摘要
自2005年7月21日起,我国开始实行以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。那么,篮子货币的构成如何,已成为国际社会关注的焦点。文章借鉴东南亚发展中国家汇率制度的变迁经验,联系我国的实际情况,采用协整理论以及基于VAR的Granger因果关系检验方法,构造了一种参考货币篮子。建议以美元(USD)、日元(JPY)、欧元(EUR)、港元(HKD)、韩元(KRW)、台湾元(TWD)、英镑(GBP)和澳元(AUD)等8种货币为篮子货币。实证结果显示:篮子货币汇率均为人民币实际有效汇率的Granger原因,它们与人民币实际有效汇率之间存在长期的协整关系。人民币汇率转向参考一篮子货币汇率较单一钉住美元具有很好的弹性。文章还针对稳定贸易为目标的政策选择,计算了篮子货币的最优权重。最后,基于我国的实际汇率数据,构建了人民币参考一篮子汇率模型,分析了参考一篮子汇率制的制度优势。
On July 21st, 2005, China moved into a managed floating exchange rate regime based on market supply and demand with reference to a basket of currencies. The RMB is no longer pegged to the US dollar. Instead, the RMB exchange rate is determined based on a basket of certain major currencies with assigned weights selected in line with the real situation of China＇s external sector development. By learning from the exchange rate systems formation of some developing countries in southeastern Asia, this paper puts forward a RMB basket exchange rate system which is applicable to our country＇s current economic situations. We use USD, JPY, EUR, HKD, KRW,TWD,GBP and AUD as the sample currency in the RMB basket exchange rate reference system. Our empirical results based on the cointegration theory and VAR Grange Causality test show that exchange rates of basket currencies is the Granger＇s cause of REER of RMB. There has been a long-term cointegrated relationship between exchange rates of basket currencies and REER of RMB. We also find the new exchange rate system of basket currencies is more flexible and elastic. We then calculate optimum weight of basket currencies with intention to stabilise the balance of trade. Finally, after comparing the simulated exchange rate value with our Country＇s current nominal exchange rate value,we draw the conclusion that the basket of currencies exchange system is outperformed.
出处
《财经研究》
CSSCI
北大核心
2006年第1期20-35,共16页
Journal of Finance and Economics
基金
国家自然科学基金项目:"泛协整理论"框架下中国市场化利率
稳健货币政策规则形成机制等的模型实证研究(批准号:70473012)
关键词
人民币汇率
一篮子汇率制
协整检验
最优权重
RMB exchange rate, basket of currencies exchange rate system, cointegration test,optimal weight of baskets＇ currencies
