有效汇率指数编制的国际经验研究与借鉴

The Compilation of RMB EER with Reference to International Practices

本文基于对美联储、欧洲中央银行等货币当局与国际机构有效汇率指数编制方法及理论的研究,介绍了有效汇率指数编制的不同模型、参数选择与各机构的具体实践。同时,选取与中国贸易量较大的19个经济体货币构成篮子,编制了人民币有效汇率指数,并与BIS编制的指数进行了比较。在此基础上,对人民币有效汇率指数与进出口贸易的关系进行了格兰杰因果检验,证实在6、12和18个月的滞后期下,本文构造的人民币有效汇率指数对进出口贸易存在单向格兰杰因果关系,从一个方面说明了编制和监测人民币有效汇率指数的必要性,并就未来编制人民币有效汇率指数提出建议。

Under the circumstances that there are different opinions on the appropriateness of monetary policy, it is necessary to do more research work and keep monitoring the conditions of monetary policy, for which the underlying work is constructing effective exchange rate indices so as to build the monetary policy condition index, covering exchange rate as well as interest rate. Based on study of the constructing methods and relevant theories of effective exchange rate （EER） , the paper introduces the compilation practice of effective exchange rate of FED, ECB,BOJ, MAS and BIS, including the model, parameter selection, etc. At the same time, the paper builds a R^IB effective exchange rate, including 19 basket currencies weighted by bilateral trades. Granger casualty tests show that with ＇：me lag of 6, 12 and 18 months, the constructed RMB effective exchange rate index is the Granger cause of international trades. The paper also gives proposals concerning future ways of improving the compilation of RMB EER.