基于无限次重复博弈模型的人民币升值节奏问题研究

从游资与预期的角度,利用无限次重复博弈模型研究人民币汇率升值幅度的纳什均衡问题。研究结论包括：纳什均衡汇率与游资不撤离的损失补偿正相关,与中国维持GDP高增长的概率正相关,与贴现系数负相关;在游资大量流进的条件下,人民币汇率升值幅度不仅要包括游资持有者所获得的稳定外汇收益以及损失补偿,还要求汇率调整出现＂超调＂;游资流入对经济的推动扣除风险损失后的剩余,不能小于游资持有者的机会成本加上一定比例升水。

A Study on RMB Appreciation Rhythm Based on Infinitely Repeated Games

The paper uses the infinitely repeated games to investigate how RMB appreciation can reach Nash Equilibrium.The main results are：Equilibrium RMB exchange rates are positively related to loss compensation for the hot money holders and probability of sustaining high GDP in China,but are negatively related to discount rate;RMB appreciation should include not only the stable payoffs and loss compensation,but also the premium;only under the following conditions can the exchange rates be efficient：the difference between high GDP increase with the inflow of hot money and risks within has to be equal or more than opportunity cost of the hot money holders together with the premium of a certain percentage.