油价冲击对中美实际汇率影响的实证研究:基于一个扩展的弹性价格货币模型

Empirical Study on the Effect of Oil Price on Real Exchange Rate Between China and the U.S Based on an Extended Elastic Price Currency Model

基于2007年1月-2018年6月相关数据,探究WTI原油实际现货价格与中美实际汇率的关系,并构建了一个包含油价因子的扩展货币模型。协整检验表明人民币兑美元实际汇率与WTI实际油价等变量存在长期协整关系,分别运用OLS、FMOLS、DOLS与CCR方法估计协整方程和系数,发现WTI实际油价与中美汇率呈反向关系,若油价上涨1个百分点,人民币兑美元实际将会下降0.035至0.047个百分点,也就是说人民币实际汇率对美元升值,同时也发现巴拉萨-萨缪尔森效应在中国可能并不适用,最后运用样本内预测方法对构建的模型进行检验,结果表明包含油价因子的汇率决定模型在预测汇率能力上优于传统的弹性价格货币模型。

Based on relevant data from January 2007 to June 2018,this paper explores the relationship between the real spot price of WTI crude oil and the real exchange rate between China and the U.S,and constructs an extended currency model including oil price factors.The co-integration test shows that there is a long-term co-integration relationship between the real exchange rate of RMB against US dollar and the actual oil price of WTI.Using OLS,FMOLS,DOLS and CCR methods to estimate the co-integration equation and coefficient,it is found that the real oil price of WTI was inversely related to the exchange rate between China and the U.S.If the oil price rises by 1 percentage,the real value of RMB against the US dollar will actually fall by 0.035 to 0.047 percentage,which means that the real RMB exchange rate against the US dollar will appreciate.Also the Balassa-Samuelson effect may not be applicable in China.Finally,the model is tested by the intra-sample prediction method.The result shows that the exchange rate decision model containing the oil price factor is better than the traditional elastic price currency model in predicting exchange rate.