我国反向货币替代的汇率及汇率预期效应研究

Reverse Currency Substituted Exchange Rate and Its Expectation Effect in China

本文基于含货币替代的粘性价格货币模型,利用2002-2010年的月度数据应用边限协整方法研究了货币替代对人民币即期汇率及汇率预期的影响。实证结果表明,人民币即期汇率及汇率预期受到货币替代及国内外通货膨胀差别的显著影响。从长期来看,反向货币替代总体上使得人民币升值及存在升值预期,从短期来看,货币替代可能引发人民币贬值及贬值预期,且存在货币替代的放大效应。因此,要注意防范货币替代对人民币汇率及汇率预期的不利影响。

Based on a sticky price monetary model with currency substitution, the authors study currency substitution＇s influence over RMB spot exchange rate and exchange rate expectation using Margin co-integration on monthly data between 2002-2010. The empirical results show that the RMB spot exchange rate and the exchange rate expectation are significantly affected by currency substitution and inflation of domestic and foreign. In the long run, the reverse currency substitution generally makes the appreciation of RMB or anticipation of liMB appreciation. In the short run, currency substitution may lead to the devaluation of the RMB and the devaluation expectation, and moreover there exists amplification effect of currency substitution. So we must pay attention to the currency substitution＇s adverse effect on the RMB exchange rate and its expectation.