人民币汇率波动成因分解研究——基于BQ-SVAR模型的估计  

Causes Decomposition of RMB Exchange Rate Based on BQ-SVAR Model

作　　者：陈创练[1] 

机构地区：[1]华南师范大学,广州510006

出　　处：《中国经济问题》2011年第6期65-75,共11页China Economic Studies

基　　金：教育部人文社科规划项目(09YJA790118);教育部"博士研究生学术新人奖"(ZX11b1);中央高校基本科研业务费专项基金(201122G011);广东省哲学社会科学"十一五"规划项目(08GE-10)

摘　　要：以BQ-SVAR模型为基础,构建多种动态方法把汇率波动分解为由供给因素、需求因素和名义因素解释的三部分,以此揭示1985—2010年间驱动人民币汇率波动的原因。经验结果显示不论是双边实际汇率还是人民币实际有效汇率的动态特征并不像典型的转轨国家那样,主要由供给冲击因素所解释。相反,它更为接近发达国家的情形,即需求冲击因素和名义冲击因素对实际汇率波动的影响占据主导地位。与此同时,本文还发现人民币兑换美元、日元和英镑双边汇率中分解出的三类冲击成分之间存在显著正相关关系,但汇改后相关性变小,且显著性水平下降,说明汇改制度使得人民币兑换美元汇率对人民币兑换各国货币之间双边汇率的影响减弱,从而能够避免由于人民币兑换美元升值引发的结构性失衡,有利于稳定人民币汇率预期。Based on the BQ-SVAR model,we provide various dynamic approaches to decompose the supply shock, demand shock and nominal shock components of RMB exchange rate, and the then analyze the driving force of RMB exchange rate fluctuations from 1985 to 2010. The empirical results show that demand shock and nominal shock play a dominant role in explaining the real RMB exchange rate fluctuations. However, the supply shock does not seem to be a major source of disturbances. Furthermore ,we find that the correlation-ship among three decomposed shocks of real RMB/USD, RMB/Yen and RMB/Pound are significant and positive, however, the correlated coefficients and significant level decline after the exchange rate reform in July 2005. Thus,exchange rate reform makes the bilateral exchange rate become tess influenced by the RMB/USD, and avoids structural imbalance due to the appreciation of RMB/USD, which is conducive to the stability of the expectation of RMB exchange rate.

关 键 词：BQ—SVAR 结构式冲击分解 乔基斯方法 递归预测方差分解 

分 类 号：F224[经济管理—国民经济] F832.6