| 人民币汇率影响因素的实证检验 |
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| 引用本文： | 姜涛.人民币汇率影响因素的实证检验[J].温州大学学报(自然科学版),2011,32(6). |
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| 作者姓名： | 姜涛 |
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| 作者单位： | 安徽商贸职业技术学院政法教学部,安徽 芜湖,241002 |
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| 摘 要： | 基于购买力平价、利率平价、国际收支与巴拉萨一萨缪尔森效应四个理论视角,选取代表性变量,建立了由协整变量构成的VAR模型,并利用脉冲响应函数与方差分解技术分析了外汇储备、中美相对生产率对人民币汇率的冲击效应与贡献度.结果表明:从长期看,中美相对劳动生产率的变化对人民币汇率有较大程度的影响,而外汇储备的变化对人民币汇率的影响较弱.
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| 关 键 词： | 人民币汇率 Johansen协整检验 VAR模型:脉冲响应函数 方差分解 |
Empirical Test on Impact Factors of Exchange Rate of RMB |
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| JIANG Tao.Empirical Test on Impact Factors of Exchange Rate of RMB[J].Journal of Wenzhou University Natural Science,2011,32(6). |
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| Authors: | JIANG Tao |
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| Institution: | JIANG Tao(Teaching Department of Political Science and Law,Anhui Business College of Vocational Technology,Wuhu,China 241002) |
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| Abstract: | From the perspectives of four theories(theory of purchasing-power parity,theory of interest rate parity,theory of balance of payment,and theory of Balassa-Samuelson effect),VAR model(constituted by cointegration variables) was established by choosing respective variables.And then the shock effect and contributions the foreign exchange reserve and Sino-US relative labor productivity imposed on exchange rate of RMB were anylized by using impulse response function and variance decomposition.Results showed that... |
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| Keywords: | Exchange Rate of RMB Johansen Cointegration Test VAR Model Impulse Response Function Variance Decomposition |
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