人民币有效汇率波动与货币替代的实证研究

The Effect of RMB Effective Exchange Rate on Currency Substitution:an Empirical Study

本文根据人民币有效汇率的月度数据(时间跨度为2005年1月～2010年11月)对人民币名义有效汇率、实际有效汇率及其波动率与货币替代率的经济关系进行了实证分析。研究结果表明,关于有效汇率的三个变量与货币替代率之间存在长期均衡关系,且人民币有效汇率的贬值及其波动会导致货币替代率增加;关于短期分析的结论与长期基本趋于一致,只是人民币实际有效汇率及其波动率对货币替代率的影响具有滞后性,且三个汇率变量的货币替代弹性小于长期。本文最后指出,一方面,目前人民币汇率的趋势稳中有升,且在未来一段时期不会改变,使得我国货币替代程度不断下降,为人民币国际化可以提供有力的国际环境;另一方面,随着人民币国际化的不断推进与资本项目的逐步放开,应当将货币替代纳入货币政策的考虑因素,以提高货币政策的执行效率。

The paper analyses in detail the economic relation among nominal effective exchange rate of RMB, real effective exchange rate ＆its volatility and currency substitution ration by using China＇s month date from January of 2005 to November of 2010. The result indicates that steady equilibrium relation exists between the currency substitution and three variables on the effective exchange rate. On the other hand, depreciation and volatility on effective exchange rate of the RMB will lead to increasing the rates of currency substitution. The conclusions of the shortterm analysis in line with the long-term basic, but only real effect exchange rate ＆its volatility on the impact of currency substitution rate with a lag, and elasticity of currency substitution is smaller than in long time. At last, the paper concludes that on the one hand, because of the stability of appreciation trend of RMB exchange rate, the trend will not be changed, which will provide a beneficial condition for the internationalization of RMB, On the other hand, with the advance of internationalization of the RMB and the gradual lifting of Capital Account, currency substitution should be included in considerations of monetary policy to improve the effectiveness of monetary policy.