人民幣匯率貨幣籃子權(quán)重的測(cè)算與研究
發(fā)布時(shí)間：2018-09-19 17:39
【摘要】：本文使用了傳統(tǒng)的Frankel-Wei模型估計(jì)一籃子貨幣隱含權(quán)重,并在此基礎(chǔ)上,引入了外匯市場(chǎng)壓力變量(EMP)對(duì)傳統(tǒng)模型進(jìn)行了拓展。在綜合考慮外匯市場(chǎng)本身變動(dòng)與貨幣籃子相對(duì)權(quán)重變動(dòng)的情況下,本文全面考察我國(guó)2005年以后的匯率形成機(jī)制與匯率安排。同時(shí),本文還以穩(wěn)定貿(mào)易為目標(biāo)構(gòu)建了貨幣籃子最優(yōu)權(quán)重模型,并結(jié)合EMP指數(shù)實(shí)證測(cè)算了人民幣匯率低估的可能性。 基于人民幣匯率的經(jīng)驗(yàn)分析表明,人民幣匯率仍然傾向于“軟”釘住美元,而其他非美元貨幣對(duì)人民幣匯率形成作用開(kāi)始逐漸顯現(xiàn)。人民幣匯率動(dòng)態(tài)走勢(shì)明顯,匯率的彈性與相對(duì)靈活性顯著增強(qiáng)。此外,根據(jù)外匯市場(chǎng)壓力指數(shù),人民幣匯率面臨較大升值壓力,而外匯儲(chǔ)備的增加和外匯市場(chǎng)本身對(duì)人民幣升值預(yù)期的增強(qiáng)為壓力的主要來(lái)源。根據(jù)貨幣籃子最優(yōu)權(quán)重模型,人民幣匯率存在低估可能。
[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.
【學(xué)位授予單位】：南開(kāi)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：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.
【學(xué)位授予單位】：南開(kāi)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.52;F224
【參考文獻(xiàn)】
相關(guān)期刊論文 前10條
1 趙進(jìn)文;高輝;y囋起，
本文編號(hào)：2250847
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