人民币汇率波动反映了经济基本面吗——基于FAVAR模型的经验证据

Does RMB Exchange Rate Volatility Reflect Economic Fundamental——Empirical Evidence Based on the FAVAR Model

鉴于经济基本面在汇率波动中的重要作用,本文构建一个包含96个变量在内的FAVAR模型来研究人民币汇率波动和经济基本面的关系。结果发现,影响我国经济基本面的因素可由7个共同因子来刻画,它们构成了人民币汇率的波动源;在四个不同的汇率波动期,经济基本面的作用显著不同,典型的是在加入SDR的背景下,人民币兑美元汇率的较大波动是由经济基本面主导的,但总体而言,人民币兑欧元、日元汇率对经济基本面的反映较弱。此外,在货币政策冲击下我国CPI并没有出现“价格之谜”现象,而利率因子冲击使人民币汇率呈现出“超调”的显著特征。因此,央行在政策取向上应继续提升经济基本面在汇率波动中的作用,避免市场情绪左右人民币汇率的走势。

Considering the important role of economic fundamental in exchange rate volatility,this paper establishes a FAVAR model containing 96 variables to study the relationship between RMB exchange rate volatility and economic fundamental.The results indicate that,the economic fundamental elements that influence our country can be characterized by seven common factors,they constitute the source of RMB exchange rate volatility;during the four different volatility periods of exchange rate,the role of economic fundament is significantly different,typically in the background of entering SDR,the large volatility of RMB exchange rate against the U.S.dollar is dominated by economic fundamental,but RMB exchange rate against the euro and the yen reflect economic fundamental weakly.In addition, there isn't "price puzzle" phenomenon under monetary policy shock,but the RMB exchange rate show a significant feature of overshooting under interest rate factor shock.Therefore,the central bank should continue to improve the role of economic fundamental in exchange rate volatility in policy orientation,and avoid market sentiment to influence RMB exchange rate volatility.