外汇储备、对外贸易与人民币实际有效汇率关系研究

Research on the Relationship between Foreign Exchange Reserves,Foreign Trade and RMB Real Effective Exchange Rate

对人民币实际有效汇率的研究多聚焦在资本流动方向,忽略了对外贸易和外汇储备的联合效应。本文创新性地从微观角度研究实际有效汇率与外汇储备、对外贸易之间的关系,通过求解满足预算约束条件下的消费者效用最大化问题,内生化对外贸易和外汇储备变量,推导得出三者之间的长短期影响。基于1998年至2017年中国的季度数据,本文构建结构向量自回归模型进行实证,结果与模型推导一致。研究发现:长期来看,减持外汇储备能带来人民币实际有效汇率上升,对外贸易变化对实际有效汇率影响不显著;短期来看,进口贸易依存度对实际有效汇率具有正向作用,出口贸易依存度与实际有效汇率呈现"J曲线"效应。

The study about real effective exchange rate of RMB has focused on the direction of capital flows,ignoring the combined effects of foreign trade and foreign exchange reserves.This paper innovatively explains the relationship between the real effective exchange rate and foreign exchange reserves and foreign trade from a microscopic perspective,by solving the problem of maximizing consumer utility under budget constraints,with internalizing foreign trade and foreign exchange reserve variables.Based on the quarterly data of China from 1998 to 2017,this paper constructs a structural vector autoregressive model.The empirical results are consistent with the model derivation.The study finds that,in the long run,the reduction of foreign exchange reserves can bring about an increase of RMB real effective exchange rate.The impact of foreign trade changes on the real effective exchange rate is not significant.In the short run,the dependence on import trade has a positive effect on the real effective exchange rate,and the relationship of export trade dependence and real effective exchange rate presents"J curve"effect.