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误差修正模型下我国外汇储备影响因素的实证研究 被引量:2

An Empirical Study on the Influence Factor of China's Foreign Exchange Reserve on the Basis of Error-correct-mode
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摘要 本文利用1999-2007年的月度数据为样本,通过协整模型和误差修正模型对我国外汇储备的长期均衡关系和短期动态关系进行了实证研究,并发现人民币实际有效汇率、进出口贸易总额、社会商品零售总额与我国外汇储备额之间存在长期协整关系。而短期内,外汇储备的影响因素主要是进出口贸易总额。 Based on the monthly data during 1999-2007, we empirically studied the short-term dynamical relationship and long-term equilibrium relationship of China's foreign exchange reserve using the co-integration model and error-correct model. We found that there is a long-term co-integration relation among RMB real effect exchange rate, aggregate import and export, aggregate social commodity retail, and China's foreign exchange reserve. Whereas, the major influence factor of foreign exchange reserve is aggregate import and export.
作者 黄春逢
出处 《金融理论与实践》 北大核心 2008年第4期74-77,共4页 Financial Theory and Practice
关键词 外汇储备 人民币实际有效汇率 协整关系 误差修正模型 Foreign Exchange Reserve RMB Real Effect Exchange Rate Co-Integration Relationship Error-Correct Model
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