汇改前后人民币实际汇率对外汇储备增长的非线性影响的实证研究  

Empirical Study on Effects of Real RMB Exchange Rate upon Foreign Exchange Reserve before and after Exchange Rate Reform

作　　者：黄飞雪[1] 李成[1] 

机构地区：[1]大连理工大学管经学部经济学院,116024

出　　处：《国际贸易问题》2011年第4期135-149,共15页Journal of International Trade

基　　金：国家自然科学基金(70903011);教育部人文社会科学研究项目基金(09YJC790025);中央高校基本科研业务费专向资助基金(DUT10ZD107)

摘　　要：本文针对人民币实际有效汇率变化对外汇储备增长影响的问题,提出运用非线性的STR模型进行实证分析。选取汇改前(1999年1月到2005年7月)和汇改后(2005年7月至2010年9月)两个时期的月度数据,得出结果发现:(1)汇改前后人民币实际汇率的变化对外汇储备增长具有非线性关系。(2)汇改前,随着人民币实际汇率增长率的不断增大,非线性部分的影响逐渐显著,当转换函数值向1趋近时,人民币实际汇率每增长1%,外汇储备就减少1.65%;在汇改后,当人民币实际汇率出现轻微的增长即增长率小于0.649%时,非线性影响会非常显著,此时人民币贬值对外汇储备增长具有较大的抑制作用,人民币实际汇率每增长1%,外汇储备就减少0.73%。而只要人民币实际汇率的增长率不超过3.543%,人民币实际汇率的变化与外汇储备增长之间就保持着稳定的线性关系,一旦增长率超过3.543%,则线性关系迅速向非线性关系转化,此时,1%的人民币实际汇率的增长将导致外汇储备减少0.73%。(3)人民币实际汇率上升,即人民币实际贬值,对外汇储备增长具有抑制作用;而人民币实际汇率下降,即人民币实际升值,能拉动外汇储备的增长。因此,应改革中国的结售汇体制,真正实现藏汇于民,同时进一步增强人民币汇率弹性,扩大其浮动区间,从而加大投机进出资金的风险成本,抑制其投机操作,起到释放人民币升值压力、减少外汇储备快增的作用。This paper examines the impact of the real RMB exchange rate on the foreign exchange reserve using the nonlinear model STR.Two periods are selected which are before exchange rate reform（Jan.1999 to Jul.2005） and after exchange rate reform（Jul.2005 to Sep.2010）.The finding results are：（1） Obvious nonlinear relationship exists between real RMB exchange rate and foreign exchange reserve before and after exchange rate reform.（2）Before exchange rate reform,with the increase of growth rate of real RMB exchange rate,the impact of nonlinear part is becoming obvious.When transformed function is approaching to 1,foreign exchange reserve decreases by 1.65% as real RMB exchange rate increases by 1%.After exchange rate reform when the growth rate of real RMB exchange rate is smaller than 0.649%,the nonlinear part is very obvious which means that RMB devaluation inhibits the foreign exchange reserve growth,and real RMB exchange rate grows by 1% will cause foreign exchange reserve decreases by 0.73%.So long as the growth rate of real RMB exchange rate does not exceed 3.543%,there is steady linear relation existing between real RMB exchange rate and foreign exchange rate.Once the growth rate is beyond 3.543%,linear relation transforms quickly to nonlinear relation.1% growth rate of real RMB exchange rate will lead 0.73% decrease of foreign exchange reserve.（3） The rise of real RMB exchange rate which means RMB devaluation has inhibited effect on foreign exchange reserve growth;the decline of real RMB exchange rate which means RMB appreciation promotes the growth of foreign exchange reserve.So the system of foreign exchange settlement and sale should be reformed and foreign exchange held by the people should be put into practice.At the same time RMB exchange rate flexibility should be enhanced and speculative operations should be restrained,which will play a great role on releasing pressure of RMB appreciation and reducing the fast growth of foreign exchange reserve.

关 键 词：人民币实际有效汇率 外汇储备 平滑转换自回归(STR)模型 

分 类 号：F832.6[经济管理—金融学]