人民币汇率决定模型的实证分析

应用多种经济计量学方法实证分析宏观经济变量对人民币汇率的影响 .研究结果表明 ,1994年以来的人民币汇率稳定主要归因于中央银行的外汇干预、适度从紧的货币政策、高速的经济增长以及对外债余额与通货膨胀的有效控制 ,日元的大幅度贬值对我国实施人民币汇率稳定政策带来了巨大压力 .1996年以来的多次降息使得国内外利率差的作用逐渐消失 .而未来的人民币汇率稳定将主要取决于上述宏观经济变量和国际金融环境 ,特别是日元不再进一步贬值.

An Empirical Analysis on the Model of RMB Exchange Rate Determination

The objectives of this paper are twofold. First, it is to find an acceptable model that explains the movement of Renminbi (RMB) nominal spot exchange rate in terms of macroeconomic variables. Second, by using the exchange rate data from January 1994 to March 1998 between RMB and the U.S. dollar, this paper test if the model of RMB exchange rate determination presented in reference \ is a long\|run exchange rate determination model and the hypotheses posited in the model. Results show that macroeconomic variable is a significant factor in influencing the long\|run exchange rate. This is achieved by applying the techniques of cointegration and variance decomposition as well as impulse response analysis.