美国量化宽松货币政策对人民币汇率的影响——基于ARIMAX模型的实证分析

Study of the Impact of USA's QE Monetary Policy on the RMB Exchange Rate-based on empirical analysis of ARIMAX model

以中国2005年7月—2013年10月的人民币实际汇率的月度数据为样本,采用干扰分析法对金融危机和美国量化宽松货币政策背景下的人民币汇率进行了实证分析。ARMAX检验的结果表明,单纯金融危机对人民币汇率的影响并不显著,表明金融危机本身并未对人民币汇率形成实质性影响与瞬时脉冲效应;而考虑美国量化宽松货币政策因素之后的金融危机对人民币汇率产生了明显的贬值压力,金融危机和美国量化宽松货币政策两者综合作用的结果是对人民币汇率产生显著的贬值压力。相对而言,美国第一轮量化宽松货币政策对人民币汇率贬值压力最大,而第二轮量化宽松货币政策对人民币汇率产生升值的压力,第三轮与第四轮量化宽松货币政策对人民币汇率的影响并不显著。

This paper takes interference analysis method to study the impact of USA＇ s quantitative easing monetary policy on nominal effective exchange rate of RMB by using monthly data from July 2005 to October 2013 on the background of financial crisis. The results show that the pure financial crisis has no significant impact on RMB exchange rate movements indicating that the financial crisis itself does not form a substantive impact and instantaneous pulse effect on the RMB exchange rate movements while it generates significant downward pressure on the RMB exchange rate movements by considering the USA＇ s quantitative easing monetary pohcy after the financial crisis. The compound effect of the financial crisis and USA＇ s quantitative easing monetary policy is to produce downward pressure on the RMB exchange rate. Relatively speaking, the first round of the USA＇ s quantitative easing monetary policy put the maximum pressure on the depreciation of the RMB exchange rate while the second round of the quantitative easing monetary policy produces appreciation pressure on the RMB exchange rate and the third and the fourth round of the quantitative easing monetary policy has insignificant effect on RMB exchange rate.