中美两国汇率波动与相对经济周期的联动性——基于频谱分析的研究

发布时间：2018-10-08 13:36

【摘要】：本文指出人民币兑美元实际汇率波动可能与中美两国间相对经济周期具有紧密的联动性,为此,本文首先构造了一个理论模型对两国间实际汇率波动与相对经济周期关联的存在性进行了论证,随后应用频谱分析技术对1994:Q1至2011:Q4人民币兑美元实际汇率波动与中美相对经济周期的联动性进行了实证检验。主要的结论有两个,一是在样本时段内中美相对经济周期领先于人民币兑美元实际汇率的波动,二是在4年左右一个波动周期的频域内二者的联动性最高。以上结论说明中美相对经济周期是人民币兑美元汇率波动的决定因素,而调整人民币兑美元汇率并不能改变中美两国经济的失衡关系。
[Abstract]:This paper points out that the fluctuation of the real exchange rate of RMB against the US dollar may have a close linkage with the relative economic cycle between China and the United States. In this paper, we first construct a theoretical model to demonstrate the existence of the correlation between the real exchange rate fluctuations and the relative economic cycles between the two countries. Then the paper makes an empirical test on the linkage between the real exchange rate fluctuation of 1994:Q1 to 2011:Q4 and the relative economic cycle between China and the United States by using spectrum analysis technology. There are two main conclusions: one is that the relative economic cycle of China and the United States is ahead of the fluctuation of RMB / US real exchange rate in the sample period, and the other is that the two have the highest linkage in the frequency domain of a fluctuation period of about 4 years. The findings suggest that the relative economic cycle between China and the United States is the determining factor in the volatility of the renminbi against the dollar, and the adjustment of the yuan against the dollar does not change the unbalanced relationship between the economies of China and the United States.
【作者单位】：上海财经大学金融学院;
【基金】：国家社会科学基金重大项目《保持经济稳定、金融稳定和资本市场稳定对策研究》(批准号:08&ZD036)的阶段性成果上海市金融学会青年课题上海财经大学校级重点研究基地课题的支持
【分类号】：F224;F832.6;F125.5

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