人民币外汇市场压力及影响因素研究

A Research on RMB Exchange Market Pressure and the Contributing Factors

文章采用模型依赖法和非模型依赖法分别测算了2005年7月至2013年12月期间的人民币外汇市场压力指数,发现通过两种方法得出的人民币外汇市场压力指数对人民币处于升值(或者贬值)压力的判断结果高度一致,并且在样本期内人民币主要面临升值的压力。同时,研究发现,国内经济增长率、股票市场回报率、货币供给与外汇储备的比值、证券投资余额变动、汇率变动以及市场预期是人民币外汇市场压力形成的主要因素。

This paper uses both model-dependent method and model-independent method to calculate the RMB Exchange Market Pres-sure index during July 2005 to December 2013.It has been found out that RMB Exchange Market Pressure indexes calculated by different methods were highly correlated,and RMB appreciation pressure was present most of time.In the empirical re-search on the impact of factors,we found that the domestic economic growth rate,the stock market rate of return,the ratio of money supply to reserve,the expectations,the change of securities investment balance and exchange rate are the main factors which form RMB exchange market pressure.In the end,this paper gives some advice based on empirical conclusions.