人民币汇率指数有效性研究

Research on the Effectiveness of RMB Exchange Rate Index

本文利用SVAR模型、OLS回归和基于利率平价的无套利模型三种方法对CFETS人民币汇率指数以及参考BIS货币篮子和SDR货币篮子计算的人民币汇率指数的有效性进行定量分析。研究结果表明,在现阶段,参考SDR货币篮子的汇率指数对于引导人民币汇率预期,缩小人民币离岸在岸价差以及维护金融稳定有着更加明显的作用。本文建议,CFETS人民币汇率指数的编制应该通过涵盖更多的货币,并且在权重设定中更多地考虑金融使用、货币地位和市场规模等金融因素来提高自身的有效性。

This paper uses SVAR model, OLS regression model and interest rate parity model to study the effectiveness of CFETS RMB index, RMB index based on BIS currency basket and RMB index based on SDR currency basket. Our result shows that RMB index based on SDR currency basket is more capable of guiding the expectation of RMB exchange rate, narrowing the gap between CNY and CNH and stabilizing the capital flow in this phase. Thus, this paper suggests that the CFETS RMB index should include more currencies and give more weight to financial factors to improve its effectiveness.