资本控制下人民币汇率决定的实证检验——基于Dornbusch超调模型的扩展  

An Empirical Study on RMB Exchange Rate Determination under Capital Control Based on Dornbusch Overshooting Model

作　　者：王蕊[1] 

机构地区：[1]西南财经大学经济与管理研究院,四川成都611130

出　　处：《国际经贸探索》2014年第5期62-75,共14页International Economics and Trade Research

摘　　要：文章通过加入资本控制变量对传统的超调模型进行修正;选取2000至2012年的月度数据,实证检验影响人民币名义有效汇率的因素,特别是其与资本控制程度和国内货币供应量的关系;通过建立向量误差修正模型考察人民币名义有效汇率是否存在超调现象。研究发现:资本控制程度和国内货币供应量是影响人民币名义有效汇率变化的重要因素;国内货币扩张对人民币汇率升值存在重叠与放大效应,加剧了人民币内外价值偏离的程度;货币供给扩张除了直接促使人民币升值外,还导致资本控制程度同向变动,间接推动人民币进一步升值;这种机制具有反向自我修正的动态机制,即人民币名义有效汇率存在超调现象。The traditional overshooting model is based on the assumption of full capital mobility. However, China has been strict with capital control. Thus, it is necessary to take capital control into consideration when we analyze the fluctuation of the exchange rate of RMB by using the overshooting model. This paper tries to modify the traditional overshooting model by adding variables measuring capital control, to test the factors that influence the effective normal exchange rate of RMB, especially the relationship between capital control and money supply, and to verify whether there exists overshooting in RMB by VECM with the monthly data from 2000 to 2012. It concludes that the effective normal exchange rate of RMB can be explained by capital control and money supply. On the one hand, the increase of capital control on interest can decrease the exchange rate of RMB. On the other hand, with the effect of capital control, money supply significantly influences the exchange rate of RMB in the long run, and this influence is armed with a self-corrected dynamic mechanism. The effective normal exchange rate of RMB will overshoot in terms of money supply under capital control.

关 键 词：人民币汇率 资本控制 超调模型 货币供应量 

分 类 号：F832.6[经济管理—金融学]