人民币汇率波动影响我国外汇储备变动的理论模型和实证研究

发布时间：2018-09-08 11:07

【摘要】：本文在综合考虑国际收支和外汇储备需求的基础上构建了人民币汇率波动影响外汇储备的理论模型,并利用相关数据实证检验了人民币汇率波动对外汇储备的影响.模型结果表明:规模变量、进口倾向、国外收入及汇率因素对外汇储备需求的影响取决于这些变量各自对外汇储备瞬时变化的确定性部分μ的影响.实证结果表明:长期上,规模变量、进口倾向、名义有效汇率、实际有效汇率对外汇储备变动都具有显著正效应;而储备增长自身波动、实际有效汇率波动及汇率制度对外汇储备变动均呈明显负影响;国外收入、中美实际利差、名义有效汇率波动对外汇储备变动的影响不明显.短期内,名义有效汇率及实际有效汇率变动对外汇储备变动都呈明显负效应,国外收入具有显著正影响,而其它变量的变化对外汇储备影响不明显.
[Abstract]:Based on the comprehensive consideration of the balance of payments and the demand for foreign exchange reserves, this paper constructs a theoretical model of the influence of RMB exchange rate fluctuations on foreign exchange reserves, and empirically tests the impact of RMB exchange rate fluctuations on foreign exchange reserves by using relevant data. The results show that the influence of scale variables, import tendency, foreign income and exchange rate factors on the demand for foreign exchange reserves depends on the deterministic partial 渭 of these variables on the instantaneous change of foreign exchange reserves. The empirical results show that: in the long run, the variables of scale, import tendency, nominal effective exchange rate and real effective exchange rate have significant positive effects on the change of foreign exchange reserve, while the reserve growth itself fluctuates. The real effective exchange rate fluctuation and the exchange rate system have obvious negative influence on the change of foreign exchange reserve, while the foreign income, the real interest rate difference between China and the United States, and the nominal effective exchange rate fluctuation have no obvious influence on the change of foreign exchange reserve. In the short term, both the nominal effective exchange rate and the real effective exchange rate have a significant negative effect on the change of foreign exchange reserve, while foreign income has a significant positive effect, while the change of other variables has no obvious effect on foreign exchange reserve.
【作者单位】：中山大学岭南学院经济研究所;厦门大学财政系;
【基金】：国家自然科学基金(2012应急项目,70673116) 国家社科基金重点课题(08AJL007) 北京大学汇丰金融研究院2009年课题中山大学“985工程”产业与区域发展研究创新基地广东社科基金(GD10CYJ01) 中央高校基本科研业务费专项资金(2011221013) 广东省普通高校人文社会科学重点研究基地经费资助成果(08JDXM79001)
【分类号】：F832.6

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