人民币汇率一揽子挂钩的假设性探讨

A Proposal for the Optimal Currency Basket Peg for the RMB

本文对人民币汇率一揽子挂钩机制作了假设性探讨。在稳定国际贸易收支的目标函数下,我们估计了各主要货币在人民币汇率一揽子挂钩中的权重。研究表明,美元、日元和欧元在一揽子货币中占了绝大部分,而其中美元和日元又占主导地位。考虑香港特区的转口贸易会进一步加大美元的比重,这个结果与纯粹的以出口贸易为基础的美元、日元和欧元“三三制”权重有很大的差异,原因在于,国际贸易收支的变动不仅仅与出口有关,还与进口、进出口的价格(汇率)弹性、居民的平均和边际消费倾向有关。计量结果表明,人民币非交割远期的变动几乎与美元的变动有一一对应的关系,其他货币的作用可以忽略不计。

We have a proposed study upon the currency basket peg for the RMB(or Chinese Yuan,CNY).The weights in the basket for major foreign currencies are estimated based upon the objective function of stabilizing the trade balance.We find that the USD,the Euro,and the Yen account for more than 77% of the total bas- ket,and the USD and the Yen dominate other currencies.Taking into consideration Hong Kong's re-exports will increase the weight of the USD significantly.This result contrasts the one suggested by Goldstein(2003, 2004),where the USD,the Euro,and the Yen have roughly the equal weights.The difference comes from the fact that the change of the trade balance is related not only to the exports,but also to the imports,the price(the exchange rate)elasticity for the imports and exports,and the household's propensity to spend.