基本面因素与人民币汇率的协整和方差分析——基于行为均衡汇率理论  

Cointegration and Variance Analysis on Fundamentals and RMB Exchange Rate——Based on the BEER Theory

作　　者：邵彩虹[1] 王晓丹[2] 

机构地区：[1]中国人民大学经济学院,北京100872 [2]中南财经政法大学金融学院,武汉430073

出　　处：《经济问题》2012年第6期100-103,共4页On Economic Problems

摘　　要：在行为均衡汇率理论的基础上,选择对美净出口额、国内生产总值、广义货币供给量和实际利率作为影响人民币汇率的基本面因素,进行协整和方差分析。协整回归结果表明:在长期,广义货币供给量和对美贸易是影响人民币汇率的两个重要因素,广义货币供给量的弹性大于对美贸易量的弹性。但方差分析结果显示:对美贸易量对人民币汇率的贡献程度却大于广义货币供给量对人民币汇率的贡献程度。Based on the theory of BEER, this article chooses net exports to the USA, GDP, M2 and effective in- terest rates as the foundamentals. By ADF test and eointegration test , this article sets up the regression equation of net exports to the USA, GDP, broad money supply, effective interest rates and RMB exchange rate. Over the long term, broad money supply and net exports to the USA are the most important factors to affect RMB exchange rate, and the elasticity of broad money supply is greater than that of net exports to the USA. But the result of cointegra- tion test shows differently： the contribution of net exports to the USA has exceeded that of broad monev ~unnlv_

关 键 词：贸易顺差 ADF检验 协整检验 方差分析 

分 类 号：F832.6[经济管理—金融学]