国际油价冲击对人民币汇率的影响——基于动态局部均衡资产选择模型的分析

The Impact of Crude Oil Price on RMB Exchange Rate——An Analysis Based on a Dynamic Partial-Equilibrium Model

中国是主要的能源消费国,石油价格一直都是影响中国经济的重要因素。而在推进人民币国际化的进程中,伴随着资本账户的不断开放,国际油价对中国经济的影响已越来越多体现在对汇率的影响之上。通过引入资本账户开放,本文构建了动态局部均衡资产选择模型,从理论和实证两个方面考察了人民币国际化进程中,国际油价对人民币汇率的动态影响和冲击特点。研究结果表明:人民币汇率会受到油价变动的显著影响,并且这种影响会因资本账户开放程度的提高而发生改变;油价变动对汇率的冲击具有持久性,并且油价下跌会导致人民币的持续贬值;油价变动对汇率的解释能力显著高于其他经济变量,能解释大部分的汇率变动,是影响汇率变动的一个重要因素。在推进人民币国际化的进程中,中国应适时推动能源消费结构的调整并注重油价变动所引发的国际资本流动冲击,以防范汇率持续大幅波动的潜在风险。

As a major energy consuming country, China＇s economy has been heavily affected by oil price. In the process of RMB internationalization, along with the capital account liberalization, the impact of international oil price on the exchange rate is greater and greater. By introducing capital account liberalization, this paper constructs a dynamic partial-equilibrium model, and studies the impact of oil price on RMB exchange rate in the process of RMB internationalization from both theoretical and empirical aspects. Our findings are as follows： First, the RMB exchange rate is significantly affected by changes in oil prices, and this effect changes along with the capital account opening process. Second, the impact of oil price on the exchange rate is persistent, and oil-price decline will cause the RMB to depreciate against the USD. Third, the oil price can explain most of the exchange rate changes. In the process of RMB internationalization, China should adjust the energy consumption structure timely and pay attention to international capital flows caused by changes in oil prices in order to reduce the exchange rate risk.