货币替代的非对称性实证分析

An Empirical Analysis of the Asymmetric Character of Currency Substitution

笔者利用2002年～2008年的月度数据分析了我国汇率与货币替代的关系,Chow检验发现2005年汇改前后货币替代发生了结构变化。含虚拟变量的局部调整模型表明实际有效汇率对货币替代的影响存在非对称性。2005年6月以前,实际有效汇率与货币替代正相关,我国经济增长不会影响货币替代;2005年7月汇改以后,实际有效汇率与货币替代负相关,且经济增长会影响我国的货币替代。

Using the monthly data during 2002-2008, the authors analyze the relationship between the exchange rate of our country and currency substitution. Chow test shows that structural change in currency substitution took place before and after the exchange rate reform in 2005. The partial adjustment model with dummy variables shows that there is asymmetry in the influence of actual effective exchange rate on currency substitution. Before June 2005, the actual effective exchange rate and currency substitution are positively cor- related and the economic growth of our country could not affect currency substitution. However after the exchange rate reform in July 2005, the actual effective exchange rate and currency substitution are negatively correlated and the economic growth could affect China＇ s currency substitution.