关键词: 均衡实际有效汇率, Bai-Perron检验, 结构突变, 汇率失调

Abstract: In this paper, Bai-Perron endogenous structural breaks tests and cointegration with structure method, for the 2000.01-2008.12 monthly data, are used to re-estimate the equilibrium real effective exchange rate of RMB and its misalignment. We found that the real effective exchange rate of the RMB during the whole sample, have two structural breaks, respectively in December 2002 and April 2007. Further analysis found that the real effective exchange rate data generation process for the mean mutation unit root process, which means that exchange reform in July 2005 on the exchange rate data generation process does have the impact of structural changes, the result is to make the exchange rate can not return to the mean mutation the level before, in addition, two each in the exchange rate is still significantly undervalued and overvalued in the whole sample, but the misalignment is not, as some studies did not take into account structural breaks get less serious. The most important finding in this article is that the appreciation of the nature of exchange rate reform policy implementation, not only essential to reverse a long period of undervalued exchange rate situation, but also led to the emergence of a certain degree of overestimation (at the end of 2008, about over 10%). This is Taiwan Hu Chuntian et al (2009) recently from a totally different perspective on this issue the conclusions from research conducted fairly, and therefore we can assume that the RMB exchange rate does not exist in Europe, America and other countries have recently been accused of being grossly underestimated.

Key words: equilibrium real effective exchange rate, Bai-Perron test, structural changes, misalignment