汇改前后人民币实际汇率对外汇储备增长的非线性影响的实证研究

发布时间：2018-02-04 05:31

本文关键词： 人民币实际有效汇率外汇储备平滑转换自回归(STR)模型　出处：《国际贸易问题》2011年04期 　论文类型：期刊论文

【摘要】：本文针对人民币实际有效汇率变化对外汇储备增长影响的问题,提出运用非线性的STR模型进行实证分析。选取汇改前(1999年1月到2005年7月)和汇改后(2005年7月至2010年9月)两个时期的月度数据,得出结果发现:(1)汇改前后人民币实际汇率的变化对外汇储备增长具有非线性关系。(2)汇改前,随着人民币实际汇率增长率的不断增大,非线性部分的影响逐渐显著,当转换函数值向1趋近时,人民币实际汇率每增长1%,外汇储备就减少1.65%;在汇改后,当人民币实际汇率出现轻微的增长即增长率小于0.649%时,非线性影响会非常显著,此时人民币贬值对外汇储备增长具有较大的抑制作用,人民币实际汇率每增长1%,外汇储备就减少0.73%。而只要人民币实际汇率的增长率不超过3.543%,人民币实际汇率的变化与外汇储备增长之间就保持着稳定的线性关系,一旦增长率超过3.543%,则线性关系迅速向非线性关系转化,此时,1%的人民币实际汇率的增长将导致外汇储备减少0.73%。(3)人民币实际汇率上升,即人民币实际贬值,对外汇储备增长具有抑制作用;而人民币实际汇率下降,即人民币实际升值,能拉动外汇储备的增长。因此,应改革中国的结售汇体制,真正实现藏汇于民,同时进一步增强人民币汇率弹性,扩大其浮动区间,从而加大投机进出资金的风险成本,抑制其投机操作,起到释放人民币升值压力、减少外汇储备快增的作用。
[Abstract]:This paper aims at the influence of the change of the real effective exchange rate of RMB on the growth of foreign exchange reserves. A nonlinear STR model is proposed for empirical analysis. Before and after the exchange rate reform (January 1999 to July 2005) and after the exchange rate reform (July 2005 to July 2005); Monthly data for two periods. The result shows that the change of RMB real exchange rate before and after the exchange rate reform has a nonlinear relationship with the increase of foreign exchange reserve. The influence of the nonlinear part is obvious gradually, when the value of the conversion function approaches to 1, the real exchange rate of RMB increases by 1 and the foreign exchange reserve decreases by 1.65; After the exchange rate reform, when the real exchange rate of RMB shows a slight increase, that is, the growth rate is less than 0.649, the nonlinear effect will be very significant. At this time, the depreciation of RMB has a great inhibitory effect on the growth of foreign exchange reserves. For every increase in the real exchange rate of the RMB, the foreign exchange reserves will be reduced by 0.73 yuan, as long as the growth rate of the real exchange rate of the renminbi does not exceed 3.543%. The change of the real exchange rate of RMB and the growth of foreign exchange reserves maintain a stable linear relationship. Once the growth rate exceeds 3.543, the linear relationship is rapidly transformed to the nonlinear relationship. The increase of RMB's real exchange rate of 1% will result in the decrease of foreign exchange reserve by 0.73.3.) the real exchange rate of RMB will rise, that is, the real depreciation of RMB will restrain the growth of foreign exchange reserve. Therefore, the reform of China's foreign exchange settlement system should be carried out to realize the real exchange rate of the people, and at the same time to further enhance the flexibility of the exchange rate of the RMB. Expanding its floating range, thus increasing the risk cost of speculative capital in and out, restraining its speculative operation, releasing the pressure of RMB appreciation and reducing the rapid increase of foreign exchange reserves.
【作者单位】：大连理工大学管经学部经济学院;
【基金】：国家自然科学基金(70903011) 教育部人文社会科学研究项目基金(09YJC790025) 中央高校基本科研业务费专向资助基金(DUT10ZD107)
【分类号】：F832.6;F224
【正文快照】： 一、引言1994年汇率并轨与实行银行结汇售汇制以后,我国外汇储备增长速度加快,1998年虽因东南亚金融危机的影响,增速减缓,但从1999年开始外汇储备又快速上涨,到2006年2月,中国大陆(不包括港澳台地区)的外汇储备为8537亿元,首次超过日本上升到世界第一,此后一直保持较为稳定的

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