中越货币黑市汇价决定问题研究

The Research on the Exchange Rate between China and Vietnam in the Black Market

本文以2004年1月至2010年8月之间的中越货币官方套算汇价、中越货币黑市汇价以及中越边境贸易净出口量数据,采用向量误差修正模型(VECM),对这三者之间的关系进行了估计。并进一步进行了Granger因果关系检验、脉冲响应分析和方差分解分析。研究结果表明,中越货币黑市汇价主要由官方套算汇价决定,并且一定程度上受中越边境贸易净出口量变动的影响,而中越官方套算汇价和黑市汇价对边境贸易净出口都具有显著影响,边境贸易净出口对黑市汇价具有一定程度影响,但是对中越货币官方套算汇价影响不显著。

Based on the data of official exchange rate, black market exchange rate and net exports of border trade of china and Vietnam, this article uses the vector error correction model（VECM） and analyses the relationship among the three variables. In order to further clarify the relationship between the variables, the article makes the granger cau- sality test, impulse response function test and variance decomposition analysis. This article shows that the black market exchange rate is decided by the official exchange rate and affected by net exports, the official exchange rate and black market exchange rate have obvious influences, net exports have certain influences to black market exchange but no obvious influence to the official exchange rate.