中国汽车制造业人民币汇率指数构建研究——基于权重视角的时间序列计量模型

A Study on the Construction of RMB Exchange Rate Index of Chinese Automobile Industry——The Time Series Measurement Model from the Perspective of Weight

文章以中国汽车制造业人民币汇率指数的构建为主要研究对象,基于权重分析的视角,收集和整理了2005-2016年中国汽车制造业工业总产值、美元、欧元、日元、韩元兑人民币的月度平均汇率数据,汽车制造业生产者制造价格指数(APPI)等数据,在确保数据平稳、变量选择有效等基础上,遵循时间序列数据建模的一般步骤构建了以中国汽车制造业人民币汇率指数为研究对象的固定系数模型,利用EVIEWS 8.0软件,实证分析求解出各回归系数,并在此基础上计算得出各种货币汇率在汽车制造业汇率指数中的权重,并解释了各币种所占权重变化的原因。

This paper, taking the construction of RMB exchange rate index of Chinese automobile indnstt7 as the researeh object and from the perspective of weight analysis, collects and sorts out the data of the total output value of Chinese automobile industry, the monthly average exchange rate of US dollar, Euro, Japanese yen and Korean won, the atttomobile produeer price index （APPI） and so on from 2005 to 2016. On the basis of ensuring the stable data and the effective variahle selection, Ibis paper constructs a fixed coefficient model by taking the RMB exchange rate index of Chinese automobile industry as the research object by following the general steps of time series data modeling. Using the EVIEWS 8.0 software, the paper finds out each regressiuu coefficient by the empirical analysis. Based on this, the paper calculates the weight of various currencies in the exchange rate index of automobile industry, and explains the reasons for the changes in the weight of each currency.