【摘要】：以BQ-SVAR模型為基礎,構建多種動態(tài)方法把匯率波動分解為由供給因素、需求因素和名義因素解釋的三部分,以此揭示1985—2010年間驅動人民幣匯率波動的原因。經(jīng)驗結果顯示不論是雙邊實際匯率還是人民幣實際有效匯率的動態(tài)特征并不像典型的轉軌國家那樣,主要由供給沖擊因素所解釋。相反,它更為接近發(fā)達國家的情形,即需求沖擊因素和名義沖擊因素對實際匯率波動的影響占據(jù)主導地位。與此同時,本文還發(fā)現(xiàn)人民幣兌換美元、日元和英鎊雙邊匯率中分解出的三類沖擊成分之間存在顯著正相關關系,但匯改后相關性變小,且顯著性水平下降,說明匯改制度使得人民幣兌換美元匯率對人民幣兌換各國貨幣之間雙邊匯率的影響減弱,從而能夠避免由于人民幣兌換美元升值引發(fā)的結構性失衡,有利于穩(wěn)定人民幣匯率預期。
[Abstract]:Based on the BQ-SVAR model, this paper constructs a variety of dynamic methods to decompose the exchange rate volatility into three parts, which are explained by supply factor, demand factor and nominal factor, so as to reveal the reasons driving RMB exchange rate volatility from 1985 to 2010. The empirical results show that the dynamic characteristics of both the bilateral real exchange rate and the RMB real effective exchange rate are not mainly explained by the supply shock factors as in typical transition countries. Instead, it is closer to the developed world, where demand shocks and nominal shocks dominate the real exchange rate volatility. At the same time, the paper also finds that there is a significant positive correlation between the three kinds of impact components of RMB exchange rate to US dollar, Japanese yen and sterling, but the correlation becomes smaller and the level of significant decline after the exchange rate reform. It shows that the exchange rate reform system has weakened the impact of the RMB exchange rate against the US dollar on the bilateral exchange rate between the RMB and the currencies of various countries, thus avoiding the structural imbalance caused by the appreciation of the RMB against the US dollar. This will help stabilize the expectation of RMB exchange rate.
【作者單位】： 華南師范大學;
【基金】：教育部人文社科規(guī)劃項目(09YJA790118)、教育部“博士研究生學術新人獎”(ZX11b1) 中央高校基本科研業(yè)務費專項基金(201122G011) 廣東省哲學社會科學“十一五”規(guī)劃項目(08GE-10)
【分類號】：F224;F832.6
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本文編號：2428116