银行结售汇与人民币汇率预期的实证分析——以广东省为例

Empirical Study of Foreign Exchange Selling and Buying in Banks and Exchange Rate Expectation of Renminbi

近年来中国银行结售汇顺差额不断扩大是外汇储备规模快速积累的最直接原因,而人民币升值预期则被认为是银行结售汇顺差额扩大的重要影响因素。这个观点虽然被广泛认同,但相关的定量研究却相当欠缺。以境内外汇黑市汇率作为人民币汇率预期的量化指标,应用计量经济学方法对广东省银行结汇和售汇的月度时间序列数据进行定量分析,表明结售汇增长是外向型经济规模扩大的结果,同时人民币升值预期显著地提高银行结汇的增速并降低银行售汇的增速,导致结售汇顺差额的不断扩大。

In recent years, the constantly increasing of the surplus of foreign exchange selling and buying in China＇s banks is the first direct cause of the expanding of foreign exchange reserve. The appreciation expectation of Renminbi＇s exchange rate is one of the major factors contributing to the surplus. Though such conclusion is generally acknowledged there still lacks relevant quantitative research. Taking the exchange rate on foreign and domestic market as the quantitative index of exchange rate expectation of Renminbi, this article adopts econometric method to conduct quantitative analysis of the monthly time series data in foreign exchange selling and buying in banks of Guangdong Province. The analysis shows that the increase of foreign exchange selling and buying is the enlarging of exportoriented economic scale while the appreciation expectation of Renminbi plays a notable role in accelerating the buying of foreign exchange and decelerating selling, resulting in the constantly rising of surplus of foreign exchange selling and buying.