摘要
本文根据货币供给分解和银行信贷供给的最优化,以及总需求和总供给均衡,建立了人民币实际汇率的理论模型。本文实证结果显示实际汇率、名义汇率、贷款利率、外汇储备、劳动生产率和美国物价水平之间存在长期的协整关系,误差修正模型显示实际汇率受到冲击以后,以14.07%速度向均衡回复。最后本文引入外汇市场压力指数,考察人民币实际汇率变动,实证结果显示外汇市场压力对实际汇率有显著负的影响。
This paper establishes the model of RMB real exchange rate according to the decomposition of money supply,the optimization of credit supply,and the aggregate demand and aggregate supply equilibrium.The empirical research reveals that there exists a long- term cointegration relationship among the real exchange rate and the nominal exchange rate,loan interest rates,foreign exchange reserves,the labor productivity and United States price index,and the error correction model shows the real exchange rate will converge at 14.07%speed to the equilibrium after the shock.Finally the paper introduces the foreign exchange market pressure index to examine RMB real exchange rate movement,and shows there is a significant negative impact on the real exchange rate.
出处
《金融研究》
CSSCI
北大核心
2013年第11期28-40,共13页
Journal of Financial Research
基金
国家自然科学基金(70673011
71173042)
国家社科基金重大项目(11&ZD018)
教育部后期资助(12JHQ030)
上海市教委科研创新重点项目(13ZS010)资助
关键词
银行信贷
外汇储备
实际汇率
外汇市场压力
Bank credit
Foreign exchange reserves
Real exchange rate
Foreign exchange market pressure
