石油价格冲击对我国实际汇率波动的影响程度

The Degree of the Influence of the Oil Price Shock on the Fluctuation of China's Real Exchange Rate

在Blanchard和Quah(1989)的提出的框架下,建立一个四变量的结构向量自回归模型SVAR(Structural Vector Autoregression Models),讨论了石油价格上涨冲击对实际汇率波动的影响程度,以及需求、供给、货币这些宏观因素对汇率波动的影响。实证结果表明,石油价格冲击是导致实际有效汇率发生变化的原因之一,石油价格冲击长期会引起实际汇率的一定程度升值,但远不及需求和供给的影响程度大。因此,在油价持续高企的情形下人民币实际汇率水平上升某种程度上有助于减缓当前人民币的升值压力,但摆脱国内需求不足,才是缓解人民币升值压力的主要办法。

This paper investigates to what extent the oil price shock and three other types of underlying macroeconomic shocks impact the fluctuation of China＇s real exchange rate.By constructing a four-dimensional structural VAR model,the results suggest that real oil price shocks would lead to a minor appreciation of the long-term real exchange rate.The real shocks are found to be dominant in the variations of the real exchange rate.The rise in the exchange rate of RMB to dollar when the oil price remains high contributes to reducing the pressure of RMB appreciation.However,the primary way of reducing the pressure of RMB appreciation is to solve the problem of the local demand shortage.