人民币汇率对东盟国家影响的结构路径分析

The Structure Path of RMB Exchange Rate toward ASEAN Countries

文章选取1998年1月至2014年9月的月度数据,采用结构方程模型分析研究人民币汇率对东盟国家汇率影响的结构路径。研究发现:人民币汇率对东盟国家的影响路径呈现出滞后或者即期的联动特征,各国传导路径有所差异;人民币汇率对东盟国家汇率单向影响作用的直接效应大于间接效应,传导以直接效应为主、间接效应为辅的方式进行;国家之间汇率双向影响的直接效应和方向有较大异质性;除印度尼西亚外,人民币汇率对目标国家汇率传导的总效应值为正,即人民币汇率升值和贬值波动与东盟主要国家汇率具有同向联动现象,这种汇率联动性特征可能是参考货币篮子中高比例美元的结果,同时也说明中国与东盟国家金融存在协整基础,具备货币金融合作的基础。

This paper applies structural equation model to empirical study on the transmission path of RMB exchange rate to ASEAN countries,using monthly data from January 1998 to September 2014. The results show that: the transmission path appears lagging or sight linkage,but conduction path of each country differs. For ASEAN countries,RMB exchange rate's one-way transfer direct effect is greater than indirect transmission effect. The conduction gives priority to the direct effect,complement with indirect effect. The direct effect differs from size and orientation. Except Indonesia,RMB exchange rate effect towards the target countries is positive. It means the appreciation and depreciation of RMB has the same direction linkage with main ASEAN countries,caused by high proportion of US dollar in the currency basket. At the same time,it shows that China and ASEAN countries have co-integration foundation that can reach monetary and financial cooperation.