汇率变动、贸易地位与人民币境外存量——基于1994～2012年月度数据的实证分析

Exchange Rates,Trade Status and RMB Offshore Stock: An Empirical Study Based on Monthly Data from 1994 to 2012

本文基于扣除本地需求法和1992～2012年月度数据，测算了2004～2012年月度人民币境外存量。在此基础上，实证分析了人民币汇率和中国贸易地位对人民币境外存量的影响。研究结果表明，人民币境外存量基本呈现稳步上升态势，从2004年1月的113．1亿元上升到2012年12月的225．7亿元，且没有表现出过度的波动性。协整分析表明，人民币？[率、中国贸易地位与人民币境外存量之间存在长期稳定的均衡关系：人民币每升值1％，长期来看会引起人民币境外存量增加约0．9％；中国出口额相对于美国出口额的比率每上升1个百分点，长期而盲会引起人民币境外存量增加0．99％。方差分解和脉冲响应函数的分析结果表明，相对于人民币汇率冲击而言，中国贸易地位冲击对人民币境外存量波动的影响程度更大。

This paper estimates the scale of RMB offshore stock during 2004 to 2012 by use of a method of deduction of local demand and monthly data from 1992 to 2012,and then analyzes the impact of RMB exchange rates and China's trade status on RMB offshore stock.The result indicates that the scale of RMB offshore stock has shown a steady upward trend,rising from 11.31 billion yuan in January 2004 to 22.57 billion yuan in December 2012,showing no excessive volatility.The cointegration analysis indicates that there is a long-term stable equilibrium relationship among the RMB exchange rates,China's trade status and the RMB offshore stock.In the long run,1% appreciation of the RMB will cause the RMB offshore stock to increase by 0.9%;one percentage point increase in the ratio of China's exports to the US exports will cause the RMB offshore stock to increase by 0.99%.The impulse response and variance decomposition analysis shows that the shock of China's trade status has more important impact on the fluctuation of RMB offshore stock than the shock of exchange rates.