人民币参考一篮子货币汇率制度演进的静态和动态分析  

A Static and Dynamic Analysis of the Evolution of the RMB Exchange Rate Regime with Reference to a Basket of Currencies

作　　者：王廷文 WANG Tingwen(School of Statistics and Management,Shanghai University of Finance and Economics,Shanghai 200433)

机构地区：[1]上海财经大学统计与管理学院,上海200433

出　　处：《上海立信会计金融学院学报》2020年第4期14-26,共13页Journal of Shanghai Lixin University of Accounting and Finance

摘　　要：本文从静态和动态两个角度研究我国一篮子货币汇率制度演进特征。在拓展交叉汇率模型基础上,使用结构变动模型对人民币汇率演进机制进行静态研究,检验汇率结构变动点,识别汇率制度变化过程;利用时变系数分位数回归,估计篮子货币时变权重,动态刻画篮子汇率制度演进轨迹。研究发现:人民币汇率制度改革具有渐进性、多元性和灵活性等特点,汇率制度弹性越来越强;美元的篮子货币中心地位短期内不会动摇,且随着中美贸易摩擦的持续,美元权重再次提升。本文从汇率制度阶段性调整和时变货币权重两个角度提出增加汇率弹性的建议,并从政策实际落地时间和政策实施效果两个方面理解汇率制度改革,这对汇改方向选择具有借鉴意义。This paper utilizes static and dynamic perspectives to explore the evolution mechanism of RMB exchange rate with the reference to a basket of currencies.On the basis of expanding the cross-exchange rate model,the paper uses the structural change model to conduct static research on the evolution mechanism of the RMB exchange rate to test the changes in the exchange rate structure.In addition,the paper introduces the Quantile Regression with time-varying coefficients to estimate the time-varying weight of Basket Currencies and dynamically describes the evolution of basket exchange rate.Study shows that the reform of RMB is characterized by gradualism,diversity,and flexibility,and exchange rate regime becomes more and more flexible.The paper also finds that the U.S.dollar’s position as the center of the basket of currencies will not be undermined in the short term.As China and America trade tension continues,the weight of the U.S.dollar in the basket of currencies will once again be improved.The paper proposes suggestions for increasing exchange rate flexibility from the perspectives of the phased adjustment of the exchange rate system and the weight of time-varying currencies,and helps to understand the exchange rate system reforms from the actual implementation time of the policy and the effect of the implementation of the policy.The present study also provides a reference to the exchange rate reform.

关 键 词：人民币 篮子货币 汇率制度 

分 类 号：F830.92[经济管理—金融学] F832.5