人民币汇率波动存在汇率超调吗?--基于汇改后月度数据的实证检验  

Is There Overshooting of RMB Exchange Rate in Its Fluctuation?--An Empirical Study Based on Monthly Data after the Exchange Rate Reform

作　　者：刘永泉[1] 李萍[2] Liu Yongquan;Li Ping(Jiaxing Vocational&Technical College;College of Business,Jiaxing University,Jiaxing,Zhejiang 314001)

机构地区：[1]嘉兴职业技术学院外语与贸易学院 [2]嘉兴学院商学院,浙江嘉兴314001

出　　处：《嘉兴学院学报》2020年第2期95-101,共7页Journal of Jiaxing University

摘　　要：2005年7月汇改后,人民币汇率波动性显著增强。为研究人民币升值过程中是否存在"汇率超调"现象,以2005年8月到2018年12月的月度数据为研究样本,在汇率货币分析法基础上建立人民币汇率决定模型,使用误差修正法实证分析人民币汇率的长期均衡和短期调整关系,实证发现:汇改后虽然人民币汇率波动性增强,但并不存在汇率超调问题。Since the exchange rate reform in July 2005,RMB exchange rate has experienced significantly fluctuation. In order to determine whether there is RMB exchange rate overshooting in the rising process of its value,we,taking the monthly data from August 2005 to December 2018 as study example,establish an RMB exchange rate determination model based on the monetory approach and carry out an empirical analysis of the long-term equilibrium and short-term adjustment by using the vector error correction model. The results indicate that though RMB exchange rate experiences more intensive fluctuation,overshooting does not existent after China’s exchange rate reform.

关 键 词：人民币 汇率 汇改 汇率超调 VEC模型 

分 类 号：F832.63[经济管理—金融学]