人民币汇率的长短期影响因素分析——基于马尔科夫区制转换模型

Long and Short-term Influential Factors of RMB Exchange Rate: An Analysis Based on Markov Regime Switching Model

文章采用2000-2013年间的月度数据,从长期和短期影响因素的角度分别构建相应最优的马尔科夫区制转换模型,研究同一类型因素中影响汇率变动的主导变量。实证结果表明,国内通货膨胀和国际市场利率是短期因素中影响我国汇率变动的主要变量,长期因素中贸易条件、货币供给和外汇储备是影响汇率变动的主要变量,其中货币供给增加引致的汇率升值现象说明当前我国货币的资本功能主导汇率变动。然后结合模型区制间转换脉冲响应和实际汇率变动趋势可以确定我国某一时期汇率变动的决定因素,进一步分析发现我国不同时期汇率同样的变动趋势的决定因素可能不一致。

This paper dwells on monthly data dated between 2000 and 2013 to respectively research on the long-term and short-term factors that affect real ex- change rate. In correspondence with data types, the optimal Markov Regime Switching Models are constructed to analyze the factors and identify the main fac- tors. The empirical results show that domestic inflation and international markets interest rates are the main short-term factors that lead to exchange rate changes. Terms of trade, money supply and foreign exchange reserves are the main long-term variables affecting exchange rate fluctuations. Exchange rate apprecia- tion caused by money supply indicates that the capital function of currency is dominating the exchange rate movements in China. Combined model regime switching pulse responses and movements in the real exchange rate can deter- mine the factors which lead to the exchange rate changes during a period. Fur- ther analysis shows that a similar exchange rate movement trend in different peri- ods may be explained by different factors.