制度变迁背景下人民币实际汇率趋势研究:1986—2009 被引量：1

RMB Real Exchange Rates Trend under Institutional Changes: 1986 -2009

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摘要 1986年至2009年间,人民币汇率制度几经变迁,人民币/美元名义汇率水平也多次呈现出跳跃性的变动,这使基于CPI等价格指数构造出的人民币/美元实际汇率指数含有明显的异动成分。本文运用异常值分析方法,分离了这段时间人民币/美元实际汇率中的异动成分,并估计了异动成分的性质和大小。这些异动都是人民币/美元名义汇率的贬值造成的实际汇率的永久性贬值。剔除这些异常变动后,人民币实际汇率序列呈现出明显的确定升值趋势。 During the period of 1986 to 2009,RMB nominal exchange rates regimes have changed several times,and RMB /USD nominal exchange rates always have leaps.RMB /USD real exchange rates based on CPI index appears notable abnormal changes.Using the outliers analysis approach,we strip off the structural changes imposed by institutional changes,and estimate types and scales of these structural changes.All these changes are LS devaluation resulting from institutional changes.The clean data separated from original RMB real exchange rate shows that it has a deterministic appreciation trend.

作者张卫平李天栋隋福民

机构地区复旦大学金融研究院中国社会科学院经济研究所

出处《统计研究》 CSSCI 北大核心 2011年第1期36-42,共7页 Statistical Research

基金上海市哲学社会科学规划青年项目(2007EJB002) 教育部人文社会科学基金项目(09YJC790043) 复旦大学2009年金苗项目(EYH3246115)资助

关键词确定趋势随机趋势结构变化异常值分析人民币实际汇率 Deterministic Trend Stochastic Trend Structure Changes Outliers Analysis RMB Real Exchange Rate

分类号 F222 [经济管理—国民经济]

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