人民币汇率回滞问题的供求分析及SUR检验  

Supply and Demand Analysis on Hysteresis of RMB Exchange Rate and Its SUR Test

作　　者：陈平[1] 谭秋梅[2] 

机构地区：[1]中山大学岭南学院副 [2]中山大学岭南学院

出　　处：《国际金融研究》2006年第5期41-49,共9页Studies of International Finance

基　　金：本文受国家社会科学基金项目 "人民币汇率改革与资本帐户开放" (编号:04BJY083)的资助。

摘　　要：人民币汇率是否存在回滞的问题关系到我国汇率政策的效果。本文在国內 外相关研究的基础上,对汇率回滞问题从理论和实证两方面进行了拓展。在理论上建立了供求分析框架,尝试更系统地分析汇率回滞对汇率传导机制的影响;在实证上应用了SUK 模型,运用多国数据分两阶段间接检验人民币是否存在回滞。检验结果表明,人民币汇率存在回滞,这表明2005年7月21日后的人民币小幅升值对我国出口贸易不存在很大的影响,同时也为我国的汇率传导机制的深入研究、贸易结构调整和出口企业的贸易行为提供了很有价值的参考。Whether there exists hysteresis in RMB relates to the effects of China＇s exchange policy. Based on domestic and international related researches, this paper intended to continue the hysteresis study in RMB exchange rates both from theories and empirical study. Here we build up supply and demand analysis frame theoretically, trying to analyze the impacts of hysteresis on transmission mechanism of the exchange rate. Besides, applying SUR model , this paper uses multinational data and tests indirectly in two stages to see if there exists hysteresis in RMB. The findings show that there exists hysteresis in RMB, which means that the slight appreciation of RMB from July 21, 2005 has no great impacts on China＇s exports. Meanwhile, it has far-reaching significance for further studies on transmission mechanism of RMB exchange rate, the adjustments of foreign trade structure, and behaviors of exporters.

关 键 词：汇率 回滞 因市定价 沉淀成本 

分 类 号：F831[经济管理—金融学]