Diaz-Alejandro, C. F., 1963, “A Note on the Impact of
Devaluation and the Redistributive Effects”, Journal of
Political Economy, 71, 577–580.

Dickey, D.A. and W.A. Fuller, 1979, “Distribution of the
Estimators for Autoregressive Time Series with a Unit
Root”, Journal of the American Statistical Association,
74, 427–431.

Edwards, S., 1986, “Are Devaluations Contractionary?”,
The Review of Economics and Statistics, 68, 501-508.

Edwards, S., 1989, Real Exchange Rates, Devaluation, and
Adjustment: Exchange Rate Policy in Developing countries,
MIT Press, Cambridge, MA.

Granger, C. W. J., 1969, “Investigating Causal Relations
by Econometric Models and Cross-Spectral Methods”,
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Johansen, S. (1988), “Statistical Analysis of Cointegation
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Kamin, S.B. and J.H. Rogers, 2000, “Output and the Real
Exchange Rate in Developing Countries: An Application to
Mexico”, Journal of Development Economics, 61, 85-109.

Krugman, P. and L. Taylor, 1978, “Contractionary Effects
of Devaluation”, Journal of International Economics, 8,
445–456.

Lizondo, S. and P. J. Montiel, 1989, “Contractionary
Devaluation in Developing Countries: An Analytical
Overview”, IMF Staff Papers, 36, 182–227.

Morley, S.A., 1992, “On the Effects of Devaluation During
Stabilization Programs in LDCs”, Review of Economics and
Statistics, 21-27.

Phillips, P.C.B. and P. Perron, 1988, “Testing for a Unit
Root in Time Series Regression”, Biometrika, 75, 335–
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Philips, P. C. B., 1998, “Impulse Response and Forecast
Error Variance Asymptotics in Nonstationary VARs”,
Journal of Econometrics, 83, pp.21-56.

Rogers, J. H. and P. Wang, 1995, “Output, Inflation and
Stabilization in a Small Open Economy: Evidence from
Mexico”, Journal of Development Economics, 46, 27c1-93.
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