人民币汇率的稳定机制及其动态过程(Ⅱ)——实证分析

The Mechanism of Stability and Dynamic Process of RMB Exchange Rate (Ⅱ) Empirical Analysis

首先应用协整方法检验人民币汇率、外汇储备、进出口及国际外汇市场的汇率（日元对美元的双边汇率）变化的可积性和变量之间的协整关系，进而建立用来描述人民币汇率由短期波动向长期均衡非线性调整的动态过程的误差修正模型．实证分析结果表明，模型的所有估计系数具有我们建模时设定的符号；并且人民币汇率、外汇储备及美元／日元汇率之间存在唯一的长期稳定关系，即协整关系；短期预测模型不仅具有令人满意的拟合效果和预测能力。

Based on integration and Johansen Juselius cointegration test findings, this paper constructs an error correction model(ECM), which describes non linear adjustment process of renminbi(RMB) against the U.S dollar bilateral exchange rate to long term equilibrium under new exchange rate arrangement in China. The empirical analysis results suggest that all parameters estimated are of the expected sign, and that the single long run relationship exists estimated are of the expected sign, and that the single long run relationship exits among RMB against US$ exchange rate, foreign exchange reserves, and changes in international foreign exchange markets, e.g., Japanese Yen against the U.S.dollar bilateral exchange rate. The ECM model shows that non linear dynamic adjustment process of RMB against the U.S. dollar exchange rate maintains stable and significant relationships to foreign exchange reserves, imports, and Japanese Yen against the U.S. dollar bilateral exchange rate.