汇改后人民币汇率形成机制的动态演进  

Research on the Dynamic Evolution of RMB Exchange Rate Formation Mechanism after the Reform

作　　者：白晓燕[1] 唐晶星[1] 

机构地区：[1]武汉大学经济与管理学院金融系

出　　处：《国际金融研究》2013年第7期40-50,共11页Studies of International Finance

基　　金：湖北省教育厅人文社会科学研究项目"人民币汇率制度转型的长短期路径设计";武汉大学"70后"团队项目的研究成果

摘　　要：本文综合运用交叉汇率滚动回归、多重结构变动模型和引入外汇市场压力的扩展模型,从两个维度——汇率与货币篮子的关联程度以及汇率机制的灵活程度,实证研究人民币汇率形成机制的动态演变。研究发现,汇改既取得明显成效又具有显著渐进性,表现为多货币的篮子格局已初步形成,美元仍在其中居于主导,日元、韩元、林吉特和新加坡元曾经或正在发挥影响;经济冲击使篮子货币的权重分布发生多次结构变动;人民币升值中有10%-30%受市场力量推动,汇率机制灵活性相当可观。The paper employs rolling regressions of cross exchange rate, model of multiple structural changes and an extended model introducing EMP to study the dynamic evolution of the RMB exchange rate regime positively from two dimensions-the relation between exchange rate and currency basket as well as the flexibility of the exchange rate regime. The research reveals that a basket composed of multiple currencies such as the US dollar, Japanese Yen, Korean Won, Malaysian Ringgit and Singapore Dollar has been established and the weights of currencies have experienced several structural changes. Almost10%-30% of RMB＇s appreciation is prompted by market power and the exchange rate regime flexibility is substantial.

关 键 词：人民币汇率 货币篮子 结构变动 外汇市场压力 

分 类 号：F831[经济管理—金融学]