人民币汇率变动影响因素实证分析

Empirical Analysis of Influencing Factors of RMB Exchange Rate Change

本文运用我国2005年7月-2015年12月的月度数据,重点研究汇率制度改革以来人民币汇率的波动情况。在分析影响人民币汇率变动因素的基础上,建立VAR模型通过脉冲响应和方差分解进行实证分析。结果表明,影响我国人民币汇率变化的主要因素包括利率水平、股票市场及国家外汇储备因素等。因此我国在汇率制度管理和改革方面出台的相关政策要立足国情,综合考虑人民币汇率影响因素之间的相互作用,以我国经济社会发展为出发点,为人民币汇率稳定营造一个良好环境,推动人民币国际化进程。

This paper uses the monthly data from July 2005 to December 2015 of China, focuses on the fluctuations of the RMB exchange rate since the exchange rate system reform. Based on the analysis of influence factors of RMB exchange rate, this article establishes the VAR model through the impulse response and variance decomposition to do the empirical analysis. Results show that the main factors that affect China＇s RMB exchange rate changes include the interest rate, stock market, national foreign exchange reserve, etc. So the policies of the exchange rate system reform and management should be based on the actual situation of China, considering the influence factors of RMB exchange rate and the economic development level, to create a good environment for the stability of the RMB exchange rate, and to promote the internationalization of RMB.