人民币汇率形成机制动态演进的实证分析  

Empirical Analysis on Dynamic Evolution of RMB Exchange Rate Formation Mechanism

作　　者：田涛[1] 谢润德[2] 商文斌[1] 

机构地区：[1]湖北科技学院经济与管理学院,湖北咸宁437100 [2]武汉大学经济与管理学院,湖北武汉430072

出　　处：《国际商务（对外经济贸易大学学报）》2015年第1期71-82,共12页INTERNATIONAL BUSINESS

基　　金：湖北省教育厅人文社会科学研究项目(14Q107);国家自然科学基金面上项目(71273200)

摘　　要：运用交叉汇率滚动回归以及DCC-GARCH模型实证分析了2002年以来人民币汇率形成机制的动态演进规律。研究结果表明:"汇改"取得了显著的效果,人民币已经改变了"汇改"前盯住美元的汇率制度,多种货币组成的篮子格局初步形成;尽管美元仍然在货币篮子中居于主导地位,但是林吉特、新加坡元以及泰铢等发展中国家以及新兴市场经济国家的货币在货币篮子中影响逐步增大;"汇改"后不同阶段的货币篮子构成并不完全相同,其中欧元、日元、加拿大元等发达国家货币在货币篮子中的权重逐步减少甚至消失,而新兴市场经济国家以及发展中国家的货币在篮子货币中的重要性初步显现,并且,人民币汇率形成机制灵活性逐步提高。This paper employs rolling regressions of cross exchange rate and DCC-GARCH model to study the dynamic evolution of RMB exchange rate re- gime since 2002. The result shows that： exchange rate reform has obtained re- markable effect. RMB has seen its mechanism of pegging to US dollar changed and the pattern of multiple currency baskets has preliminary been formed. Al- though the leading position of US dollar has not changed, currencies in develop- ing countries and emerging market economies such as Ringgit, Thai Baht and Sin- gapore dollar are coming to play an important role in the basket. The structure of Basket of currencies varies with time and the weight of the Euro, Yen, Cana- dian dollar and other currencies of developed countries in the basket gradually re- duced or even disappeared while currencies of emerging market economies and developing countries in the basket become more important and exchange rate flex- ibility has gradually increased after the RMB exchange reform in 2005.

关 键 词：人民币汇率 货币篮子 外汇市场压力 

分 类 号：F832.6[经济管理—金融学] F224