经济增长、人民币汇率与国际收支的动态关联性分析

On Dynamic Relationship of Economic Growth, RMB Exchange Rate and Balance of Payments

文章应用基于MCMC模拟的TVP-VAR-SV模型分析了中国2000年第一季度至2015年第三季度间经济增长、人民币汇率以及国际收支之间的动态关联性。主要结论如下:首先,中国汇率和国际收支冲击对经济增长产生了越来越严重的负面影响,特别是2007年之后影响加大,是中国经济进入新常态的重要原因;其次,经济增长冲击可以解释样本时段内人民币汇率的升值趋势,说明人民币汇率升值受我国经济基本面的影响明显,但是国际收支冲击对汇率波动的影响与传统的理论结论并不一致;最后,中国经济增长冲击可以解释样本时段内国际收支长期的"双顺差",而汇率冲击会使得国际收支出现逆差。

This paper uses TVP-VAR-SV model based on the MCMC framework to analyze the dynamic relationship of China's economic growth, RMB exchange rate and international balance of payments from the first quarter of 2000 to the third quarter of 2015. The major conclusions are drawn as follows. Firstly, China's exchange rate and balance of payments shocks have increasingly negative impact on China's economic growth, especially after the year 2007, which plays a very important role for China's economic transition to the so-called'New Normal Economy'. Secondly, China's economic growth accounts for the appreciation trend of RMB exchange rate during the sampled period, which indicates that RMB appreciation is distinctly affected by China's economic fundamentals, but the impact of her balance of payments chocks upon exchange rate fluctuation is not consistent with the traditional theoretical conclusion. Finally, shocks from China's economic growth accounts for China's long-term'Twin Surpluses', while exchange rate shock can cause China's balance of payments to be deficit. Following these results, the paper also put forward some policy recommendations.