人民币汇率指数研究

Research of RMB Exchange Rate Index

汇率指数是一个国家对一篮子主要贸易伙伴国货币的加权平均汇率,与传统的双边汇率相比能更为全面的反映一国的综合外部竞争力。本文在对转口贸易、双边贸易数据不统一等问题进行处理和修正后,确定了人民币货币篮子的两种构成,并使用加入第三方市场竞争的贸易竞争力权重分别编制了人民币名义和实际有效汇率指数。通过对指数走势的分析发现,人民币汇率指数与对外贸易、CPI、工业增加值等宏观经济变量有着较强的相关性。

An exchange rate index is a weighted average of a currency against a basket of other currencies. It can reflect the synthesized competitive power of a currency more comprehensively compared with traditional bilateral ones. Based on the trade data of 2009, the currency basket of RMB is determined considering the trade inside Euro zone, the re-export business of Hong Kong and so on. Then the nominal and real effective exchange rate index are established respectively using the weight including trade competition in third-party market. Furthermore, it is found that the RMB exchange rate index is strongly related to several macro-economic variables of China, such as total trade volume, CPI and industrial added value.