汇率变动、贸易地位与人民币境外存量——基于1994~2012年月度数据的实证分析

发布时间：2018-05-20 12:36

本文选题：人民币境外存量 + 汇率　；参考：《中南财经政法大学学报》2014年01期

【摘要】：本文基于扣除本地需求法和1992~2012年月度数据,测算了2004~2012年月度人民币境外存量。在此基础上,实证分析了人民币汇率和中国贸易地位对人民币境外存量的影响。研究结果表明,人民币境外存量基本呈现稳步上升态势,从2004年1月的113.1亿元上升到2012年12月的225.7亿元,且没有表现出过度的波动性。协整分析表明,人民币汇率、中国贸易地位与人民币境外存量之间存在长期稳定的均衡关系:人民币每升值1%,长期来看会引起人民币境外存量增加约0.9%;中国出口额相对于美国出口额的比率每上升1个百分点,长期而言会引起人民币境外存量增加0.99%。方差分解和脉冲响应函数的分析结果表明,相对于人民币汇率冲击而言,中国贸易地位冲击对人民币境外存量波动的影响程度更大。
[Abstract]:Based on the method of deducting local demand and monthly data from 1992 to 2012, this paper calculates the monthly offshore stock of RMB from 2004 to 2012. On this basis, this paper empirically analyzes the impact of RMB exchange rate and China's trade status on the stock of RMB offshore. The results show that the offshore stock of RMB has steadily increased from 11.31 billion yuan in January 2004 to 22.57 billion yuan in December 2012 without excessive volatility. Co-integration analysis shows that the RMB exchange rate, There is a long-term and stable equilibrium relationship between China's trade status and the stock of RMB offshore: for each RMB appreciation, it will cause an increase of RMB offshore stock by about 0.9% in the long run, and the ratio of Chinese exports to US exports per cent. Up 1 percentage point, In the long run, it will cause an increase of 0.99 yuan. The results of variance decomposition and impulse response function show that the impact of China's trade status shock on the stock fluctuation of RMB is greater than that of RMB exchange rate shock.
【作者单位】：复旦大学应用经济学博士后流动站;安徽财经大学国际经济贸易学院;
【基金】：国家社会科学基金项目“人民币国际化对中国经济内外均衡动态影响研究”(11CJL035) 中国博士后科学基金面上资助项目“人民币跨境流通的宏观经济效应研究”(2012M520792)
【分类号】：F224;F832.6;F752

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