人民币实际汇率波动与货币替代的实证研究  

The Empirical Study on the Volatility Real Exchange Rate of RMB and Currency Substitution

作　　者：张荔[1] 张庆君[2] 

机构地区：[1]辽宁大学经济学院,辽宁沈阳110036 [2]渤海大学金融系,辽宁锦州121013

出　　处：《金融研究》2010年第2期68-75,共8页Journal of Financial Research

摘　　要：本文根据中国汇改以来的人民币名义汇率月度数据,测算了人民币实际汇率及其波动性,并分析了人民币实际汇率及其波动性对货币替代率的影响。研究结果表明,长期内,人民币贬值会导致货币替代率增加,而人民币实际汇率波动性水平对货币替代率影响不显著;短期内,人民币贬值和与汇率波动性增强都会导致货币替代率的增加,由于受价格粘性和货币市场刚性等因素影响,短期影响有一定的滞后性,并且弹性值也要小于长期。长期以来,人民币汇率稳定的升值趋势,使我国货币替代率的保持相对稳定,为人民币国际化提供了有利的条件,也应该充分考虑货币替代可能带来的风险。The paper calculates RMB real exchange rate and its volatility by using China＇s monthly data from July of 1995 to June of 2009, and analyses the influence of RMB nominal exchange rate and its volatility on currency substitution ratio. The result indicates that steady equilibrium relation exists between RMB real exchange rate and currency substitution ratio, but not between the volatility of RMB real exchange rate and the currency substitution ratio. The depreciation of real exchange rate and the increment of volatility of real exchange rate made the exaltation of currency substitution ratio, because of stickiness of prices and rigidity of money market, the short date influence has the lag factor, and flexibility value also is smaller than in long term. For long time, because of the stability of appreciation trend of RMB exchange rate, the currency substitution ratio keep opposite stability in China, which provide a beneficial condition for the internationalization of RMB, but we should also consider the risk of currency substitution.

关 键 词：汇率水平 汇率波动 货币替代 

分 类 号：F832.6[经济管理—金融学] F224