中美两国汇率波动与相对经济周期的联动性——基于频谱分析的研究

Co-movements between Exchange Rate Fluctuation and Relative Business Cycles of China and the USA——A Study Based on Spectral Analysis

本文指出人民币兑美元实际汇率波动可能与中美两国间相对经济周期具有紧密的联动性,为此,本文首先构造了一个理论模型对两国间实际汇率波动与相对经济周期关联的存在性进行了论证,随后应用频谱分析技术对1994:Q1至2011:Q4人民币兑美元实际汇率波动与中美相对经济周期的联动性进行了实证检验。主要的结论有两个,一是在样本时段内中美相对经济周期领先于人民币兑美元实际汇率的波动,二是在4年左右一个波动周期的频域内二者的联动性最高。以上结论说明中美相对经济周期是人民币兑美元汇率波动的决定因素,而调整人民币兑美元汇率并不能改变中美两国经济的失衡关系。

We point out in this paper that the fluctuation of RMB-US dollar real exchange rate may highly related to the relative business cycles between China and the USA,so we firstly constructs a two-country model to illustrate that there may exist some correlation between two country＇s real exchange rate fluctuation and the relative business cycle.Then we test the correlation between RMB-US dollar real exchange rate fluctuation and relative business cycles of China and the USA during 1994∶ Q1-2011∶ Q4 using spectral analysis.We get two main conclusions： for one is the relative business cycles of China and USA lead the fluctuation of RMB-US dollar real exchange rate,and for the second,the correlation gets it＇s highest when the frequency domain is around 4 years for a fluctuation cycle.These conclusions declare the relative business cycles causes the RMB-US dollar real exchange rate fluctuation,so the adjustment of the RMB-US dollar exchange rate cannot be used to change the economic imbalance between China and the USA.