中国参照一篮子货币的汇率制度:理论框架与实证考察

发布时间：2018-08-15 18:39

【摘要】：在汇率制度选择中经常存在言行不一的问题,这也成为美国指责中国操纵汇率的主要借口。文章在构建一个广义的汇率制度识别框架的基础上,利用时变系数模型甄别了2000-2013年中国实际实行的汇率制度。研究发现,中国在2005年"汇改"前实行的是严格盯住美元的汇率制度,之后实行的是参照一篮子货币的浮动汇率制度,即以"汇率篮子、波动范围和爬行速度"为操作核心的"BBC体制"。在人民币汇率篮子中,美元的平均权重达0.91且呈现V形变化,其他货币如欧元、新加坡元、卢布的权重也是显著的且呈现阶段性变化;在2008年以后,人民币汇率篮子中的币种通常是"美元+x"的二元组合,货币当局对货币x的选择是以降低整体的波动性为依据的。人民币汇率弹性总体上以2010年7月为界呈现Λ形变化;在2005年7月以后,人民币整体上处于升值通道中,但其爬行速度以2009年3月为界呈现先快后慢的V形变化。
[Abstract]:There is often a lack of words and deeds in the choice of exchange rate regime, which is also a major excuse for the United States to accuse China of manipulating its exchange rate. On the basis of constructing a broad framework for identifying the exchange rate regime, this paper uses the time-varying coefficient model to identify the actual exchange rate regime in China from 2000 to 2013. The study found that China's exchange rate system, which was strictly pegged to the US dollar before the "exchange rate reform" in 2005, followed by a floating exchange rate system with reference to a basket of currencies, that is, "exchange rate basket." Fluctuation range and crawling speed "is the core of the operation of the" BBC system ". In the RMB basket, the average weight of the US dollar is 0.91 and is V-shaped, while the weights of other currencies such as the euro, the Singapore dollar and the rouble are significant and phased; after 2008, The currency in the yuan basket is usually a dualistic combination of "dollar x", and the monetary authority's choice of currency x is based on reducing overall volatility. The elasticity of RMB exchange rate generally shows a change in the shape of A shape in July 2010; after July 2005, the RMB is in the channel of appreciation as a whole, but its crawling speed takes March 2009 as the boundary, showing the V-shape change of first fast and then slow.
【作者单位】：首都经济贸易大学金融学院;首都经济贸易大学金融风险研究院;
【基金】：首都经济贸易大学校级科研项目(2014XJQ008) 首都经济贸易大学2013年度科研基金项目的资助
【分类号】：F832.6

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