我国货币篮的稳定贸易目标与绩效分析——基于动态误差修正面板模型的实证检验

Chinese Currency Basket's Trade Stability Objective and Performance——Based on PMG Dynamic Panel ECM Model

实施货币篮政策后,汇率对进出口的冲击需通过货币篮汇率中间价形成机制来传导,货币篮是否稳定了我国贸易进出口是检验汇率制度改革成效的重要依据之一。本文从货币篮减缓汇率对出口和进口冲击的双重目标出发分析货币篮的稳定贸易目标体系,引入"货币篮作用系数"构建货币篮减缓人民币汇率对进出口冲击的动态误差修正面板模型,并采用混合组别平均法(PMG)较好地结合了国别短期异质性和长期收敛的汇率影响特征。结果表明,货币篮减缓了人民币汇率对进出口的冲击,基本达到了其稳定贸易的政策目标,然而其作用具有不对称性,其长期作用比短期作用显著,其对出口的长期作用略大于其对进口的长期作用,另外,人民币汇率的弹性还不够,并没有发挥其调整进出口的作用,因此,我国有必要进一步增强汇率的弹性,促进汇率市场机制的形成。

After the deployment of currency basket, the impact of RMB exchange rate on import and export should pass through the currency basket central parity rate mechanism, testing whether the currency basket can reduce exchange rate impact on import and export or not is the key to evaluate the effect of exchange rate reform since 2005. Under the currency basket objective to reduce the impact of exchange rate on einina＇s import and export, this paper introduces import and export stable target function, after considering exchange rate volatility （ GARCH approach） , interception term of the dummy variable multiplied by the logarithm of exchange rate （ coefficient of currency basket effect） and industry production index, we derive the final dynamic error correction model and use pooled mean group （PMG） approach to evaluate the effect of currency basket. The result shows the currency basket has reduced the impact of RMB exchange rate volatility on China＇s import and export, but its long-run effect is more significant than its short-run effect and its effect on export is stronger than that on import. Meanwhile, RMB exc exchange hange rate is not flexible enough to adjust import and export, so China should allow more rate flexibility and cultivate the market-oriented exchange rate mechanism.