中国官方汇率与黑市汇率的结构平稳性和联动性研究  

Research on the Structural Stationarity and Correlativity of Black and Official Exchange Rates in China

作　　者：夏南新[1] 

机构地区：[1]中山大学岭南学院

出　　处：《数量经济技术经济研究》2007年第7期89-96,共8页Journal of Quantitative & Technological Economics

基　　金：2005年国家社会科学基金的资助(编号05BJL062);课题名称:<地下经济对国家经济安全影响的实证研究>

摘　　要：本文试图检验人民币兑换美元的官方汇率和黑市汇率在1961年1月至2005年8月间的结构平稳性,并基于向量自回归(VAR)系统分析这两种汇率的Granger因果性和脉冲响应。同时,从对黑市外汇需求角度剖析了影响黑市名义汇率波动的因素,从而揭示了黑色汇市存在的关键原因。最后,就黑色汇市现状对官方汇市制度的影响进行了深刻反思。This paper attempts to investigate the stationarity ot the series of Chinese official and black exchange rates for the U. S. dollar by employing monthly data over the period Jan. 1961 to Aug. 2005, its framework is to analyze the empirical evidence of the Granger causal relationships between them during the sub - pe- riods and the impulse response on account of the Vector Autoregression （VAR） System methodology, meanwhile which gives an analysis to the significant impact factors of the fluctuation of the black nominal exchange rate, thereby showing the dominant causes of the existence of the black exchange market in inflexible exchange rate regimes, finally, developing deepen self - examination as far as its objective reality goes in the long run.

关 键 词：官方汇率 黑市汇率 结构平稳性 联动性 

分 类 号：F830.92[经济管理—金融学]