人民币汇率波动、外汇储备与通货膨胀——基于结构突变理论的实证分析

The Fluctuation of RMB Exchange Rate, Foreign Exchange Reserves and Inflation——Based on the Structural Break Theory

文章在理论分析的基础上,利用结构变化单位根检验(ZA)对数据进行处理,采用结构变化协整检验(GH)对人民币汇率变动、外汇储备变动与物价水平的关系进行了实证研究。结果表明:人民币汇率与物价水平之间不存在普通意义上的协整关系;而外汇储备与物价之间存在发生结构变化的长期协整关系,结构变化发生前后两者关系由负相关关系逆转为正相关关系,但外汇储备对物价的影响较小;而汇率的引入会使外汇储备与物价之间的关系复杂化。

Based on the theoretical analysis,this paper employs structural break unit root ZA test and structural break co-integration GH test to investigate the relationships among RMB exchange rate,foreign exchange reserves and price level.The results show that there is no simple cointegration between RMB exchange rate and price level,while there is a long-term structural break co-integration relationship between foreign exchange reserves and price level.The relationship changes from negative correlation to positive correlation after the structural break.But the influence of foreign exchange reserves on price level is not big enough.Meanwhile,RMB exchange rate will complicate the relationship between them.