人民币升值预期与国际油价关系的实证研究  

An Empirical Study of the Relationship between the Expectation of RMB Appreciation and International Oil Prices

作　　者：刘浚[1] 

机构地区：[1]上海财经大学财经研究所,上海200433

出　　处：《财经研究》2011年第1期91-100,共10页Journal of Finance and Economics

摘　　要：文章在回顾国内外研究国际油价与汇率关系的基础上,运用溢出效应模型、协整检验、VEC模型对人民币汇率形成机制改革之后国际油价与人民币升值预期的关系进行了实证分析。结果发现:国际油价与人民币升值预期之间具有长期均衡关系,但仅仅存在国际油价对人民币升值预期的单向传导作用,溢出效应方面也只有国际油价对人民币无本金交割远期交易汇率的单向收益溢出效应与波动溢出效应。从短期看,国际油价上涨会削弱人民币升值预期,而从长期看则会增强人民币升值预期。On the basis of foreign and domestic researches on the relationship between international oil prices and exchange rates,the paper applies spillover-effect model,co-integration test and VEC model to carry out an empirical study on the relationship between international oil prices and the expectation of RMB appreciation after the reform of RMB exchange rates formation mechanism.The results show that there is a long-term equilibrium relationship between international oil prices and the expectation of RMB appreciation,but there merely exists a one-way conducting function from international oil prices to the expectation of RMB appreciation.Similarly,international oil prices have the one-way spillover effects with regard to returns and fluctuations on RMB NDF exchange rates.In the short term,the rise of international oil prices will weaken the expectation of RMB appreciation,but in the long term,it will strengthen the expectation of RMB appreciation.

关 键 词：人民币升值预期 无本金交割远期交易 汇率 国际油价 

分 类 号：F830.9[经济管理—金融学]