新汇改以来人民币汇率参考一篮子货币权重的估计及经验验证

The Weight Measurement and Empirical Analysis of RMB Exchange Rate Adjustment with Reference to a Basket of Currencies under the New Exchange Rate System Reform

本文首先构建人民币对美元汇率指数和篮子货币汇率指数,根据人民币对美元汇率指数和篮子货币相关性指数最大化可以确定篮子货币的权重和数量,并对新汇改后篮子货币的权重和数量进行测度。我们的研究发现:在参考一篮子货币中,美元的权重最高,英镑的权重最小,但是其他货币权重都占有一定比例,我们的货币篮子和央行的货币篮子线性相关性较高。根据每一种货币的权重大小,我们可以计算出篮子中每一种货币的数量。根据最优货币权重,我们发现人民币对美元汇率和篮子货币之间存在长期协整关系,误差修正模型显示人民币汇率参考篮子货币调整的短期弹性和长期弹性比较接近,说明人民币汇率参考篮子货币调整相对比较稳定。本文检验了模型的预测效果,模型拟合度较高,说明我们选取的货币篮子具有较好的代表性。

This paper first constructs RMB exchange rate index against US dollar and the basket currency exchange rate index,the correlation maximization of RMB exchange rate index against US dollar and the basket currency index may determine the weight and quantity of the basket currency.The paper measures the currency weight and quantity under the new exchange rate reform.We find that： with reference to a currency basket,US dollar weight is the highest,the pound weight is the smallest,but the other currency weights account for some certain proportion.Our currency basket has a high linear dependence with that of the PBC.According to the weight of each currency,we can obtain the corresponding quantity.According to the optimal currency weights,we find that there is a long-term co-integration relationship between RMB exchange rate against the dollar and the currency basket,and error correction model shows the short-term and long-term elasticity of RMB exchange rate adjustment with reference to basket is closer,which displays that RMB exchange rate adjustment with reference to a currency basket is relatively stable.This paper checks the prediction capacity of the model,which indicates that the model fits well and reveals that our currency basket has high representation.