人民币实际汇率波动影响因素研究

Research on factors influencing Renminbi real exchange rates

使用1994年1季度至2005年2季度的数据,对人民币实际汇率的影响因素进行了实证研究.首先,以美国、日本和欧元区作为基准国,采用简化的生产力差异模型对人民币实际汇率与国内外生产力差异之间的关系进行了检验.结果表明,生产力差异模型不能对人民币实际汇率波动起到很好的解释作用.其次,在此基础上,进一步分析了人民币实际有效汇率与包括生产力差异因素在内的多种经济变量之间的关系.实证分析结果显示,人民币实际有效汇率与诸变量之间存在长期协整关系.第三,通过对人民币实际汇率的变化进行脉冲响应分析和方差分解分析,找出了影响人民币实际汇率波动的主要因素.综合这些分析,可以得到以下两个重要的结论:第一,在对人民币实际汇率进行建模时,要充分考虑多种影响因素,单一考虑某种因素可能会对分析结果造成误导;第二,影响人民币实际汇率变动的主要因素包括生产力差异、对外开放度以及国际石油价格冲击等.

In this study, the empirical study on Chinese RMB real exchange rates is researched over the period from the first quarter in 1994 to the second quarter in 2005 by using the quarterly data. Firstly, we take US, Japan and Euro area as the base country respectively and test the productivity bias hypothesis. However, the result is not consistent with the theory. Secondly, we further study the relationship between Chinese RMB real exchange rate and various economic variables including the productivity bias factor by Johansen＇ s cointegration analysis. The results show that there exists the cointegrating relationship between Chinese RMB real exchange rate and related economic variables including the factor of productivity bias. Subsequently, the impulse response analysis and variance decomposition are used to find out the main factors which affect the change in Chinese RMB real exchange rate. Finally, two important conclusions are obtained： First, various possible factors should be considered when we model Chinese RMB real exchange rate because only one factor is not enough. Second, the three main factors affecting the change in Chinese RMB real exchange rate are, productivity bias variable, open degree and the price of crude oil shock.