宏观经济因素与人民币汇率浮动

Study on Macroeconomic Factors and RMB Exchange Rate Fluctuation

采用协整检验和误差修正模型等计量经济学方法,就当前国内若干热点变动的宏观经济因素变量对汇改后人民币汇率的影响进行了实证研究,研究结果表明热点变动的中美利差水平、通货膨胀率差异水平以及外汇储备增长率与人民币升值幅度之间存在长期稳定的均衡关系。长期来看,利差水平对人民币名义汇率影响程度较大,而短期内,外汇储备因素和人民币汇率自身变动的前期信息对其影响较为显著。

Based on the co-integration test,error correction model and other econometric methods,this paper empirically studies the impact of several hot macroeconomic factors on the current RMB exchange rate.The empirical results show that there exists a long-term stable co-integration relationship among interest rate differential,inflation rate differential,increasing rate of foreign exchange reserve and appreciation ratio of RMB nominal exchange rate.In the long run,interest rate differential has the most important influence on the RMB exchange rate,whereas,in the short run,the major influencial factors are foreign exchange reserve and its own former-term information.