人民币有效汇率测度研究

发布时间：2018-06-19 12:55

本文选题：人民币 + 有效汇率　；参考：《江西财经大学》2013年硕士论文

【摘要】：自布雷顿森林体系瓦解以来,各国货币间的汇率波动幅度都有所加大。一国货币在相对一些国家货币升值的同时往往可能相对另一些国家货币贬值,在此情况下,如何衡量一国货币对外价值的总体波动水平呢?经济学家们设计了有效汇率指数用作衡量某种货币汇率的总体波动水平以及该种货币在国际领域竞争力的指标。但是在经济全球化逐步深化、资本流动日益频繁的今天,仅依据传统有效汇率指数来测度一国货币汇率波动状况存在一定的局限性,因为它并没有考虑资本项目的影响。为了更加全面地考虑人民币汇率总体波动水平,在编制人民币有效汇率指数时,将资本流动因素纳入权重,构建一种包含贸易权重、资本权重以及贸易-资本双权重下的人民币有效汇率指数体系显得十分有必要。本文通过对各种有效汇率指数编制方法进行比较研究,结合中国经济发展的特点,在传统的基于贸易权重下的人民币有效汇率指数的基础上,进一步完善了人民币有效汇率指数体系,增加了从资本流考虑的资本权重下的人民币有效汇率以及从贸易流和资本流综合考虑的贸易-资本双权重下的人民币有效汇率指数。通过对三种指数进行对比分析以及利用协整与误差修正模型、VAR模型对三种指数与我国净出口、FDI以及外汇储备之间的关系进行了实证分析,得出以下结论：第一,除了在2010年第二季度至2011年第二季度期间三种指数的走势出现了明显的背离之外,三种权重下的人民币有效汇率指数走势基本相同,但是各种指数的走势强弱却有所差异。因此近年来西方国家依据贸易权重下的人民币有效汇率指数走势来催促人民币升值的理由并不充分,因为从2009年以来,资本权重下的人民币有效汇率指数显示人民币升值幅度显著性大于贸易权重下人民币有效汇率指数所显示出的升值幅度。第二,我国净出口对来自于贸易权重下的人民币有效汇率的冲击反应较为明显并且持续时间较长；我国FDI与资本权重下的人民币有效汇率指数存在长期协整关系,与其他两种指数均不存在长期协整关系；我国外汇储备与三种指数均不存在长期协整关系。从上述实证结果可以看出,不同权重下的人民币有效汇率指数的变动对我国宏观经济变量产生的影响是有所差异的。
[Abstract]:Since the collapse of the Bretton Woods system, currency volatility has increased. One country's currency may depreciate relative to some other countries' currencies at the same time of appreciation. In this case, how to measure the overall fluctuation level of the external value of a country's currency? Economists have designed an effective exchange rate index to measure the overall volatility of a currency's exchange rate and the competitiveness of that currency in the international arena. However, with the deepening of economic globalization and the increasing frequency of capital flow, there are some limitations in measuring a country's currency exchange rate fluctuation only according to the traditional effective exchange rate index, because it does not consider the influence of capital account. In order to consider the overall fluctuation level of RMB exchange rate more comprehensively, when compiling the effective exchange rate index of RMB, the capital flow factor is taken into account and a trade weight is constructed. The RMB effective exchange rate index system under the capital weight and the trade-capital double weight is very necessary. Based on the comparative study of various effective exchange rate index compilation methods and the characteristics of China's economic development, this paper makes a comparative study on the traditional effective exchange rate index based on the weight of trade. It further improves the effective exchange rate index system of RMB, increases the effective exchange rate of RMB under the capital weight from the capital flow and the RMB effective exchange rate index under the trade-capital dual weight considering from the trade flow and the capital flow. Based on the comparative analysis of the three indices and the empirical analysis of the relationship between the three indices and China's net export FDI and foreign exchange reserves by using the co-integration and error correction models, the following conclusions are drawn: first, Apart from the marked divergence between the second quarter of 2010 and the second quarter of 2011, the movements of the RMB effective exchange rate indices under the three weights were basically the same, but the movements of the indices varied somewhat. Therefore, in recent years, Western countries have not had sufficient reasons to urge the appreciation of the renminbi based on the trend of the effective exchange rate index of the RMB under the trade weight, because since 2009, The RMB effective exchange rate index under the capital weight shows that the appreciation range of RMB is more significant than that of the RMB effective exchange rate index under the trade weight. Second, the impact of net exports on the effective exchange rate of RMB under the trade weight is obvious and lasting for a long time, and there is a long-term cointegration relationship between FDI and the RMB effective exchange rate index under the capital weight. There is no long-term cointegration relationship between China's foreign exchange reserves and the other two indices, and there is no long-term cointegration relationship between China's foreign exchange reserves and the three indices. It can be seen from the above empirical results that the influence of the change of RMB effective exchange rate index on the macroeconomic variables of China is different under different weights.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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