人民币实际汇率波动的源泉——基于长期约束结构VAR的实证研究

The Sources of RMB Real Exchange Rate Fluctuations:An Empirical Study Based on Structural VAR under Long-term Restrictions

本文采用结构VAR实证研究石油价格、供给、需求以及货币这四类冲击对人民币实际汇率的动态影响,以及这些冲击对解释实际汇率波动的相对重要性。研究发现,这四类冲击对人民币实际汇率波动的影响大小和方向基本符合理论预期;对于人民币实际汇率的预测方差,需求冲击贡献度达到70%,供给冲击和货币冲击的贡献度各在11%左右,石油价格的解释程度最小。同时,本文分析实证结果背后的原因,并讨论相应的政策启示。

The paper applies structural VAR to study the dynamic effects of four types of macroeconomic shocks, namely oil price, supply, demand and currency, on RMB real exchange rate, and the relative importance of these shocks for explaining real exchange rate fluctuations. The result shows that the way in which these structural shocks influence the real effective exchange rate is generally in line with theoretical expectations. As to the forecasts of the variance of RMB real exchange rate, demand shock, supply shock and currency shock make the contribution of 70%, 11% and 11%, respectively. And oil price shock accounts for the smallest part of real exchange rate fluctuations. The paper analyses the reasons for the empirical results and discusses the relevant policy implications.