人民币实际有效汇率波动来源分析

Causal Analysis on the Sources of RMB Real Effective Exchange Rate Fluctuations

从1994年到2019年,人民币实际有效汇率呈现出较大波动.为了能够深入地了解实际有效汇率的波动来源,采用SVAR模型实证研究了需求冲击、供给冲击和名义冲击对人民币实际有效汇率波动的动态影响和相对贡献.方差分解和历史分解一致表明,人民币实际有效汇率波动绝大部分是由需求冲击造成的;其次,历史分解表明这些冲击的影响具有时变性;最后,通过EGARCH模型来检验实际有效汇率是否存在杠杆效应.估计结果表明相较于正面冲击,负面冲击会造成更大的人民币实际有效汇率波动.

From 1994 to 2019,the real effective exchange rate of RMB had undergone great fluctuations.In order to understand the sources of real effective exchange rate fluctuations,the SVAR model is used to empirically study the dynamic effects and relative contributions of demand shocks,supply shocks and nominal shocks on the real effective exchange rate fluctuations of RMB.The variance decomposition and historical decomposition both show that most of the fluctuations of RMB real effective exchange rate are caused by demand shocks.Second,the historical decomposition shows that the impact of these shocks varies with time.Finally,the EGARCH model is used to test whether the leverage effect exists in the real effective exchange rate.The estimated results show that compared with the positive shocks,the negative shocks will cause greater RMB real effective exchange rate fluctuations.