人民币汇率货币篮子权重的测算与研究
发布时间：2018-09-19 17:39
【摘要】：本文使用了传统的Frankel-Wei模型估计一篮子货币隐含权重,并在此基础上,引入了外汇市场压力变量(EMP)对传统模型进行了拓展。在综合考虑外汇市场本身变动与货币篮子相对权重变动的情况下,本文全面考察我国2005年以后的汇率形成机制与汇率安排。同时,本文还以稳定贸易为目标构建了货币篮子最优权重模型,并结合EMP指数实证测算了人民币汇率低估的可能性。 基于人民币汇率的经验分析表明,人民币汇率仍然倾向于“软”钉住美元,而其他非美元货币对人民币汇率形成作用开始逐渐显现。人民币汇率动态走势明显,汇率的弹性与相对灵活性显著增强。此外,根据外汇市场压力指数,人民币汇率面临较大升值压力,而外汇储备的增加和外汇市场本身对人民币升值预期的增强为压力的主要来源。根据货币篮子最优权重模型,人民币汇率存在低估可能。
[Abstract]:In this paper, the traditional Frankel-Wei model is used to estimate the implied weight of a basket of currencies, and on this basis, the foreign exchange market pressure variable (EMP) is introduced to extend the traditional model. Considering the changes of the foreign exchange market itself and the relative weight of the currency basket, this paper makes a comprehensive study of the exchange rate formation mechanism and exchange rate arrangement after 2005 in China. At the same time, this paper constructs the optimal weight model of currency basket with the objective of stable trade, and estimates the possibility of RMB exchange rate undervaluation with EMP index. Empirical analysis based on the yuan exchange rate shows that the yuan still tends to be "soft" against the dollar, while other non-dollar currencies are beginning to play a role in the yuan's exchange rate. The dynamic trend of RMB exchange rate, exchange rate flexibility and relative flexibility significantly increased. In addition, according to the foreign exchange market pressure index, the RMB exchange rate is facing a great pressure of appreciation, and the increase in foreign exchange reserves and the increase in the foreign exchange market's own expectations of RMB appreciation are the main sources of the pressure. According to the optimal weight model of the basket, the RMB exchange rate may be undervalued.
【学位授予单位】：南开大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52;F224
[Abstract]:In this paper, the traditional Frankel-Wei model is used to estimate the implied weight of a basket of currencies, and on this basis, the foreign exchange market pressure variable (EMP) is introduced to extend the traditional model. Considering the changes of the foreign exchange market itself and the relative weight of the currency basket, this paper makes a comprehensive study of the exchange rate formation mechanism and exchange rate arrangement after 2005 in China. At the same time, this paper constructs the optimal weight model of currency basket with the objective of stable trade, and estimates the possibility of RMB exchange rate undervaluation with EMP index. Empirical analysis based on the yuan exchange rate shows that the yuan still tends to be "soft" against the dollar, while other non-dollar currencies are beginning to play a role in the yuan's exchange rate. The dynamic trend of RMB exchange rate, exchange rate flexibility and relative flexibility significantly increased. In addition, according to the foreign exchange market pressure index, the RMB exchange rate is facing a great pressure of appreciation, and the increase in foreign exchange reserves and the increase in the foreign exchange market's own expectations of RMB appreciation are the main sources of the pressure. According to the optimal weight model of the basket, the RMB exchange rate may be undervalued.
【学位授予单位】：南开大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.52;F224
【参考文献】
相关期刊论文 前10条
1 赵进文;高辉;y囋起，
本文编号：2250847
本文链接：https://www.wllwen.com/guanlilunwen/zhqtouz/2250847.html
最近更新
教材专著
