“汇改”以来人民币汇率的波动特征与政策选择被引量：13

The RMB Fluctuations Characteristics and Policy Options since the "Regime Reform"

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摘要本文运用Beveridge和Nelson提出的对非平稳时间序列进行分解的方法,将2005年7月我国汇率制度改革以来的人民币兑美元汇率分解为确定性趋势成份、随机趋势成份及周期成份。分解结果表明改革以来人民币汇率的波动有两个主要特征,一是在升值预期下人民币汇率具有确定性的升值趋势;二是人民币汇率形成机制的市场化基础已基本确立。面对这种新的人民币汇率波动特征,我国有必要调整人民币汇率政策目标,以进一步完善人民币汇率的形成机制。 In this paper, we use a method found by Beveridge and Nelson on how to decompose nonstationary time series to decompose the yuan-dollar exchange rate into deterministic trend component, stochastic trend component and cycle component since July 2005, when the regime was reformed. The result shows that there are two main features of the RMB exchange rate fluctuations since the reformation, firstly, the RMB exchange rate appreciation has a deterministic trend on the existence of the expected appreciation, and secondly, the formation mechanism of the RMB exchange rate has been basically market-oriented established. Faced with this new feature of the RMB exchange rate fluctuation, we need to adjust the RMB exchange rate policy objective in order to further improve the RMB exchange rate formation mechanism.

作者刘尧成

机构地区上海财经大学金融学院

出处《上海经济研究》 CSSCI 北大核心 2010年第1期26-34,共9页 Shanghai Journal of Economics

基金上海财经大学"研究生创新基金"(代码CXJJ-2009-323)的阶段性成果

关键词 “汇改” 人民币汇率波动特征政策选择 B—N分解＂regime reform＂ RMB exchange rate fluctuation characteristics policy options B-N decomposition

分类号 F830.73 [经济管理—金融学]

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参考文献13

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