出口退税对人民币汇率及外汇储备影响机制实证分析--基于1996-2014年的数据

The Effect of Export Rebate on RMB Exchange Rate and Foreign Exchange Reserves——Based on the Data from 1996 to 2014

中国于1994年建立了以市场供求为基础的、单一的、有管理的浮动汇率制,外汇市场供求成为影响人民币汇率波动的主要因素。人民币汇率长期走势与我国外汇储备额的快速增长表明:人民币长期呈现升值走势或面临升值压力。人民币长期呈现升值走势和我国外汇储备额快速增长是外汇市场供过于求所致,而我国出口退税政策的实施及其变化对人民币汇率波动及外汇储备额的变化有重要的影响。以1996年到2014年的季度数据作为研究样本,构建出口退税与汇率和外汇储备的VEC模型,采用协整检验验证出口退税与人民币汇率及我国外汇储备之间的关系,以脉冲响应与方差分解技术对我国出口退税对人民币汇率及外汇储备的影响程度进行估计,得出如下结论:不增加外汇储备的情况下,出口退税额的增加导致人民币实际有效汇率上升;人民币不升值的情况下,出口退税额增加导致我国外汇储备额的增加;出口退税额不发生变化的情况下,外汇储备的增加导致人民币实际有效汇率下降,人民币实际有效汇率的上升则导致外汇储备减少。

Since 1994 when the single, managed floating exchange rate system was established in China, the supply to and demand for foreign exchanges have become the main factors affecting the RMB exchange rate. The data of the long-term trends of the RMB exchange rate and the rapid growth of foreign exchange reserves show that the value of RMB was in the state of appreciation or under the pressure of appreciation. The long-term trends of the RMB exchange rate and the rapid growth of foreign exchange reserves are caused by supply exceeding demand in China＇s foreign exchange market, and furthermore the export rebate policy implemented by Chinese government has affected the mechanism of RMB exchange rate and the foreign exchange reserves. This study constructs the empirical model of export tax rebates and RMB exchange rate and the foreign exchange reserves, uses the co-intergration model to validate the relationship between value of RMB and the export tax rebate based on correlative data from 1996 -2014, and assesses the impact of export rebate on the RMB exchange rate and foreign exchange reserves in China with the VEC model. The results show that, without increasing foreign exchange reserves, the export tax rebate increase leads to RMB real effective exchange rate appreciation; when RMB does not appreciate, the export tax rebate increase leads to increase of the foreign reserves; without changing export tax rebates, foreign exchange reserves increase leads to devaluation of RMB real effective exchange rate, and the revaluation of RMB real effective exchange rate leads to reduction of foreign exchange reserves.