人民币有效汇率演变特征——基于结构变化的检验  

Evolution Characteristics of RMB Effective Exchange Rate:Test Based on Structural Break

作　　者：叶冠世 滕建州[1] 王慧姝[1] 

机构地区：[1]东北师范大学经济学院,长春130117

出　　处：《技术经济》2015年第9期84-89,共6页Journal of Technology Economics

摘　　要：采用最小拉格朗日乘子单位根检验方法,研究了人民币实际有效汇率的结构突变。利用人民币实际有效汇率的年度数据和月度数据,通过对结构断点进行外生性检验和内生性检验,描述了人民币有效汇率长期趋势的动态特征并进行了经济学解释。结果显示:1997年亚洲金融危机和2005年中国汇率改革使得人民币实际有效汇率发生了较为明显的结构变化,而2008年国际金融危机和其他经济事件对其长期走势的影响不大。This paper studies the structural change of RMB real effective exchange rate by minimum LM unit root test. Based on the exogenous and endogenous inspection of structural breaks,it describes the long-run trend of RMB effective exchange rate. It examines the structural chan- ges of RMB real effective exchange rate by using annual and monthly data. The result shows that RMB real effective exchange rate takes on obvious structural changes after Asian financial crisis in 1997 and exchange rate reform in 2005,while financial crisis in 2008 and other economic events has unobvious impact its long-run trend.

关 键 词：人民币汇率 实际有效汇率 结构变化 

分 类 号：F832.6[经济管理—金融学]