人民币升值预期的影响因素——基于我国汇改后月度数据的经验分析

The Factors Influencing RMB Appreciation Expectation:Empirical Study Based on Monthly Data after Exchange Rate Regime Reform

持续的人民币汇率升值预期是影响我国汇改和金融稳定的一个重要问题。本文从经济基本面、汇率制度和国际因素三个维度选择影响汇率预期的13个经济变量,并利用因子分析和递归方差分解技术进行实证分析。研究发现:经济竞争力因子、美元指数和国际政治压力是影响中长期汇率预期的主要因素,其中净对外资产和相对劳动生产率对预期的方差贡献较大;财政货币政策因子和美元指数是影响短期汇率预期的主要因素,其中利率和美元指数的方差贡献较大。

Continuous appreciation expectation of RMB currency entails challenge to China＇ s exchange rate mechanism reform and financial stability. Based on three dimensions, respectively economic fundamentals, exchange rate regimes and international factors, we select 13 economic variables influencing exchange rate expectation and use factor analysis and recursive variance de- composition method to carry out the empirical analysis. The results indicate that economic competitive advantage factor, USDX and the international political pressure are the main variables that influence medium- and long-term exchange rate expectation, with net foreign assets and relative labor productivity contributing more to the variance of exchange rate expectation. While fiscal and monetary policy factor and USDX are the main variables that influence short-term exchange rate expectation, with interest rate and USDX contributing more to the variance.