人民币名义汇率与实际汇率的市场分割现象——基于结构突变理论的经验证据  

Research on the Market Segmentation Phenomenon of RMB Nominal Exchange Rate and Real Exchange Rate——Empirical Evidence from Structural Break Theory

作　　者：尹福生[1] 夏阿林[1] 莫扬[1] 

机构地区：[1]暨南大学经济学院

出　　处：《产经评论》2016年第3期153-160,共8页Industrial Economic Review

基　　金：国家自然科学基金重点项目"推动经济发达地区产业转型升级的机制与政策研究"(项目编号71333007;项目负责人:胡军)

摘　　要：把人民币有效汇率视为多个市场主体共同作用的结果,采用Perron类方法检测其结构突变现象,重点分析不同市场主体行为差异及其影响。实证结果显示人民币名义有效汇率和实际有效汇率表现出截然不同的结构突变特征,表明市场主体之间可能存在分割现象。央行和金融机构虽然稳定了人民币名义汇率,但并没有消除中国实体经济主体(消费者和生产者)承受的汇率风险。1997年东南亚经济危机和2001年末中国加入WTO两个关键外部事件,对中国实体经济产生了重大冲击。最后提出:由于市场分割,人民币双边名义汇率反映的信息较贸易加权的多边汇率更为真实,央行宜更多关注如何消除实际汇率风险。We consider RMB real effective exchange rate( REER) as the result of several markets' interaction. Using the method of Perron( 2009) to test RMB REER's structural break,the paper focuses on analyzing the differences of market entities and their impacts. The empirical results show distinct features of structural break between real effective exchange rate and nominal effective exchange rate( NEER) of RMB,which indicates the existence of market segmentation. Although central bank and financial institutions stabilize RMB nominal exchange rate,exchange rate risks undertaken by China's real economic entities( Consumers and producers) aren't eliminated. Southeast Asian economic crisis in 1997 and China's accession to WTO in the end of 2002 which changed long- term trend of RMB real exchange rate,had a significant impact on China's real economy. Finally,some political suggestions are proposed.

关 键 词：结构突变 人民币 名义汇率与实际汇率 市场分割现象 主体行为差异 

分 类 号：F830.9[经济管理—金融学]