人民币有效汇率指数测度分析:基于云南省外贸模式与数据分析

Measurement of RMB Effective Exchange Rate Index:Based on the Foreign Trade Pattern and Flows of Yunnan Province

有效汇率指数作为重要宏观经济指标之一,通常用来测度一定时期内,一国或地区货币相较其贸易密切往来伙伴国或地区货币汇率总体变动情况。由于传统有效汇率指数在样本货币选择及权重设计方面,使用的是国家层面对外进出口贸易数据,难以反映省际层面对外贸易信息的异质性。鉴于此,以云南省为研究切入点,贴合云南省对外贸易具体模式,使用云南省对外贸易流数据,创新性构建了人民币有效汇率指数,通过对比分析和实证分析发现,基于云南省视角编制的人民币有效汇率指数与云南省净出口指标之间存在显著的因果关系和长期协整关系,该指数的变动会对云南省净出口造成显著影响,在分析云南省市场主体面临的汇率、对外贸易等宏观经济情况方面,相较传统人民币有效汇率指数更具适用性。

As an important macroeconomic indicator,Effective Exchange Rate(EER)index is usually used to measure the overall fluctuation of the currency exchange rate relatively to its trade partners in a certain period of time.The traditional EER is constructed from the national perspective when selecting the currency basket of sample countries and allocating corresponding weights,it is difficult to reflect the characteristics of foreign trade from the provincial perspective.In view of this,This paper constructs the EER innovatively from Yunnan perspective.Through comparative and empirical analysis,it turns out that there is a significant Granger-Causality and long-term cointegration relationship between EER from Yunnan province and the net export of Yunnan,additionally,its fluctuations has a significant im⁃pact on the Yunnan’s net export.When analyzing the exchange rate and foreign trade condition,it is more adaptive than the traditional EER for the market participants in Yunnan province.