我国外汇市场压力的测算及影响因素研究——基于MIMIC模型

The Measurement and Influencing Factors of China's Exchange Market Pressure Based on the MIMIC Model

本文采用结构方程模型中的多指标多原因(MIMIC)模型,测算了人民币外汇市场压力(EMP)指数。在构建MIMIC模型时,以人民币外汇市场压力作为不可观测变量,选取代表宏观经济、金融体系、国外冲击三方面的10个指标作为人民币外汇市场压力的外生原因变量,选取汇率变化率和外汇储备变化率作为人民币外汇市场压力的结果变量。从实证结果来看,基于MIMIC模型的结构方程测算的人民币外汇市场压力指数能够比较准确地反映我国外汇市场压力的变化;汇率预期、中美利差、贸易顺差/工业增加值和通货膨胀率是影响人民币外汇市场压力的重要因素。

Using a multiple indicators and multiple causes model based on the latent variable structural theory, the paper measures the exchange market pressure index of China. Supposing that the exchange market pressure of china is unobservable, the MIMIC model includes a total of 10 variables reflecting the macro-economy, financial system and global impact as causes of the exchange market pressure of china, and change rate in exchange rate as well as change rate in foreign exchange reserves as indicators reflecting the exchange market pressure of china. The result shows that the exchange market pressure index of china based on MIMIC model can describe the change of our country＇ s exchange market pressure accurately and exchange rate expectation, while the Sino-U.S. interest rate spread, trade surplus ratio, industrial added value and inflation rate are important factors affecting the exchange market pressure of china.