Retrospect of the Chinese Exchange Rate Regime after Reform:Stylized Facts during the Period from 2005 to 2010

In the present paper, we estimate the de facto RMB exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime in 2005. We find the following stylized facts： the value of the RAIB became stable after the reform; the weight of the US dollar remained high in the basket, while other currencies remained statistically significant; and the floating band gradually increased to lO percent during 2005-2008, and then greatly narrowed from the late summer of 2008 under the assumption of a yearly resetting interval. We find that the foreign exchange market pressure increased from 2005 to 2008. A possible reason is that the weight of the US dollar in the basket was slightly lower than the share of the US dollar in total transactions on the Chinese foreign exchange market. Therefore, it is reasonable for China to adopt a dollar peg exchange rate regime.

汇改后人民币汇率形成机制的动态演进

本文综合运用交叉汇率滚动回归、多重结构变动模型和引入外汇市场压力的扩展模型,从两个维度——汇率与货币篮子的关联程度以及汇率机制的灵活程度,实证研究人民币汇率形成机制的动态演变。研究发现,汇改既取得明显成效又具有显著渐进性,表现为多货币的篮子格局已初步形成,美元仍在其中居于主导,日元、韩元、林吉特和新加坡元曾经或正在发挥影响;经济冲击使篮子货币的权重分布发生多次结构变动;人民币升值中有10%-30%受市场力量推动,汇率机制灵活性相当可观。

人民币汇率形成机制动态演进的实证分析

运用交叉汇率滚动回归以及DCC-GARCH模型实证分析了2002年以来人民币汇率形成机制的动态演进规律。研究结果表明:"汇改"取得了显著的效果,人民币已经改变了"汇改"前盯住美元的汇率制度,多种货币组成的篮子格局初步形成;尽管美元仍然在货币篮子中居于主导地位,但是林吉特、新加坡元以及泰铢等发展中国家以及新兴市场经济国家的货币在货币篮子中影响逐步增大;"汇改"后不同阶段的货币篮子构成并不完全相同,其中欧元、日元、加拿大元等发达国家货币在货币篮子中的权重逐步减少甚至消失,而新兴市场经济国家以及发展中国家的货币在篮子货币中的重要性初步显现,并且,人民币汇率形成机制灵活性逐步提高。